Stochastic Finance
Stochastic FinanceA Numeraire Approach
Author(s): Jan Vecer
Format: Paperback
Publisher: Taylor & Francis Ltd, United Kingdom
Imprint: CRC Press
ISBN-13: 9781138116412, 978-1138116412
Synopsis
Unlike much of the existing literature, Stochastic Finance: A Numeraire Approach treats price as a number of units of one asset needed for an acquisition of a unit of another asset instead of expressing prices in dollar terms exclusively. This numeraire approach leads to simpler pricing options for complex products, such as barrier, lookback, quanto, and Asian options. Most of the ideas presented rely on intuition and basic principles, rather than technical computations.
The first chapter of the book introduces basic concepts of finance, including price, no arbitrage, portfolio, financial contracts, the First Fundamental Theorem of Asset Pricing, and the change of numeraire formula. Subsequent chapters apply these general principles to three kinds of models: binomial, diffusion, a.
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Stochastic Finance
Stochastic FinanceA Numeraire Approach
Author(s): Jan Vecer
Format: Paperback
Publisher: Taylor & Francis Ltd, United Kingdom
Imprint: CRC Press
ISBN-13: 9781138116412, 978-1138116412
Synopsis
Unlike much of the existing literature, Stochastic Finance: A Numeraire Approach treats price as a number of units of one asset needed for an acquisition of a unit of another asset instead of expressing prices in dollar terms exclusively. This numeraire approach leads to simpler pricing options for complex products, such as barrier, lookback, quanto, and Asian options. Most of the ideas presented rely on intuition and basic principles, rather than technical computations.
The first chapter of the book introduces basic concepts of finance, including price, no arbitrage, portfolio, financial contracts, the First Fundamental Theorem of Asset Pricing, and the change of numeraire formula. Subsequent chapters apply these general principles to three kinds of models: binomial, diffusion, a.
Price now:
From
£72.73
To
£80.99
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Product Description
Stochastic FinanceA Numeraire Approach
Author(s): Jan Vecer
Format: Paperback
Publisher: Taylor & Francis Ltd, United Kingdom
Imprint: CRC Press
ISBN-13: 9781138116412, 978-1138116412
Synopsis
Unlike much of the existing literature, Stochastic Finance: A Numeraire Approach treats price as a number of units of one asset needed for an acquisition of a unit of another asset instead of expressing prices in dollar terms exclusively. This numeraire approach leads to simpler pricing options for complex products, such as barrier, lookback, quanto, and Asian options. Most of the ideas presented rely on intuition and basic principles, rather than technical computations.
The first chapter of the book introduces basic concepts of finance, including price, no arbitrage, portfolio, financial contracts, the First Fundamental Theorem of Asset Pricing, and the change of numeraire formula. Subsequent chapters apply these general principles to three kinds of models: binomial, diffusion, a.
Product Specifications
General | |
|---|---|
format | trade paperback |
Language | english |
series | chapman and hall/crc financial mathematics ser. |
type | textbook |
Brand | CRC Press |
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