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Author: Les Clewlow
Publisher:
ISBN:
Category : Derivative securities
Languages : en
Pages : 350
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Book Description
Author: Les Clewlow
Publisher:
ISBN:
Category : Derivative securities
Languages : en
Pages : 350
Get Book Here
Book Description
Author: Les Clewlow
Publisher: Wiley
ISBN: 9780471966517
Category : Business & Economics
Languages : en
Pages : 0
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Book Description
Ein hochaktueller Text zur Bewertung und Absicherung von Optionen, der Ihnen alle wichtigen numerischen Verfahren zur Optionsmodellierung verständlich nahebringt - ob Monte-Carlo-Simulation, binomische Methode oder Modelle mit Finiten Differenzen. Ein absolutes Muß für alle, die auf dem ständig expandierenden und immer komplexer werdenden Optionsmarkt mithalten wollen. (05/98)
Author: Les Clewlow
Publisher:
ISBN:
Category : Derivative securities
Languages : en
Pages : 309
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Book Description
Author: Nick Webber
Publisher: John Wiley & Sons
ISBN: 0470661844
Category : Business & Economics
Languages : en
Pages : 772
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Book Description
Implementing Models of Financial Derivatives is a comprehensive treatment of advanced implementation techniques in VBA for models of financial derivatives. Aimed at readers who are already familiar with the basics of VBA it emphasizes a fully object oriented approach to valuation applications, chiefly in the context of Monte Carlo simulation but also more broadly for lattice and PDE methods. Its unique approach to valuation, emphasizing effective implementation from both the numerical and the computational perspectives makes it an invaluable resource. The book comes with a library of almost a hundred Excel spreadsheets containing implementations of all the methods and models it investigates, including a large number of useful utility procedures. Exercises structured around four application streams supplement the exposition in each chapter, taking the reader from basic procedural level programming up to high level object oriented implementations. Written in eight parts, parts 1-4 emphasize application design in VBA, focused around the development of a plain Monte Carlo application. Part 5 assesses the performance of VBA for this application, and the final 3 emphasize the implementation of a fast and accurate Monte Carlo method for option valuation. Key topics include: ?Fully polymorphic factories in VBA; ?Polymorphic input and output using the TextStream and FileSystemObject objects; ?Valuing a book of options; ?Detailed assessment of the performance of VBA data structures; ?Theory, implementation, and comparison of the main Monte Carlo variance reduction methods; ?Assessment of discretization methods and their application to option valuation in models like CIR and Heston; ?Fast valuation of Bermudan options by Monte Carlo. Fundamental theory and implementations of lattice and PDE methods are presented in appendices and developed through the book in the exercise streams. Spanning the two worlds of academic theory and industrial practice, this book is not only suitable as a classroom text in VBA, in simulation methods, and as an introduction to object oriented design, it is also a reference for model implementers and quants working alongside derivatives groups. Its implementations are a valuable resource for students, teachers and developers alike. Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.
Author: Justin London
Publisher: John Wiley & Sons
ISBN: 047168189X
Category : Business & Economics
Languages : en
Pages : 922
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Book Description
This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.
Author: Philipp J. Schönbucher
Publisher: John Wiley & Sons
ISBN: 0470868171
Category : Business & Economics
Languages : en
Pages : 396
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Book Description
The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real-world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue. Dr. Philipp J. Schönbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University. He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation.
Author: William T. Shaw
Publisher: Cambridge University Press
ISBN: 9780521592338
Category : Business & Economics
Languages : en
Pages : 570
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Book Description
CD plus book for financial modelling, requires Mathematica 3 or 2.2; runs on most platforms.
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: Espen Gaarder Haug
Publisher: John Wiley & Sons
ISBN: 1118836820
Category : Business & Economics
Languages : en
Pages : 400
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Book Description
Derivatives Models on Models takes a theoretical and practical look at some of the latest and most important ideas behind derivatives pricing models. In each chapter the author highlights the latest thinking and trends in the area. A wide range of topics are covered, including valuation methods on stocks paying discrete dividend, Asian options, American barrier options, Complex barrier options, reset options, and electricity derivatives. The book also discusses the latest ideas surrounding finance like the robustness of dynamic delta hedging, option hedging, negative probabilities and space-time finance. The accompanying CD-ROM with additional Excel sheets includes the mathematical models covered in the book. The book also includes interviews with some of the world’s top names in the industry, and an insight into the history behind some of the greatest discoveries in quantitative finance. Interviewees include: Clive Granger, Nobel Prize winner in Economics 2003, on Cointegration Nassim Taleb on Black Swans Stephen Ross on Arbitrage Pricing Theory Emanuel Derman the Wall Street Quant Edward Thorp on Gambling and Trading Peter Carr the Wall Street Wizard of Option Symmetry and Volatility Aaron Brown on Gambling, Poker and Trading David Bates on Crash and Jumps Andrei Khrennikov on Negative Probabilities Elie Ayache on Option Trading and Modeling Peter Jaeckel on Monte Carlo Simulation Alan Lewis on Stochastic Volatility and Jumps Paul Wilmott on Paul Wilmott Knut Aase on Catastrophes and Financial Economics Eduardo Schwartz the Yoga Master of Quantitative Finance Bruno Dupire on Local and Stochastic Volatility Models
Author: Yves Hilpisch
Publisher: John Wiley & Sons
ISBN: 1119037999
Category : Business & Economics
Languages : en
Pages : 390
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Book Description
Supercharge options analytics and hedging using the power of Python Derivatives Analytics with Python shows you how to implement market-consistent valuation and hedging approaches using advanced financial models, efficient numerical techniques, and the powerful capabilities of the Python programming language. This unique guide offers detailed explanations of all theory, methods, and processes, giving you the background and tools necessary to value stock index options from a sound foundation. You'll find and use self-contained Python scripts and modules and learn how to apply Python to advanced data and derivatives analytics as you benefit from the 5,000+ lines of code that are provided to help you reproduce the results and graphics presented. Coverage includes market data analysis, risk-neutral valuation, Monte Carlo simulation, model calibration, valuation, and dynamic hedging, with models that exhibit stochastic volatility, jump components, stochastic short rates, and more. The companion website features all code and IPython Notebooks for immediate execution and automation. Python is gaining ground in the derivatives analytics space, allowing institutions to quickly and efficiently deliver portfolio, trading, and risk management results. This book is the finance professional's guide to exploiting Python's capabilities for efficient and performing derivatives analytics. Reproduce major stylized facts of equity and options markets yourself Apply Fourier transform techniques and advanced Monte Carlo pricing Calibrate advanced option pricing models to market data Integrate advanced models and numeric methods to dynamically hedge options Recent developments in the Python ecosystem enable analysts to implement analytics tasks as performing as with C or C++, but using only about one-tenth of the code or even less. Derivatives Analytics with Python — Data Analysis, Models, Simulation, Calibration and Hedging shows you what you need to know to supercharge your derivatives and risk analytics efforts.
