Paperback of "Girsanov, Numeraires, and All That" by Cambridge University Press, showing the book cover with title and author details.
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Paperback of "Girsanov, Numeraires, and All That" by Cambridge University Press, showing the book cover with title and author details.

Girsanov, Numeraires, and All That

Cambridge University Press
Precio:
$35.42

Descripción

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.

Author: Patrick S. Hagan, Andrew Lesniewski
Publisher: Cambridge University Press
Published: 11/17/2022
Pages: 75
Binding Type: Paperback
Weight: 0.18lbs
Size: 9.00h x 6.00w x 0.11d
ISBN13: 9781009339285
ISBN10: 1009339281
BISAC Categories:
- Business & Economics | Finance | General