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Author: Wolfgang Karl Härdle
Publisher: Springer
ISBN: 9783642088674
Category : Mathematics
Languages : en
Pages : 447
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Book Description
Recent years have witnessed a growing importance of quantitative methods in both financial research and industry. This development requires the use of advanced techniques on a theoretical and applied level, especially when it comes to the quantification of risk and the valuation of modern financial products. Applied Quantitative Finance (2nd edition) provides a comprehensive and state-of-the-art treatment of cutting-edge topics and methods. It provides solutions to and presents theoretical developments in many practical problems such as risk management, pricing of credit derivatives, quantification of volatility and copula modelling. The synthesis of theory and practice supported by computational tools is reflected in the selection of topics as well as in a finely tuned balance of scientific contributions on practical implementation and theoretical concepts. This linkage between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners comfortable access to new techniques in quantitative finance. Themes that are dominant in current research and which are presented in this book include among others the valuation of Collaterized Debt Obligations (CDOs), the high-frequency analysis of market liquidity, the pricing of Bermuda options and realized volatility. All Quantlets for the calculation of the given examples are downloadable from the Springer web pages.
Author: Wolfgang Karl Härdle
Publisher: Springer
ISBN: 9783642088674
Category : Mathematics
Languages : en
Pages : 447
Get Book Here
Book Description
Recent years have witnessed a growing importance of quantitative methods in both financial research and industry. This development requires the use of advanced techniques on a theoretical and applied level, especially when it comes to the quantification of risk and the valuation of modern financial products. Applied Quantitative Finance (2nd edition) provides a comprehensive and state-of-the-art treatment of cutting-edge topics and methods. It provides solutions to and presents theoretical developments in many practical problems such as risk management, pricing of credit derivatives, quantification of volatility and copula modelling. The synthesis of theory and practice supported by computational tools is reflected in the selection of topics as well as in a finely tuned balance of scientific contributions on practical implementation and theoretical concepts. This linkage between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners comfortable access to new techniques in quantitative finance. Themes that are dominant in current research and which are presented in this book include among others the valuation of Collaterized Debt Obligations (CDOs), the high-frequency analysis of market liquidity, the pricing of Bermuda options and realized volatility. All Quantlets for the calculation of the given examples are downloadable from the Springer web pages.
Author: A. Reghai
Publisher: Springer
ISBN: 1137414502
Category : Business & Economics
Languages : en
Pages : 284
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Book Description
The series of recent financial crises have thrown open the world of quantitative finance and financial modeling. This book brings together proven and new methodologies from finance, physics and engineering, along with years of industry and academic experience to provide a cookbook of models for dealing with the challenges of today's markets.
Author: Christian L. Dunis
Publisher: John Wiley & Sons
ISBN: 0470871342
Category : Business & Economics
Languages : en
Pages : 426
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Book Description
This book provides a manual on quantitative financial analysis. Focusing on advanced methods for modelling financial markets in the context of practical financial applications, it will cover data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment. Includes contributions from an international team of academics and quantitative asset managers from Morgan Stanley, Barclays Global Investors, ABN AMRO and Credit Suisse First Boston. Fills the gap for a book on applied quantitative investment & trading models Provides details of how to combine various models to manage and trade a portfolio
Author: Stephen Blyth
Publisher: Oxford University Press, USA
ISBN: 0199666598
Category : Business & Economics
Languages : en
Pages : 193
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Book Description
The quantitative nature of complex financial transactions makes them a fascinating subject area for mathematicians of all types. This book gives an insight into financial engineering while building on introductory probability courses by detailing one of the most fascinating applications of the subject.
