TY  - BOOK
AU  - Hagan,Patrick S.
AU  - Lesniewski,Andew
TI  - Girsanov, numeraires, and all that
T2  - Cambridge elements. Elements in quantitative finance,
SN  - 9781009339278 (ebook)
AV  - HG6024.A3 .H34 2022
U1  - 332.63228 23
PY  - 2022///
CY  - Cambridge
PB  - Cambridge University Press
KW  - Options (Finance)
KW  - Prices
KW  - Mathematical models
N1  - Title from publisher's bibliographic system (viewed on 28 Oct 2022)
N2  - 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
UR  - https://doi.org/10.1017/9781009339278
ER  -