Girsanov, Numeraires, and All That - Elements in Quantitative Finance - Hagan, Patrick S. (Gorilla Science) - Books - Cambridge University Press - 9781009339285 - November 17, 2022
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Hagan, Patrick S. (Gorilla Science)
Girsanov, Numeraires, and All That - Elements in Quantitative Finance

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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.

75 pages, Worked examples or Exercises; Worked examples or Exercises

Media Books     Paperback Book   (Book with soft cover and glued back)
Released November 17, 2022
ISBN13 9781009339285
Publishers Cambridge University Press
Pages 52
Dimensions 228 × 152 × 10 mm   ·   96 g
Language English  

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