1.

Record Nr.

UNINA9910465183503321

Autore

Vecer Jan

Titolo

Stochastic finance : a numeraire approach / / by Jan Vecer

Pubbl/distr/stampa

Boca Raton, FL : , : CRC Press, an imprint of Taylor and Francis, , 2011

ISBN

0-429-09240-7

1-4398-1250-0

Edizione

[First edition.]

Descrizione fisica

1 online resource (339 p.)

Collana

Chapman and Hall/CRC Financial Mathematics Series

Disciplina

332.01/51922

Soggetti

Finance

Stochastic analysis

Electronic books.

Lingua di pubblicazione

Inglese

Formato

Materiale a stampa

Livello bibliografico

Monografia

Note generali

Description based upon print version of record.

Nota di bibliografia

Includes bibliographical references.

Nota di contenuto

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

Sommario/riassunto

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.