000			02034nam a2200361 i 4500
001			CR9781009339278
003			UkCbUP
005			20240909192314.0
006			m|||||o||d||||||||
007			cr||||||||||||
008			220805s2022||||enk o ||1 0|eng|d
020			_a9781009339278 (ebook)
020			_z9781009339285 (paperback)
040			_aUkCbUP _beng _erda _cUkCbUP
050		4	_aHG6024.A3 _b.H34 2022
082	0	4	_a332.63228 _223
100	1		_aHagan, Patrick S., _eauthor.
245	1	0	_aGirsanov, numeraires, and all that / _cPatrick S. Hagan, Andew Lesniewski.
264		1	_aCambridge : _bCambridge University Press, _c2022.
300			_a1 online resource (43 pages) : _bdigital, PDF file(s).
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
490	1		_aCambridge elements. Elements in quantitative finance, _x2631-8571
500			_aTitle from publisher's bibliographic system (viewed on 28 Oct 2022).
520			_aIn 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.
650		0	_aOptions (Finance) _xPrices _xMathematical models.
700	1		_aLesniewski, Andew, _eauthor.
776	0	8	_iPrint version: _z9781009339285
830		0	_aCambridge elements. _pElements in quantitative finance, _x2631-8571.
856	4	0	_uhttps://doi.org/10.1017/9781009339278
942			_2ddc _cEB
999			_c9816 _d9816