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Stochastic Finance : a Numeraire Approach.

... 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...

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Détails bibliographiques
Cote:Libro Electrónico
Auteur principal: Vecer, Jan
Format: Électronique eBook
Langue:Inglés
Publié: Hoboken : CRC Press, 2011.
Collection:Chapman & Hall/CRC financial mathematics series.
Sujets:
Accès en ligne:Texto completo (Requiere registro previo con correo institucional)
Table des matières:
  • 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.