Stochastic Finance
A Numeraire Approach
Based on quantitative finance courses taught at Columbia University to graduate students and Wall Street professionals, this text presents a novel approach to pricing derivatives contracts using numeraire techniques. Focusing on fundamental finance principles instead of mathematical theory, the author considers the price of an asset as an exchange ratio between goods that pay for each other, rather than expressing prices in currency terms. This approach leads to simple derivations of pricing formulas that are model independent. With illustrative examples, end-of-chapter exercises, and key solutions, the text emphasizes that no agent in the ec…
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Produktdetails
- ISBN: 978-1-4398-1250-1
- EAN: 9781439812501
- Produktnummer: 20743756
- Verlag: Taylor & Francis Inc
- Sprache: Englisch
- Erscheinungsjahr: 2011
- Seitenangabe: 342 S.
- Masse: H24.4 cm x B16.3 cm x D2.4 cm 600 g
- Abbildungen: 123 boxes; 7 Tables, black and white; 41 Illustrations, black and white
- Gewicht: 600
- Sonstiges: Postgraduate, Research & Scholarly
Über den Autor
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.
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