£46.65

Springer Change of Time Methods in Quantitative Finance Book

Name: Springer Change of Time Methods in Quantitative Finance Book
Brand: Springer
Price: 46.65 GBP
Availability: InStock

Professional Finance

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Description

Explore the mathematical foundations of financial modeling with Change of Time Methods in Quantitative Finance by Springer. This specialized text provides a detailed look at the history and fundamental theory of Change of Time Methods (CTM), connecting these concepts to stochastic volatilities and modern finance. Readers will find practical value through the application of CTM in both financial and energy markets. The book uses real data for its numerical examples, ensuring the theory translates to practical scenarios. You can learn how to derive the Black-Scholes formula for European call options and discover explicit option pricing formulas for mean-reverting models used in commodity prices. This book is a valuable resource for professionals and students looking to understand the properties and basic concepts of CTM in a quantitative context.

Key Features

Covers the history and fundamental aspects of Change of Time Methods (CTM) and its connection to stochastic volatilities.

Provides practical applications of CTM specifically designed for use in financial and energy markets.

Includes numerical examples based on real data to bridge the gap between theory and practice.

Explains how to derive the Black-Scholes formula for European call options using the change of time method.

Offers an explicit option pricing formula for a European call option within a mean-reverting model for commodity prices.

Product Specifications

Brand: Springer
Format: paperback
ASIN: 3319324063
Category: Books > Subjects > Business, Finance & Law > Professional Finance
Domain: Amazon UK
Release Date: 17 June 2016
Listed Since: 10 March 2016

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Springer Change of Time Methods in Quantitative Finance Book

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