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Author: Roger Lord
Publisher: Rozenberg Publishers
ISBN: 9051709099
Category :
Languages : en
Pages : 211
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Book Description
Author: Roger Lord
Publisher: Rozenberg Publishers
ISBN: 9051709099
Category :
Languages : en
Pages : 211
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Book Description
Author: Julia Di Nunno
Publisher: Springer Science & Business Media
ISBN: 364218412X
Category : Mathematics
Languages : en
Pages : 532
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Book Description
This book presents innovations in the mathematical foundations of financial analysis and numerical methods for finance and applications to the modeling of risk. The topics selected include measures of risk, credit contagion, insider trading, information in finance, stochastic control and its applications to portfolio choices and liquidation, models of liquidity, pricing, and hedging. The models presented are based on the use of Brownian motion, Lévy processes and jump diffusions. Moreover, fractional Brownian motion and ambit processes are also introduced at various levels. The chosen blend of topics gives an overview of the frontiers of mathematics for finance. New results, new methods and new models are all introduced in different forms according to the subject. Additionally, the existing literature on the topic is reviewed. The diversity of the topics makes the book suitable for graduate students, researchers and practitioners in the areas of financial modeling and quantitative finance. The chapters will also be of interest to experts in the financial market interested in new methods and products. This volume presents the results of the European ESF research networking program Advanced Mathematical Methods for Finance.
Author: Mohamed Bouzoubaa
Publisher: John Wiley & Sons
ISBN: 0470688033
Category : Business & Economics
Languages : en
Pages : 405
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Book Description
The recent financial crisis brought to light many of the misunderstandings and misuses of exotic derivatives. With market participants on both the buy and sell-side having been found guilty of not understanding the products they were dealing with, never before has there been a greater need for clarification and explanation. Exotic Options and Hybrids is a practical guide to structuring, pricing and hedging complex exotic options and hybrid derivatives that will serve readers through the recent crisis, the road to recovery, the next bull market and beyond. Written by experienced practitioners, it focuses on the three main parts of a derivative’s life: the structuring of a product, its pricing and its hedging. Divided into four parts, the book covers a multitude of structures, encompassing many of the most up-to-date and promising products from exotic equity derivatives and structured notes to hybrid derivatives and dynamic strategies. Based on a realistic setting from the heart of the business, inside a derivatives operation, the practical and intuitive discussions of these aspects make these exotic concepts truly accessible. Adoptions of real trades are examined in detail, and all of the numerous examples are carefully selected so as to highlight interesting and significant aspects of the business. The introduction of payoff structures is accompanied by scenario analysis, diagrams and lifelike sample term sheets. Readers learn how to spot where the risks lie to pave the way for sound valuation and hedging of such products. There are also questions and accompanying discussions dispersed in the text, each exploited to illustrate one or more concepts from the context in which they are set. The applications, the strengths and the limitations of various models are highlighted, in relevance to the products and their risks, rather than the model implementations. Models are de-mystified in separately dedicated sections, but their implications are alluded to throughout the book in an intuitive and non-mathematical manner. By discussing exotic options and hybrids in a practical, non-mathematical and highly intuitive setting, this book will blast through the misunderstanding of exotic derivatives, enabling practitioners to fully understand and correctly structure, price and hedge theses products effectively, and stand strong as the only book in its class to make these “exotic” concepts truly accessible.
Author: Riemer Pieter Faber
Publisher: Rozenberg Publishers
ISBN: 9036101654
Category :
Languages : en
Pages : 157
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Author: Tse-Chun Lin
Publisher: Rozenberg Publishers
ISBN: 9036101514
Category :
Languages : en
Pages : 146
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Author: Floris Heukelom
Publisher: Rozenberg Publishers
ISBN: 9036101255
Category :
Languages : en
Pages : 186
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Author: Marta Isabel López Yurda
Publisher: Rozenberg Publishers
ISBN: 9036101220
Category :
Languages : en
Pages : 171
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Book Description
Author: Xin-She Yang
Publisher: Springer Nature
ISBN: 9819733022
Category :
Languages : en
Pages : 636
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Book Description
Author: Xiaolong Liu
Publisher: Rozenberg Publishers
ISBN: 9036101999
Category :
Languages : en
Pages : 132
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Book Description
Author: Andrey M. Lizyayev
Publisher: Rozenberg Publishers
ISBN: 9036101875
Category :
Languages : en
Pages : 136
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Book Description
