Stochastic finance : a numeraire approach / Jan Vecer

By:

Vecer, Jan

Material type: Text

TextPublication details: Boca Raton : CRC Press, 2011Description: xv, 326p. 24cmISBN:

9781439812501

Subject(s):

DDC classification:

332.0151922 VEC

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Holdings
Item type	Current library	Call number	Status	Date due	Barcode	Item holds
Book	Calcutta	332.0151922 VEC (Browse shelf(Opens below))	Available		IIMC-132012

Total holds: 0

The book introduces basic concepts of finance, including price, no arbitrage, portfolio, financial contracts, the First Fundamental Theorem of Asset Pricing, and the change of numeraire formula. Subsequent chapters apply these general principles to three kinds of models: binomial, diffusion, and jump models. The author uses the binomial model to illustrate the relativity of the reference asset. In continuous time, he covers both diffusion and jump models in the evolution of price processes. The book also describes term structure models and numerous options, including European, barrier, lookback, quanto, American, and Asian.

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