Financial Derivatives Modeling
Author:   Christian Ekstrand
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Edition:   2011 ed.
ISBN:  

9783642444364


Pages:   319
Publication Date:   07 October 2014
Format:   Paperback
Availability:   Manufactured on demand   Availability explained
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Financial Derivatives Modeling


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Overview

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.

Full Product Details

Author:   Christian Ekstrand
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint:   Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Edition:   2011 ed.
Dimensions:   Width: 15.50cm , Height: 1.80cm , Length: 23.50cm
Weight:   0.510kg
ISBN:  

9783642444364


ISBN 10:   3642444369
Pages:   319
Publication Date:   07 October 2014
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand   Availability explained
We will order this item for you from a manufactured on demand supplier.

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.

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