Girsanov, Numeraires, and All That
Lesniewski Andrew (Bernard M. Baruch College City University of New York)
9781009339285
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| Author(s) :- Lesniewski Andrew (Bernard M. Baruch College City University of New York) | Format :- Paperback |
| Publisher :- Cambridge University Press | Pub. Date :- 2022-11-17 |
| ISBN-13 :- 9781009339285 | |
| Series:- Elements in Quantitative Finance | |
| Pagination :- 75 pages, Worked examples or Exercises | |
| Dimensions :- 152 x 228 x 10 | |
| Weight :- 96 |
Description
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.
