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Girsanov, Numeraires, and All That - Elements in Quantitative Finance Hagan, Patrick S. (Gorilla Science)
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Girsanov, Numeraires, and All That - Elements in Quantitative Finance
Hagan, Patrick S. (Gorilla Science)
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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