Stochastic Finance: A Numeraire Approach (Chapman and Hall/CRC Financial Mathematics Series) 1st Edition

5.0 out of 5 stars 4 ratings
ISBN-13: 978-1439812501
ISBN-10: 1439812500
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Editorial Reviews

Review

… a nice book for researchers and practitioners. … this book can be regarded as a wonderful application of stochastic analysis, as it includes not only detailed theoretical proofs but also practical illustrative examples. With the systematic and feasible numeraire techniques, the book can serve as an everyday reference book for practitioners, but also as a powerful tool to deal with pricing and hedging for complicated financial assets. Most importantly, the representation of prices as a pairwise relationship of two assets is the most novel characteristic of this book, which could lead to deeper understanding of derivative contracts.
―Jian Ping Wan, Mathematical Reviews, 2012f

Although the importance of the choice of numeraire has been recognized for quite some time, this is the first book to stress the fundamental role that numeraires play in modern asset pricing theory. The author is the leading expert on the subject so it is a pleasure to highly recommend this book.
―Peter Carr, Ph.D., Managing Director of Morgan Stanley and Executive Director of NYU’s Master of Science Program in Mathematics in Finance

Finally, we have a full volume with a systematic treatment of the change of numeraire techniques. Jan Vecer has taken years of teaching experience and practitioners’ feedback to unify a previously complicated topic into the most elegant and easily accessible numeraire textbook to come down the pike. Now it has become fun to learn about parity and duality relationships among exotic options in a whole variety of models. The practitioners will be happy about the dimension reduction methods. There should be more such books.
―Uwe Wystup, Ph.D., Managing Director of MathFinance AG

About the Author

Jan Vecer is a professor of finance and has taught courses on stochastic finance at Columbia University, the University of Michigan, Kyoto University, and the Frankfurt School of Finance and Management. His research interests encompass areas within financial statistics, financial engineering, and applied probability, including option pricing, optimal trading strategies, stochastic optimal control, and stochastic processes. He earned a Ph.D. in mathematical finance from Carnegie Mellon University.


Product details

  • Hardcover : 342 pages
  • ISBN-10 : 1439812500
  • ISBN-13 : 978-1439812501
  • Item Weight : 1.35 pounds
  • Product Dimensions : 6.2 x 0.9 x 9.3 inches
  • Publisher : CRC Press; 1st Edition (January 6, 2011)
  • Language: : English
  • Customer Reviews:
    5.0 out of 5 stars 4 ratings
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