Girsanov, Numeraires, and All That

Patrick S. Hagan, Andew Lesniewski

EPUB
ca. 17,57
Amazon iTunes Thalia.de Weltbild.de Hugendubel Bücher.de ebook.de kobo Osiander Google Books Barnes&Noble bol.com Legimi yourbook.shop Kulturkaufhaus ebooks-center.de
* Affiliatelinks/Werbelinks
Hinweis: Affiliatelinks/Werbelinks
Links auf reinlesen.de sind sogenannte Affiliate-Links. Wenn du auf so einen Affiliate-Link klickst und über diesen Link einkaufst, bekommt reinlesen.de von dem betreffenden Online-Shop oder Anbieter eine Provision. Für dich verändert sich der Preis nicht.

Cambridge University Press img Link Publisher

Sozialwissenschaften, Recht, Wirtschaft / Handels-, Wirtschaftsrecht

Beschreibung

In this Element the authors review the technique of the change of numeraire in the martingale approach to option pricing. Their intention is to present a reader friendly explanation of the technique itself, and illustrate how it is applied in various fields of quantitative finance as the basis for building option valuation models. They start with an informal review of Girsanov's theorem, followed by a brief summary of the basic concepts of the arbitrage free pricing, and the technique of change of numeraire. This is followed by a number of applications of the change of numeraire technique including interest rate models, FX quanto adjustments, credit risk modeling, mortgage backed securities, and CMS rates.

Weitere Titel von diesem Autor
Weitere Titel in dieser Kategorie
Cover Financial Joy
Ken Okoroafor
Cover Crowdfunding European Business
Antonella Francesca Cicchiello
Cover Crowdfunding European Business
Antonella Francesca Cicchiello
Cover Wealth of Nations
Smith Adam Smith
Cover Law Firm Development
Geertje Tutschka
Cover ERISA Principles
Brendan S. Maher
Cover Money Maker
Dan Hatfield
Cover Tax Litigation Handbook
Pump Court Tax Chambers Pump Court Tax Chambers
Cover Tax Litigation Handbook
Pump Court Tax Chambers Pump Court Tax Chambers
Cover PCI DSS Version 4.0
Stephen Hancock
Cover PCI DSS Version 4.0
Stephen Hancock
Cover Understanding DeFi
Alexandra Damsker
Cover Understanding DeFi
Alexandra Damsker

Kundenbewertungen