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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| Format: | eBook |
| Language: | English |
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Berlin, Heidelberg
Springer Berlin Heidelberg
2011, 2011
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| Edition: | 1st ed. 2011 |
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| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Table of Contents:
- 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