Patrick S. Hagan,
Patrick S. (Gorilla Science) Hagan,
Andew Lesniewski,
Andrew (Bernard M. Baruch College, City University of New York) Lesniewski
e.a.
Girsanov, Numeraires, and All That
Paperback Engels 2022 9781009339285
Verwachte levertijd ongeveer 9 werkdagen
Samenvatting
In this Element the authors review the technique of the change of numeraire in the martingale approach to option pricing. Their intention is to present a reader friendly explanation of the technique itself, and illustrate how it is applied in various fields of quantitative finance as the basis for building option valuation models. They start with an informal review of Girsanov's theorem, followed by a brief summary of the basic concepts of the arbitrage free pricing, and the technique of change of numeraire. This is followed by a number of applications of the change of numeraire technique including interest rate models, FX quanto adjustments, credit risk modeling, mortgage backed securities, and CMS rates.
Specificaties
ISBN13:9781009339285
Taal:Engels
Bindwijze:Paperback
Aantal pagina's:75
Uitgever:Cambridge University Press
Serie:Elements in Quantita
Lezersrecensies
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Inhoudsopgave
1. Introduction; 2. Girsanov's theorem; 3. Arbitrage asset pricing in a nutshell; 4. Riskless bond numeraires and associated EMMs; 5. Change of numeraire in interest rate and FX models; 6. Incomplete markets.
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