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 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.

List 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.

Product details

• Authors: Christian Ekstrand
• Publisher: Springer, Berlin
• Languages: English
• Product format: Paperback / Softback
• Released: 07.10.2014
• EAN: 9783642444364
• ISBN: 978-3-642-44436-4
• No. of pages: 319
• Dimensions: 156 mm x 19 mm x 235 mm
• Weight: 510 g
• Illustrations: XI, 319 p.
• Subjects: Social sciences, law, business > Business > Economics; C, Economics, finance, business & management, Statistics, Finance, Finance, general, Economics and Finance, Applications of Mathematics, Finance & accounting, Probability & statistics, Economics, Mathematical, Quantitative Finance