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Stochastic Finance "A Numeraire Approach"

A Numeraire Approach

Stochastic Finance "A Numeraire Approach". A Numeraire Approach

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  • ISBN:9781439812501
  • Editorial: Routledge
  • Fecha de la edición:
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  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:256
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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 economy is able to produce a risk-free profit

Introduction. Elements of Probability (Probability Space, Information of a Random Variable, Conditional Expectation, Martingales, Brownian Motion, Stochastic Calculus). Elements of Probability (Price, Portfolio, Arbitrage, Tradeables, Fundamental Theorems of Asset Pricing, Law of One Price, Change of Measure). Option Pricing (European Options, Barrier Options, Lookback Options, Asian Options, American Options). Term Structure Models. Pricing and Hedging in Incomplete Markets.

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