Frederic D. Vrins (UCLouvain)

Derivatives Pricing

• Gebundenes Buch

Produktbeschreibung

A masters-level introduction offering a unique compromise between intuition and the mathematics underlying derivatives pricing. Suitable for a broad readership ranging from management students to engineers, it starts from the foundations of probability, using examples, exercises and simulations to illustrate the key concepts.

Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 496
• Erscheinungstermin: 19. Februar 2025
• Englisch
• Abmessung: 250mm x 175mm x 31mm
• Gewicht: 1034g
• ISBN-13: 9781009554626
• ISBN-10: 100955462X
• Artikelnr.: 72110142

Autorenporträt

Frédéric D. Vrins has been a quantitative finance professor at the Louvain School of Management (UCLouvain) since 2014, where he coordinates the Financial Engineering track. Previously, he was Senior Quant in the trading room of a systemic bank. His research includes mathematical finance, credit risk and portfolio optimization.

Inhaltsangabe

Foreword
General Introduction
Part I. Probability Theory: 1. Probability space
2. Random variables and distributions
3. Moments and measure changes
4. Dealing with partial information
5. Sampling and Monte Carlo simulation
6. Solved exercises
Part II. Pricing by Risk-Neutral Expectation: 7. Stochastic process and related concepts
8. The random walk
9. Derivative pricing using CRR
10. The Brownian motion
11. Derivative pricing using GBM
12. Solved exercises
Part III. Pricing by Dynamic Replication: 13. Stochastic integrals
14. Stochastic differential equations
15. Itô calculus
16. The Black-Scholes-Merton equation
17. Solved exercises
Part IV. Hedging and Beyond: 18. Replication and hedging
19. Fundamental theorems of asset pricing
20. Pricing via change of numéraire
21. Beyond Black-Scholes-Merton
22. Solved exercises
Part V. Appendices: Appendix A. Short-selling in a nutshell
Appendix B. Important functions of distributions
Appendix C. Covergence of random variables
Appendix D. Quadratic variation of smooth functions
Appendix E. Connections between CRR and GBM
Appendix F. Pricing Asian options via Monte Carlo
Appendix G. Itô vs Stratanovich integrals
Appendix H. Itô's lemma: sketch of proof
Appendix I. Acronyms
Bibliography
Index.