Financial Derivatives Modeling
Seiten
2014
|
2011
Springer Berlin (Verlag)
978-3-642-44436-4 (ISBN)
Springer Berlin (Verlag)
978-3-642-44436-4 (ISBN)
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.
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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