Practical Quantitative Investment Management with Derivatives PDF Download
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Author: F. Cowell
Publisher: Springer
ISBN: 0230501877
Category : Business & Economics
Languages : en
Pages : 523
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Book Description
The book is divided into three sections plus detailed appendices and glossary and accompanying CD-ROM. The first section provides a description of the investment management process providing a context for quantitative techniques. Section 2 addresses different quantitative techniques as applied to investment management. Each chapter explains the techniques, the theoretical basis, the use of derivatives and other technology, implementation and management and the role of the custodian. Section 3 brings together issues such as currency management, performance measurement and appraisal and performance analysis. The accompanying CD-ROM contains spreadsheets in EXCEL giving examples used in the body of the text. Each example is cross-referenced for easy access.
Author: F. Cowell
Publisher: Springer
ISBN: 0230501877
Category : Business & Economics
Languages : en
Pages : 523
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Book Description
The book is divided into three sections plus detailed appendices and glossary and accompanying CD-ROM. The first section provides a description of the investment management process providing a context for quantitative techniques. Section 2 addresses different quantitative techniques as applied to investment management. Each chapter explains the techniques, the theoretical basis, the use of derivatives and other technology, implementation and management and the role of the custodian. Section 3 brings together issues such as currency management, performance measurement and appraisal and performance analysis. The accompanying CD-ROM contains spreadsheets in EXCEL giving examples used in the body of the text. Each example is cross-referenced for easy access.
Author: Chris Kelliher
Publisher: CRC Press
ISBN: 100058237X
Category : Mathematics
Languages : en
Pages : 801
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Book Description
Quantitative Finance with Python: A Practical Guide to Investment Management, Trading and Financial Engineering bridges the gap between the theory of mathematical finance and the practical applications of these concepts for derivative pricing and portfolio management. The book provides students with a very hands-on, rigorous introduction to foundational topics in quant finance, such as options pricing, portfolio optimization and machine learning. Simultaneously, the reader benefits from a strong emphasis on the practical applications of these concepts for institutional investors. Features Useful as both a teaching resource and as a practical tool for professional investors. Ideal textbook for first year graduate students in quantitative finance programs, such as those in master’s programs in Mathematical Finance, Quant Finance or Financial Engineering. Includes a perspective on the future of quant finance techniques, and in particular covers some introductory concepts of Machine Learning. Free-to-access repository with Python codes available at www.routledge.com/ 9781032014432 and on https://github.com/lingyixu/Quant-Finance-With-Python-Code.
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: Don M. Chance
Publisher: CFA Institute
ISBN:
Category : Business & Economics
Languages : en
Pages : 100
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Book Description
Overview -- Derivatives in equity portfolios / Joanne M. Hill -- Derivatives in fixed-income portfolios / Don M. Chance -- Derivatives for international investing / Thomas S.Y. Ho -- Picturing volatility and correlation / John Zerolis -- Applying value-at-risk measures to derivatives / David C. Shimko -- Addressing derivatives risk / Maarten Nederlof.
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: Marcus Overhaus
Publisher: John Wiley & Sons
ISBN: 0471770582
Category : Business & Economics
Languages : en
Pages : 337
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Book Description
Take an in-depth look at equity hybrid derivatives. Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book presents leading-edge thinking in modeling, valuing, and hedging for this market, which is increasingly used for investment by hedge funds. You'll gain a balanced, integrated presentation of theory and practice, with an emphasis on understanding new techniques for analyzing volatility and credit derivative transactions linked to equity. In every instance, theory is illustrated along with practical application. Marcus Overhaus, PhD, is Managing Director and Global Head of Quantitative Research and Equity Structuring. Ana Bermudez, PhD, is an Associate in Global Quantitative Research. Hans Buehler, PhD, is a Vice President in Global Quantitative Research. Andrew Ferraris, DPhil, is a Managing Director in Global Quantitative Research. Christopher Jordinson, PhD, is a Vice President in Global Quantitative Research. Aziz Lamnouar, DEA, is a Vice President in Global Quantitative Research. All are associated with Deutsche Bank AG, London.
Author: Barry Schachter
Publisher: North-Holland
ISBN:
Category : Business & Economics
Languages : en
Pages : 396
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Book Description
Hardbound. This volume provides high quality academic research on the ongoing, and sometimes heated, public policy debate over the benefits of bank derivatives and trading activities. This debate is centered on the potential adverse systemic effects of these activities. To date, relatively little of what is known of the economic causes and consequences of these activities is the result of scientific scrutiny. Firstly, the volume documents the trends in trading activities and derivatives usage. Secondly, this book discusses the economic motivation for, and economic consequences of banks' derivatives and trading activities. Thirdly, the regulatory options and their potential consequences are evaluated. Recommendations for a reasoned supervisory response, based on the analyses in this book, conclude the volume.
Author: Ludwig B. Chincarini
Publisher: McGraw Hill Professional
ISBN: 0071492380
Category : Business & Economics
Languages : en
Pages : 691
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Book Description
Quantitative Equity Portfolio Management brings the orderly structure of fundamental asset management to the often-chaotic world of active equity management. Straightforward and accessible, it provides you with nuts-and-bolts details for selecting and aggregating factors, building a risk model, and much more.
Author: Marcus Overhaus
Publisher: John Wiley & Sons
ISBN: 1118160878
Category : Business & Economics
Languages : en
Pages : 172
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Book Description
Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book acquaints readers with leading-edge thinking in modeling and hedging these transactions. Equity Derivatives offers a balanced, integrated presentation of theory and practice in equity derivative markets. It provides a theoretical treatment of each new modeling and hedging concept first, and then demonstrates their practical application. The book covers: the newest and fastest-growing class of derivative instruments, fund derivatives; cutting-edge developments in equity derivative modeling; new developments in correlation modeling and understanding volatility skews; and new Web-based implementation/delivery methods. Marcus Overhaus, PhD, Andrew Ferraris, DPhil, Thomas Knudsen, PhD, Frank Mao, PhD, Ross Milward, Laurent Nguyen-Ngoc, PhD, and Gero Schindlmayr, PhD, are members of the Quantitative Research team of Deutsche Bank's Global Equity Division, which is based in London and headed by Dr. Overhaus.
Author: Frank J Fabozzi
Publisher: World Scientific
ISBN: 981122160X
Category : Business & Economics
Languages : en
Pages : 616
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Book Description
This book provides the fundamentals of asset management. It takes a practical perspective in describing asset management. Besides the theoretical aspects of investment management, it provides in-depth insights into the actual implementation issues associated with investment strategies. The 19 chapters combine theory and practice based on the experience of the authors in the asset management industry. The book starts off with describing the key activities involved in asset management and the various forms of risk in managing a portfolio. There is then coverage of the different asset classes (common stock, bonds, and alternative assets), collective investment vehicles, financial derivatives, common stock analysis and valuation, bond analytics, equity beta strategies (including smart beta), equity alpha strategies (including quantitative/systematic strategies), bond indexing and active bond portfolio strategies, and multi-asset strategies. The methods of using financial derivatives (equity derivatives, interest rate derivatives, and credit derivatives) in managing the risks of a portfolio are clearly explained and illustrated.
