Stochastic Finance

Stochastic Finance

Auteur: Jan Vecer
Éditeur: CRC Press
Édition: 1
Année de publication: 2011
ISBN: 9780367848309

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This classroom-tested text provides a deep understanding of derivative contracts. Unlike much of the existing literature, the book treats price as a number of units of one asset needed for an acquisition of a unit of another asset instead of expressing prices in dollar terms exclusively. This numeraire approach leads to simpler pricing options for complex products, such as barrier, lookback, quanto, and Asian options. With many examples and exercises, the text relies on intuition and basic principles, rather than technical computations.

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