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...
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| Main Authors: | , |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge
Cambridge University Press
2022
|
| Series: | Cambridge elements
|
| Subjects: | |
| Online Access: | BSB01 UBG01 Volltext |
| Summary: | 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 |
| Item Description: | Title from publisher's bibliographic system (viewed on 28 Oct 2022) |
| Physical Description: | 1 Online-Ressource (43 Seiten) |
| ISBN: | 9781009339278 |
| DOI: | 10.1017/9781009339278 |
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| 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 |
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| physical | 1 Online-Ressource (43 Seiten) |
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| publisher | Cambridge University Press |
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| 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 |
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