Girsanov, Numeraires, and All That eBook
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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.

About the book
Author
Patrick S.  Hagan , Andrew  Lesniewski
Imprint
Cambridge University Press
Collection
n.c
Publication date
2022-11-17
Pages
n.c
Print ISBN
9781009339285
Language
English
Ebook informations
EAN PDF
9781009339315
Price
£18.99
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Copy count 0
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File size 1608 Ko
Ce livre est accessible aux handicaps   Informations accessibility
EAN EPUB
9781009339308
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£18.99
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Copy count 0
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File size 3799 Ko
Ce livre est accessible aux handicaps   Informations accessibility
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