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Girsanov, Numeraires, and All That by Patrick S. Hagan; Andew Lesniewski is a nonfiction available to read on EtoBox.

What is Girsanov, Numeraires, and All That about?

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. They start with an informal review of Girsanov's theorem, followed by a brief summary of the basic concepts of the arbitrage free pricing, and the technique of change of numeraire. This is followed by a number of applications of the change of numeraire technique including interest rate models, FX quanto adjustments, credit risk modeling, mortgage backed securities, and CMS rates.

Who reads Girsanov, Numeraires, and All That?

Author

Patrick S. Hagan; Andew Lesniewski

Publisher

Cambridge University Press

Published

2022

Language

EN

ISBN

9781009339285

Category

nonfiction