Stochastic Finance: A Numeraire Approach - Chapman and Hall / CRC Financial Mathematics Series - Vecer, Jan (Columbia University, New York, New York, USA) - Books - Taylor & Francis Ltd - 9781138116412 - June 14, 2017
In case cover and title do not match, the title is correct

Stochastic Finance: A Numeraire Approach - Chapman and Hall / CRC Financial Mathematics Series 1st edition

Vecer, Jan (Columbia University, New York, New York, USA)

Price
A$ 176.49

Ordered from remote warehouse

Expected delivery Mar 4 - 17
Add to your iMusic wish list

Stochastic Finance: A Numeraire Approach - Chapman and Hall / CRC Financial Mathematics Series 1st edition

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, and jump models. The author uses the binomial model to illustrate the relativity of the reference asset. In continuous time, he covers both diffusion and jump models in the evolution of price processes. The book also describes term structure models and numerous options, including European, barrier, lookback, quanto, American, and Asian.

Classroom-tested at Columbia University to graduate students, Wall Street professionals, and aspiring quants, this text provides a deep understanding of derivative contracts. It will help a variety of readers from the dynamic world of finance, from practitioners who want to expand their knowledge of stochastic finance, to students who want to succeed as professionals in the field, to academics who want to explore relatively advanced techniques of the numeraire change.


342 pages, 123 boxes; 7 Tables, black and white; 41 Illustrations, black and white

Media Books     Paperback Book   (Book with soft cover and glued back)
Released June 14, 2017
ISBN13 9781138116412
Publishers Taylor & Francis Ltd
Pages 342
Dimensions 453 g
Language English