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Stochastic Finance : a Numeraire Approach

Title
Stochastic Finance : a Numeraire Approach.
ISBN
9781439812525
1439812527
Published
Hoboken : CRC Press, 2011.
Physical Description
1 online resource (339 pages).
Local Notes
Access is available to the Yale community.
Access and use
Access restricted by licensing agreement.
Summary
... a nice book for researchers and practitioners. ... this book can be regarded as a wonderful application of stochastic analysis, as it includes not only detailed theoretical proofs but also practical illustrative examples. With the systematic and feasible numeraire techniques, the book can serve as an everyday reference book for practitioners, but also as a powerful tool to deal with pricing and hedging for complicated financial assets. Most importantly, the representation of prices as a pairwise relationship of two assets is the most novel characteristic of this book, which could lead to deepe.
Variant and related titles
O'Reilly Safari. OCLC KB.
Other formats
Print version: Vecer, Jan. Stochastic Finance : A Numeraire Approach. Hoboken : CRC Press, ©2011
Format
Books / Online
Language
English
Added to Catalog
February 09, 2022
Series
Chapman & Hall/CRC financial mathematics series.
Chapman and Hall/CRC Financial Mathematics Series
Bibliography
Includes bibliographical references and index.
Contents
Cover; Title; Copyright; Contents; Introduction; Chapter 1: Elements of Finance; Chapter 2: Binomial Models; Chapter 3: Diffusion Models; Chapter 4: Interest Rate Contracts; Chapter 5: Barrier Options; Chapter 6: Lookback Options; Chapter 7: American Options; Chapter 8: Contracts on Three or More Assets: Quantos, Rainbows and "Friends"; Chapter 9: Asian Options; Chapter 10: Jump Models; Appendix A: Elements of Probability Theory; Solutions to Selected Exercises; References.
Citation

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