Girsanov, Numeraires, and All That
Book Details
Format
Paperback / Softback
Book Series
Elements in Quantitative Finance
ISBN-10
1009339281
ISBN-13
9781009339285
Publisher
Cambridge University Press
Imprint
Cambridge University Press
Country of Manufacture
GB
Country of Publication
GB
Publication Date
Nov 17th, 2022
Print length
75 Pages
Weight
96 grams
Dimensions
15.20 x 22.80 x 1.00 cms
Product Classification:
Finance
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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.
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