The 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 hasa 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. Comprehensive introduction to financial derivatives modeling for graduate students and professionals. Applies derivatives pricing methods to all major asset classes. Contains an extensive list of stochastic differential equations with solution methods. Includes a detailed description of the challenges associated with the calibration of, and risk management with, derivatives pricing models. INDICE: Derivatives Pricing Basics: Pricing by Replication. Static Replication. Dynamic Replication. Derivatives Modeling in Practice. Skew and Smile Techniques: Continuous Stochastic Processes. Local Volatility Models. StochasticVolatility Models. Lévy Models. Exotic Derivatives: Path-Dependent Derivatives. High-Dimensional Derivatives. Asset Class Specific Modeling: - Equities. Commodities. Interest Rates. Foreign Exchange. Mathematical Preliminaries.
- ISBN: 978-3-642-22154-5
- Editorial: Springer Berlin Heidelberg
- Encuadernacion: Cartoné
- Páginas: 300
- Fecha Publicación: 31/07/2011
- Nº Volúmenes: 1
- Idioma: Inglés