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Girsanov, Numeraires, and All That

(Bog, Paperback / softback, Engelsk)
Forfattere: Patrick S. (Gorilla Science) Hagan, Andrew (Bernard M. Baruch College Lesniewski
Girsanov, Numeraires, and All That
Forlag: Cambridge University Press

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Beskrivelse

In this Element the authors review the technique of the change of numeraire in the martingale approach to option pricing. Their intention is to present a reader friendly explanation of the technique itself, and illustrate how it is applied in various fields of quantitative finance as the basis for building option valuation models.

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Alle detaljer

Forlag Cambridge University Press
Forfattere Patrick S. (Gorilla Science) Hagan, Andrew (Bernard M. Baruch College Lesniewski
Type Bog
Format Paperback / softback
Sprog Engelsk
Udgivelsesdato 17-11-2022
Første udgivelsesår 2022
Serie Elements in Quantitative Finance
Illustrationer Worked examples or Exercises
Originalsprog United Kingdom
Sideantal 52
Indbinding Paperback / softback
Forlag Cambridge University Press
Sideoplysninger 52 pages, Worked examples or Exercises
Mål 152 x 228 x 10
ISBN-13 / EAN-13 9781009339285