{"product_id":"girsanov-numeraires-and-all-that-patrick-s-hagan-9781009339285","title":"Girsanov, Numeraires, and All That","description":"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.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e Patrick S. Hagan, Andrew Lesniewski\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 1009339281\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9781009339285\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Cambridge University Press\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 11\/17\/2022\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 75\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Paperback\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 0.18lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.00h x 6.00w x 0.11d","brand":"Patrick S. Hagan","offers":[{"title":"Paperback","offer_id":44077668565247,"sku":"9781009339285","price":22.0,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0662\/2982\/9887\/files\/img_89d2f603-3db9-4291-ae0e-34540a720d62.jpg?v=1685471183","url":"https:\/\/www.whiterainbookhouse.com\/products\/girsanov-numeraires-and-all-that-patrick-s-hagan-9781009339285","provider":"WR Book House","version":"1.0","type":"link"}