Library of American University of Madaba
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Ekstrand, Christian.
Financial Derivatives Modeling [electronic resource] / by Christian Ekstrand. - XI, 319p. 22 illus. online resource.
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.
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.
9783642221552
Economics.
Finance.
Economics--Statistics.
Economics/Management Science.
Finance/Investment/Banking.
Quantitative Finance.
Statistics for Business/Economics/Mathematical Finance/Insurance.
HG1-9999 HG4501-6051 HG1501-HG3550
657.8333 658.152
Financial Derivatives Modeling [electronic resource] / by Christian Ekstrand. - XI, 319p. 22 illus. online resource.
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.
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.
9783642221552
Economics.
Finance.
Economics--Statistics.
Economics/Management Science.
Finance/Investment/Banking.
Quantitative Finance.
Statistics for Business/Economics/Mathematical Finance/Insurance.
HG1-9999 HG4501-6051 HG1501-HG3550
657.8333 658.152