This classroom-tested text provides a deep understanding of derivative contracts. Unlike much of the existing literature, the book 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. With many examples and exercises, the text relies on intuition and basic principles, rather than technical computations.
This classroom-tested text provides a deep understanding of derivative contracts. Unlike much of the existing literature, the book 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. With many examples and exercises, the text relies on intuition and basic principles, rather than technical computations.Hinweis: Dieser Artikel kann nur an eine deutsche Lieferadresse ausgeliefert werden.
Jan Vecer is a professor of finance and has taught courses on stochastic finance at Columbia University, the University of Michigan, Kyoto University, and the Frankfurt School of Finance and Management. His research interests encompass areas within financial statistics, financial engineering, and applied probability, including option pricing, optimal trading strategies, stochastic optimal control, and stochastic processes. He earned a Ph.D. in mathematical finance from Carnegie Mellon University.
Inhaltsangabe
Introduction. Elements of Finance. Binomial Model. Diffusion Models. Interest Rate Contracts. Barrier Options. Lookback Options. American Options. Contracts on Three or More Assets: Quantos, Rainbows and "Friends". Asian Options. Jump Models. Appendix. Solutions to Selected Exercises. References. Index.
Introduction. Elements of Finance. Binomial Model. Diffusion Models. Interest Rate Contracts. Barrier Options. Lookback Options. American Options. Contracts on Three or More Assets: Quantos, Rainbows and "Friends". Asian Options. Jump Models. Appendix. Solutions to Selected Exercises. References. Index.
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