Girsanov, numeraires, and all that:
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 b...
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2022
|
| Schriftenreihe: | Cambridge elements
|
| Schlagworte: | |
| Online-Zugang: | BSB01 UBG01 Volltext |
| Zusammenfassung: | 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 |
| Beschreibung: | Title from publisher's bibliographic system (viewed on 28 Oct 2022) |
| Beschreibung: | 1 Online-Ressource (43 Seiten) |
| ISBN: | 9781009339278 |
| DOI: | 10.1017/9781009339278 |
Internformat
MARC
| LEADER | 00000nmm a2200000zc 4500 | ||
|---|---|---|---|
| 001 | BV048587150 | ||
| 003 | DE-604 | ||
| 005 | 00000000000000.0 | ||
| 007 | cr|uuu---uuuuu | ||
| 008 | 221130s2022 |||| o||u| ||||||eng d | ||
| 020 | |a 9781009339278 |c Online |9 978-1-00-933927-8 | ||
| 024 | 7 | |a 10.1017/9781009339278 |2 doi | |
| 035 | |a (ZDB-20-CBO)CR9781009339278 | ||
| 035 | |a (OCoLC)1352874599 | ||
| 035 | |a (DE-599)BVBBV048587150 | ||
| 040 | |a DE-604 |b ger |e rda | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-12 |a DE-473 | ||
| 082 | 0 | |a 332.63228 | |
| 100 | 1 | |a Hagan, Patrick S. |d ca. 20./21. Jh. |0 (DE-588)1274234360 |4 aut | |
| 245 | 1 | 0 | |a Girsanov, numeraires, and all that |c Patrick S. Hagan, Andrew Lesniewski |
| 264 | 1 | |a Cambridge |b Cambridge University Press |c 2022 | |
| 300 | |a 1 Online-Ressource (43 Seiten) | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b c |2 rdamedia | ||
| 338 | |b cr |2 rdacarrier | ||
| 490 | 0 | |a Cambridge elements | |
| 500 | |a Title from publisher's bibliographic system (viewed on 28 Oct 2022) | ||
| 520 | |a 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 | ||
| 650 | 4 | |a Options (Finance) / Prices / Mathematical models | |
| 700 | 1 | |a Lesniewski, Andrew |d ca. 20./21. Jh. |0 (DE-588)1274235669 |4 aut | |
| 776 | 0 | 8 | |i Erscheint auch als |n Druck-Ausgabe |z 978-1-00-933928-5 |
| 856 | 4 | 0 | |u https://doi.org/10.1017/9781009339278 |x Verlag |z URL des Erstveröffentlichers |3 Volltext |
| 912 | |a ZDB-20-CBO | ||
| 999 | |a oai:aleph.bib-bvb.de:BVB01-033962895 | ||
| 966 | e | |u https://doi.org/10.1017/9781009339278 |l BSB01 |p ZDB-20-CBO |q BSB_PDA_CBO |x Verlag |3 Volltext | |
| 966 | e | |u https://doi.org/10.1017/9781009339278 |l UBG01 |p ZDB-20-CBO |q UBG_PDA_CBO |x Verlag |3 Volltext | |
Datensatz im Suchindex
| _version_ | 1804184621979533312 |
|---|---|
| adam_txt | |
| any_adam_object | |
| any_adam_object_boolean | |
| author | Hagan, Patrick S. ca. 20./21. Jh Lesniewski, Andrew ca. 20./21. Jh |
| author_GND | (DE-588)1274234360 (DE-588)1274235669 |
| author_facet | Hagan, Patrick S. ca. 20./21. Jh Lesniewski, Andrew ca. 20./21. Jh |
| author_role | aut aut |
| author_sort | Hagan, Patrick S. ca. 20./21. Jh |
| author_variant | p s h ps psh a l al |
| building | Verbundindex |
| bvnumber | BV048587150 |
| collection | ZDB-20-CBO |
| ctrlnum | (ZDB-20-CBO)CR9781009339278 (OCoLC)1352874599 (DE-599)BVBBV048587150 |
| dewey-full | 332.63228 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63228 |
| dewey-search | 332.63228 |
| dewey-sort | 3332.63228 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| doi_str_mv | 10.1017/9781009339278 |
| format | Electronic eBook |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>02318nmm a2200409zc 4500</leader><controlfield tag="001">BV048587150</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">00000000000000.0</controlfield><controlfield tag="007">cr|uuu---uuuuu</controlfield><controlfield tag="008">221130s2022 |||| o||u| ||||||eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781009339278</subfield><subfield code="c">Online</subfield><subfield code="9">978-1-00-933927-8</subfield></datafield><datafield tag="024" ind1="7" ind2=" "><subfield code="a">10.1017/9781009339278</subfield><subfield code="2">doi</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(ZDB-20-CBO)CR9781009339278</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)1352874599</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV048587150</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rda</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-12</subfield><subfield code="a">DE-473</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.63228</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Hagan, Patrick S.</subfield><subfield code="d">ca. 20./21. Jh.