Stochastic finance : a numeraire approach / / by Jan Vecer
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| Autore: |
Vecer Jan
|
| Titolo: |
Stochastic finance : a numeraire approach / / by Jan Vecer
|
| Pubblicazione: | Boca Raton, FL : , : CRC Press, an imprint of Taylor and Francis, , 2011 |
| Edizione: | First edition. |
| Descrizione fisica: | 1 online resource (339 p.) |
| Disciplina: | 332.01/51922 |
| Soggetto topico: | Finance |
| Stochastic analysis | |
| 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. |
| Titolo autorizzato: | Stochastic finance |
| ISBN: | 0-429-09240-7 |
| 1-4398-1250-0 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910792139003321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
Chapman & Hall/CRC financial mathematics series.