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Financial Derivatives Modeling

Christian Ekstrand (Autor)

Buch | Hardcover

XI, 319 Seiten

2011 | 2011
Springer Berlin (Verlag)
978-3-642-22154-5 (ISBN)

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Covering all major asset classes from equities to foreign exhange, this comprehensive introduction to the modeling of financial derivatives takes readers from Black and Scholes' lognormal modeling to today's research on 'skew' and 'smile' models.

The book gives a comprehensive introduction to the modeling of financial derivatives, covering all major asset classes (equities, commodities, interest rates and foreign exchange) and stretching from Black and Scholes' lognormal modeling to current-day research on skew and smile models. The intended reader has a solid mathematical background and is a graduate/final-year undergraduate student specializing in Mathematical Finance, or works at a financial institution such as an investment bank or a hedge fund.

Derivatives Pricing Basics: Pricing by Replication.- Static Replication.- Dynamic Replication.- Derivatives Modeling in Practice.- Skew and Smile Techniques: Continuous Stochastic Processes.- Local Volatility Models.- Stochastic Volatility Models.- Lévy Models.- Exotic Derivatives: Path-Dependent Derivatives.- High-Dimensional Derivatives.- Asset Class Specific Modeling: - Equities.- Commodities.- Interest Rates.- Foreign Exchange.- Mathematical Preliminaries.

Erscheint lt. Verlag	26.8.2011
Zusatzinfo	XI, 319 p.
Verlagsort	Berlin
Sprache	englisch
Maße	155 x 235 mm
Gewicht	631 g
Themenwelt	Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Wirtschaft ► Volkswirtschaftslehre
Schlagworte	Derivatives • Derivatives Pricing • Financial Derivatives Modeling • Quantitative Finance • Risk Management • Stochastic Calculus
ISBN-10	3-642-22154-8 / 3642221548
ISBN-13	978-3-642-22154-5 / 9783642221545
Zustand	Neuware