Financial Derivatives Modeling [electronic resource] / by Christian Ekstrand.
Tipo de material: TextoEditor: Berlin, Heidelberg : Springer Berlin Heidelberg, 2011Descripción: XI, 319 p. online resourceTipo de contenido:- text
- computer
- online resource
- 9783642221552
- SpringerLink (Online service)
- 657.8333 23
- 658.152 23
- Libro electrónico
- HG4501-6051
- HG1501-HG3550
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 -- LȨvy Models -- Exotic Derivatives: Path-Dependent Derivatives -- High-Dimensional Derivatives -- Asset Class Specific Modeling: - Equities -- Commodities -- Interest Rates -- Foreign Exchange -- Mathematical Preliminaries.
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.
ZDB-2-SBE
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