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Financial Derivatives Modeling - Christian Ekstrand

Financial Derivatives Modeling

Buch | Softcover
XI, 319 Seiten
2014 | 2011
Springer Berlin (Verlag)
978-3-642-44436-4 (ISBN)
CHF 74,85 inkl. MwSt
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.

This 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 7.10.2014
Zusatzinfo XI, 319 p.
Verlagsort Berlin
Sprache englisch
Maße 155 x 235 mm
Gewicht 510 g
Themenwelt Mathematik / Informatik Mathematik Algebra
Mathematik / Informatik Mathematik Angewandte Mathematik
Wirtschaft Betriebswirtschaft / Management Finanzierung
Wirtschaft Volkswirtschaftslehre Ökonometrie
Schlagworte Derivatives • Derivatives Pricing • Financial Derivatives Modeling • Quantitative Finance • Risk Management • Stochastic Calculus
ISBN-10 3-642-44436-9 / 3642444369
ISBN-13 978-3-642-44436-4 / 9783642444364
Zustand Neuware
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