Financial Derivatives Modeling

  • Christian Ekstrand

Table of contents

  1. Front Matter
    Pages i-xi
  2. Derivatives Pricing Basics

    1. Front Matter
      Pages 1-1
    2. Christian Ekstrand
      Pages 3-7
    3. Christian Ekstrand
      Pages 9-18
    4. Christian Ekstrand
      Pages 19-42
    5. Christian Ekstrand
      Pages 43-78
  3. Skew and Smile Techniques

    1. Front Matter
      Pages 79-79
    2. Christian Ekstrand
      Pages 81-105
    3. Christian Ekstrand
      Pages 107-117
    4. Christian Ekstrand
      Pages 119-138
    5. Christian Ekstrand
      Pages 139-155
  4. Exotic Derivatives

    1. Front Matter
      Pages 157-157
    2. Christian Ekstrand
      Pages 159-176
    3. Christian Ekstrand
      Pages 177-191
  5. Asset Class Specific Modeling

    1. Front Matter
      Pages 193-193
    2. Christian Ekstrand
      Pages 195-200
    3. Christian Ekstrand
      Pages 201-219
    4. Christian Ekstrand
      Pages 221-280
    5. Christian Ekstrand
      Pages 281-296
  6. Back Matter
    Pages 297-319

About this book

Introduction

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.

Keywords

Derivatives Derivatives Pricing Financial Derivatives Modeling Risk Management Stochastic Calculus

Authors and affiliations

  • Christian Ekstrand
    • 1
  1. 1., Merchant BankingSEBStockholmSweden

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-22155-2
  • Copyright Information Springer-Verlag Berlin Heidelberg 2011
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Business and Economics
  • Print ISBN 978-3-642-22154-5
  • Online ISBN 978-3-642-22155-2
  • About this book