Financial Derivatives Modeling

By Christian Ekstrand

Book Overview

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.- L vy Models.- Exotic Derivatives: Path-Dependent Derivatives.- High-Dimensional Derivatives.- Asset Class Specific Modeling: - Equities.- Commodities.- Interest Rates.- Foreign Exchange.- Mathematical Preliminaries.

• Format: Hardcover
• Language: English
• ISBN: 3642221548
• ISBN13: 9783642221545
• Release Date: August 2011
• Publisher: Springer
• Length: 319 Pages
• Weight: 1.30 lbs.
• Dimensions: 0.9" x 6.1" x 9.1"