Patrick S. Hagan (Gorilla Science), Andrew Lesniewski (City University of Ne Bernard M. Baruch College

Girsanov, Numeraires, and All That

• Broschiertes Buch

Produktbeschreibung

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.

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Produktdetails

• Elements in Quantitative Finance
• Verlag: Cambridge University Press
• Seitenzahl: 75
• Erscheinungstermin: 17. November 2022
• Englisch
• Abmessung: 229mm x 152mm x 3mm
• Gewicht: 96g
• ISBN-13: 9781009339285
• ISBN-10: 1009339281
• Artikelnr.: 65505709

Inhaltsangabe

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.