Financial Derivatives Modeling

Christian Ekstrand (Autor)

Buch | Softcover

XI, 319 Seiten

2014
Springer Berlin (Verlag)
9783642444364 (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.

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-13	9783642444364 / 9783642444364
Zustand	Neuware