Description

Book Synopsis
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.

Table of Contents
1. Introduction; 2. Girsanov's theorem; 3. Arbitrage asset pricing in a nutshell; 4. Riskless bond numeraires and associated EMMs; 5. Change of numeraire in interest rate and FX models; 6. Incomplete markets.

Girsanov Numeraires and All That

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    Order before 4pm tomorrow for delivery by Sat 13 Jun 2026.

    A Paperback by Patrick S. Hagan, Andrew Lesniewski

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      Publisher: Cambridge University Press
      Publication Date: 11/17/2022 12:00:00 AM
      ISBN13: 9781009339285, 978-1009339285
      ISBN10: 1009339281
      Also in:
      Business, Finance & Law Finance and the finance industry

      Description

      Book Synopsis
      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.

      Table of Contents
      1. Introduction; 2. Girsanov's theorem; 3. Arbitrage asset pricing in a nutshell; 4. Riskless bond numeraires and associated EMMs; 5. Change of numeraire in interest rate and FX models; 6. Incomplete markets.

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