Stochastic Finance : a Numeraire Approach.
... a nice book for researchers and practitioners. ... this book can be regarded as a wonderful application of stochastic analysis, as it includes not only detailed theoretical proofs but also practical illustrative examples. With the systematic and feasible numeraire techniques, the book can serve...
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| Main Author: | |
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| Format: | Electronic eBook |
| Language: | English |
| Published: |
Hoboken :
CRC Press,
2011.
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| Series: | Chapman & Hall/CRC financial mathematics series.
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| Subjects: | |
| Online Access: |
Full text (Emmanuel users only) |
Table of Contents:
- 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.