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Financial Derivatives Modeling [electronic resource] / by Christian Ekstrand.

By: Ekstrand, Christian [author.].
Contributor(s): SpringerLink (Online service).
Material type: materialTypeLabelBookPublisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 2011Description: XI, 319p. 22 illus. online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9783642221552.Subject(s): Economics | Finance | Economics -- Statistics | Economics/Management Science | Finance/Investment/Banking | Quantitative Finance | Statistics for Business/Economics/Mathematical Finance/InsuranceDDC classification: 657.8333 | 658.152 Online resources: Click here to access online
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.
In: Springer eBooksSummary: 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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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.

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