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Financial Derivatives ModelingEkstrand, Christian

2011, XI, 319p. 22 illus..

• Comprehensive introduction to financial derivatives modeling for graduate students and professionals
• Applies derivatives pricing methods to all major asset classes
• Contains an extensive list of stochastic differential equations with solution methods
• Includes a detailed description of the challenges associated with the calibration of, and risk management with, derivatives pricing models
  

This book gives a comprehensive introduction to the modeling of financial derivatives, covering all major asset classes (equities, commodities, interest rates and foreign exchange) and stretching from Black and Scholes' lognormal modeling to current-day research on skew and smile models. The intended reader has a solid mathematical background and is a graduate/final-year undergraduate student specializing in Mathematical Finance, or works at a financial institution such as an investment bank or a hedge fund.
Content Level » Graduate
Keywords » Derivatives - Derivatives Pricing - Financial Derivatives Modeling - Risk Management - Stochastic Calculus
Related subjects » Business, Economics & Finance - Finance & Banking - Quantitative Finance