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Financial Derivatives Modeling

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 in...

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Bibliographic Details
Main Author: Ekstrand, Christian
Format: eBook
Language:English
Published: Berlin, Heidelberg Springer Berlin Heidelberg 2011, 2011
Edition:1st ed. 2011
Subjects:
Mathematics In Business, Economics And Finance
Finance
Statistics 
Statistics In Business, Management, Economics, Finance, Insurance
Social Sciences / Mathematics
Financial Economics
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
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505 0 |a 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 
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520 |a 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 

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