Financial Derivatives Modeling

• Main Author: Ekstrand, Christian (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2011.
• Subjects: Finance.; Economics, Mathematical.; Statistics.; Finance, general.; Quantitative Finance.; Statistics for Business/Economics/Mathematical Finance/Insurance.

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 in...

Table 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.