Financial derivatives modeling

著者

• Ekstrand, Christian

書誌事項

Financial derivatives modeling

Christian Ekstrand

Springer, c2011

• : hbk

内容説明・目次

内容説明

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.

目次

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.- Levy Models.- Exotic Derivatives: Path-Dependent Derivatives.- High-Dimensional Derivatives.- Asset Class Specific Modeling: - Equities.- Commodities.- Interest Rates.- Foreign Exchange.- Mathematical Preliminaries.

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詳細情報

• NII書誌ID(NCID): BB07203652
• ISBN:
  • 9783642221545
• 出版国コード: gw
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Berlin
• ページ数/冊数: xi, 319 p.
• 大きさ: 24 cm
• 分類:
  • DC23 : 332.6457015118
• 件名:
  • LCSH : Derivative securities -- Mathematical models