</subfield><subfield code="0">(DE-588)1274234360</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Girsanov, numeraires, and all that</subfield><subfield code="c">Patrick S. Hagan, Andrew Lesniewski</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cambridge</subfield><subfield code="b">Cambridge University Press</subfield><subfield code="c">2022</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">1 Online-Ressource (43 Seiten)</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">c</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">cr</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Cambridge elements</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Title from publisher's bibliographic system (viewed on 28 Oct 2022)</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">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</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Options (Finance) / Prices / Mathematical models</subfield></datafield><datafield tag="700" ind1="1" ind2=" "><subfield code="a">Lesniewski, Andrew</subfield><subfield code="d">ca. 20./21. Jh.</subfield><subfield code="0">(DE-588)1274235669</subfield><subfield code="4">aut</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Druck-Ausgabe</subfield><subfield code="z">978-1-00-933928-5</subfield></datafield><datafield tag="856" ind1="4" ind2="0"><subfield code="u">https://doi.org/10.1017/9781009339278</subfield><subfield code="x">Verlag</subfield><subfield code="z">URL des Erstveröffentlichers</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="912" ind1=" " ind2=" "><subfield code="a">ZDB-20-CBO</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-033962895</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://doi.org/10.1017/9781009339278</subfield><subfield code="l">BSB01</subfield><subfield code="p">ZDB-20-CBO</subfield><subfield code="q">BSB_PDA_CBO</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield><datafield tag="966" ind1="e" ind2=" "><subfield code="u">https://doi.org/10.1017/9781009339278</subfield><subfield code="l">UBG01</subfield><subfield code="p">ZDB-20-CBO</subfield><subfield code="q">UBG_PDA_CBO</subfield><subfield code="x">Verlag</subfield><subfield code="3">Volltext</subfield></datafield></record></collection> |
| id | DE-604.BV048587150 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T21:06:37Z |
| indexdate | 2024-07-10T09:42:15Z |
| institution | BVB |
| isbn | 9781009339278 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-033962895 |
| oclc_num | 1352874599 |
| open_access_boolean | |
| owner | DE-12 DE-473 DE-BY-UBG |
| owner_facet | DE-12 DE-473 DE-BY-UBG |
| physical | 1 Online-Ressource (43 Seiten) |
| psigel | ZDB-20-CBO ZDB-20-CBO BSB_PDA_CBO ZDB-20-CBO UBG_PDA_CBO |
| publishDate | 2022 |
| publishDateSearch | 2022 |
| publishDateSort | 2022 |
| publisher | Cambridge University Press |
| record_format | marc |
| series2 | Cambridge elements |
| spelling | Hagan, Patrick S. ca. 20./21. Jh. (DE-588)1274234360 aut Girsanov, numeraires, and all that Patrick S. Hagan, Andrew Lesniewski Cambridge Cambridge University Press 2022 1 Online-Ressource (43 Seiten) txt rdacontent c rdamedia cr rdacarrier Cambridge elements Title from publisher's bibliographic system (viewed on 28 Oct 2022) 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 Options (Finance) / Prices / Mathematical models Lesniewski, Andrew ca. 20./21. Jh. (DE-588)1274235669 aut Erscheint auch als Druck-Ausgabe 978-1-00-933928-5 https://doi.org/10.1017/9781009339278 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Hagan, Patrick S. ca. 20./21. Jh Lesniewski, Andrew ca. 20./21. Jh Girsanov, numeraires, and all that Options (Finance) / Prices / Mathematical models |
| title | Girsanov, numeraires, and all that |
| title_auth | Girsanov, numeraires, and all that |
| title_exact_search | Girsanov, numeraires, and all that |
| title_exact_search_txtP | Girsanov, numeraires, and all that |
| title_full | Girsanov, numeraires, and all that Patrick S. Hagan, Andrew Lesniewski |
| title_fullStr | Girsanov, numeraires, and all that Patrick S. Hagan, Andrew Lesniewski |
| title_full_unstemmed | Girsanov, numeraires, and all that Patrick S. Hagan, Andrew Lesniewski |
| title_short | Girsanov, numeraires, and all that |
| title_sort | girsanov numeraires and all that |
| topic | Options (Finance) / Prices / Mathematical models |
| topic_facet | Options (Finance) / Prices / Mathematical models |
| url | https://doi.org/10.1017/9781009339278 |
| work_keys_str_mv | AT haganpatricks girsanovnumerairesandallthat AT lesniewskiandrew girsanovnumerairesandallthat |