Author: Jherek Healy
Publisher:
ISBN:
Category :
Languages : en
Pages : 536
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Book Description
In its third edition, this book presents the most significant equitya derivatives models used these days. It is not a book around esoteric or cutting-edge models, but rather a book on relatively simple and standard models, viewed from the angle of a practitioner. A few key subjects explained in this book are: cash dividends for European, American, or exotic options; issues of the Dupire local volatility model and possible fixes; finite difference techniques for American options and exotics; Non-parametric regression for American options in Monte-Carlo, randomized simulations; the particle method for stochastic-local-volatility model with quasi-random numbers; numerical methods for the variance and volatility swaps; quadratures for options under stochastic volatility models; VIX options and dividend derivatives; backward/forward representation of exotics.The January 2021 third edition adds significant details around the physical exercise feature, how to imply the Black-Scholes volatility, the projected successive over-relaxation as well as the recent policy iteration method for the pricing of American options (particularly relevant in the case of negative interest rates), the Andersen-Lake algorithm as fast pricing routine for the case of vanilla American options under the Black-Scholes model, random number generation, antithetic variates, the vectorization of the Monte-Carlo simulation, RBF interpolation of implied volatilities, the Cos method for European option under stochastic volatility models, the Vega in stochastic volatility models. The new text also includes important corrections around the pricing of forward starting and knock-in options with finite difference methods.
Author: C. Kenyon
Publisher: Springer
ISBN: 1137268522
Category : Business & Economics
Languages : en
Pages : 280
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Book Description
Providing the most up-to-date tools and techniques for pricing interest rate and credit products for the new financial world, this book discusses pricing and hedging, funding and regulation, and interpretation, as an essential resource for quantitatively minded practitioners and researchers in finance.
Author: Gianluca Fusai
Publisher: Springer Science & Business Media
ISBN: 3540499598
Category : Business & Economics
Languages : en
Pages : 606
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Book Description
This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain "crash courses" in VBA and Matlab programming languages.
Author: Christian Crispoldi
Publisher: Springer
ISBN: 1137378646
Category : Business & Economics
Languages : en
Pages : 274
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Book Description
Interest rate traders have been using the SABR model to price vanilla products for more than a decade. However this model suffers however from a severe limitation: its inability to value exotic products. A term structure model à la LIBOR Market Model (LMM) is often employed to value these more complex derivatives, however the LMM is unable to capture the volatility smile. A joint SABR LIBOR Market Model is the natural evolution towards a consistent pricing of vanilla and exotic products. Knowledge of these models is essential to all aspiring interest rate quants, traders and risk managers, as well an understanding of their failings and alternatives. SABR and SABR Libor Market Models in Practice is an accessible guide to modern interest rate modelling. Rather than covering an array of models which are seldom used in practice, it focuses on the SABR model, the market standard for vanilla products, the LIBOR Market Model, the most commonly used model for exotic products and the extended SABR LIBOR Market Model. The book takes a hands-on approach, demonstrating simply how to implement and work with these models in a market setting. It bridges the gap between the understanding of the models from a conceptual and mathematical perspective and the actual implementation by supplementing the interest rate theory with modelling specific, practical code examples written in Python.
Author: Norbert Hilber
Publisher: Springer Science & Business Media
ISBN: 3642354017
Category : Mathematics
Languages : en
Pages : 301
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Book Description
Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. This unified, non-Monte-Carlo computational pricing methodology is capable of handling rather general classes of stochastic market models with jumps, including, in particular, all currently used Lévy and stochastic volatility models. It allows us e.g. to quantify model risk in computed prices on plain vanilla, as well as on various types of exotic contracts. The algorithms are developed in classical Black-Scholes markets, and then extended to market models based on multiscale stochastic volatility, to Lévy, additive and certain classes of Feller processes. This book is intended for graduate students and researchers, as well as for practitioners in the fields of quantitative finance and applied and computational mathematics with a solid background in mathematics, statistics or economics.
Author: W. Härdle
Publisher: Springer Science & Business Media
ISBN: 3662050218
Category : Business & Economics
Languages : en
Pages : 413
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Book Description
This book presents solutions for many practical problems in quantitative finance. The e-book design of the text connects theory and computational tools in an innovative way. All "quantlets" for calculation of examples in the text are executable on an XploRe Quantlet Server (XQS) and can be modified by the reader via the internet. The electronic edition can be downloaded from the web.
