2011

Financial Derivatives Modeling

Authors:

ISBN: 978-3-642-22154-5 (Print) 978-3-642-22155-2 (Online)

Table of contents (14 chapters)

  1. Front Matter

    Pages i-xi

  2. Derivatives Pricing Basics

    1. Front Matter

      Pages 1-1

    2. No Access

      Book Chapter

      Pages 3-7

      Pricing by Replication

    3. No Access

      Book Chapter

      Pages 9-18

      Static Replication

    4. No Access

      Book Chapter

      Pages 19-42

      Dynamic Replication

    5. No Access

      Book Chapter

      Pages 43-78

      Derivatives Modeling in Practice

  3. Skew and Smile Techniques

    1. Front Matter

      Pages 79-79

    2. No Access

      Book Chapter

      Pages 81-105

      Continuous Stochastic Processes

    3. No Access

      Book Chapter

      Pages 107-117

      Local Volatility Models

    4. No Access

      Book Chapter

      Pages 119-138

      Stochastic Volatility Models

    5. No Access

      Book Chapter

      Pages 139-155

      Lévy Models

  4. Exotic Derivatives

    1. Front Matter

      Pages 157-157

    2. No Access

      Book Chapter

      Pages 159-176

      Path-Dependent Derivatives

    3. No Access

      Book Chapter

      Pages 177-191

      High-Dimensional Derivatives

  5. Asset Class Specific Modeling

    1. Front Matter

      Pages 193-193

    2. No Access

      Book Chapter

      Pages 195-200

      Equities

    3. No Access

      Book Chapter

      Pages 201-219

      Commodities

    4. No Access

      Book Chapter

      Pages 221-280

      Interest Rates

    5. No Access

      Book Chapter

      Pages 281-296

      Foreign Exchange

  6. Back Matter

    Pages 297-319