Financial Derivatives Modeling
Springer Science & Business Media, Aug 26, 2011 - Business & Economics - 319 pages
This book gives a comprehensive introduction to the modeling of financial derivatives, covering all major asset classes (equities, commodities, interest rates and foreign exchange) and stretching from Black and Scholes' lognormal modeling to current-day research on skew and smile models. The intended reader has a solid mathematical background and is a graduate/final-year undergraduate student specializing in Mathematical Finance, or works at a financial institution such as an investment bank or a hedge fund.
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ˆ ˆ ˇ ˇ American call option arbitrage asset assume barrier options Bermudan Black–Scholes Black–Scholes formula Black–Scholes model Brownian motion calibration instruments caplets cash flows commodities computed consider copula correlation counterparty defined depends Derivatives Modeling derivatives pricing distribution equal equation equity European call option European option example exercise boundary forward contract forward measure Furthermore futures contracts futures prices FX rate Green’s function hedging instruments implementation implied volatility instance interest rate interpolation inverse Gaussian distribution L´evy processes LIBOR rates liquid lognormal lognormal process lognormal SDE martingale maturity means method no-arbitrage numeraire obtain parameters payment date payoff portfolio possible put options quotes result risk risk-neutral measure Sect simulation skew and smile spot date static replication stochastic volatility stochastic volatility models strategy strike swap rate swaption technique today’s underlying vanilla variables yield curve zero