Advanced Derivatives Pricing And Risk Management
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Advanced Derivatives Pricing And Risk Management
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Author : Claudio Albanese
language : en
Publisher: Academic Press
Release Date : 2006
Advanced Derivatives Pricing And Risk Management written by Claudio Albanese and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Business & Economics categories.
Book and CDROM include the important topics and cutting-edge research in financial derivatives and risk management.
Advanced Derivatives Pricing And Risk Management
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Author : Claudio Albanese
language : en
Publisher: Elsevier
Release Date : 2005-09-08
Advanced Derivatives Pricing And Risk Management written by Claudio Albanese and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-09-08 with Business & Economics categories.
Advanced Derivatives Pricing and Risk Management covers the most important and cutting-edge topics in financial derivatives pricing and risk management, striking a fine balance between theory and practice. The book contains a wide spectrum of problems, worked-out solutions, detailed methodologies, and applied mathematical techniques for which anyone planning to make a serious career in quantitative finance must master. In fact, core portions of the book's material originated and evolved after years of classroom lectures and computer laboratory courses taught in a world-renowned professional Master's program in mathematical finance. The book is designed for students in finance programs, particularly financial engineering. *Includes easy-to-implement VB/VBA numerical software libraries*Proceeds from simple to complex in approaching pricing and risk management problems*Provides analytical methods to derive cutting-edge pricing formulas for equity derivatives
Fundamentals And Advanced Techniques In Derivatives Hedging
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Author : Bruno Bouchard
language : en
Publisher: Springer
Release Date : 2016-06-23
Fundamentals And Advanced Techniques In Derivatives Hedging written by Bruno Bouchard and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-06-23 with Mathematics categories.
This book covers the theory of derivatives pricing and hedging as well as techniques used in mathematical finance. The authors use a top-down approach, starting with fundamentals before moving to applications, and present theoretical developments alongside various exercises, providing many examples of practical interest.A large spectrum of concepts and mathematical tools that are usually found in separate monographs are presented here. In addition to the no-arbitrage theory in full generality, this book also explores models and practical hedging and pricing issues. Fundamentals and Advanced Techniques in Derivatives Hedging further introduces advanced methods in probability and analysis, including Malliavin calculus and the theory of viscosity solutions, as well as the recent theory of stochastic targets and its use in risk management, making it the first textbook covering this topic. Graduate students in applied mathematics with an understanding of probability theory and stochastic calculus will find this book useful to gain a deeper understanding of fundamental concepts and methods in mathematical finance.
Financial Derivatives
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Author : Rob Quail
language : en
Publisher: John Wiley & Sons
Release Date : 2009-10-15
Financial Derivatives written by Rob Quail and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-10-15 with Business & Economics categories.
Essential insights on the various aspects of financial derivatives If you want to understand derivatives without getting bogged down by the mathematics surrounding their pricing and valuation, Financial Derivatives is the book for you. Through in-depth insights gleaned from years of financial experience, Robert Kolb and James Overdahl clearly explain what derivatives are and how you can prudently use them within the context of your underlying business activities. Financial Derivatives introduces you to the wide range of markets for financial derivatives. This invaluable guide offers a broad overview of the different types of derivatives-futures, options, swaps, and structured products-while focusing on the principles that determine market prices. This comprehensive resource also provides a thorough introduction to financial derivatives and their importance to risk management in a corporate setting. Filled with helpful tables and charts, Financial Derivatives offers a wealth of knowledge on futures, options, swaps, financial engineering, and structured products. Discusses what derivatives are and how you can prudently implement them within the context of your underlying business activities Provides thorough coverage of financial derivatives and their role in risk management Explores financial derivatives without getting bogged down by the mathematics surrounding their pricing and valuation This informative guide will help you unlock the incredible potential of financial derivatives.
Financial Engineering
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Author : Keith Cuthbertson
language : en
Publisher: John Wiley & Sons
Release Date : 2001-06-08
Financial Engineering written by Keith Cuthbertson and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001-06-08 with Business & Economics categories.
This text provides a thorough treatment of futures, 'plain vanilla' options and swaps as well as the use of exotic derivatives and interest rate options for speculation and hedging. Pricing of options using numerical methods such as lattices (BOPM), Mone Carlo simulation and finite difference methods, in additon to solutions using continuous time mathematics, are also covered. Real options theory and its use in investment appraisal and in valuing internet and biotechnology companies provide cutting edge practical applications. Practical risk management issues are examined in depth. Alternative models for calculating Value at Risk (market risk) and credit risk provide the throretical basis for a practical and timely overview of these areas of regulatory policy. This book is designed for courses in derivatives and risk management taken by specialist MBA, MSc Finance students or final year undergraduates, either as a stand-alone text or as a follow-on to Investments: Spot and Derivatives Markets by the same authors. The authors adopt a real-world emphasis throughout, and include features such as: * topic boxes, worked examples and learning objectives * Financial Times and Wall Street Journal newspaper extracts and analysis of real world cases * supporting web site including Lecturer's Resource Pack and Student Centre with interactive Excel and GAUSS software
Theory Of Financial Risk And Derivative Pricing
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Author : Jean-Philippe Bouchaud
language : en
Publisher: Cambridge University Press
Release Date : 2003-12-11
Theory Of Financial Risk And Derivative Pricing written by Jean-Philippe Bouchaud and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003-12-11 with Business & Economics categories.
Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.
Introduction To Derivative Securities Financial Markets And Risk Management An Third Edition
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Author : Robert A Jarrow
language : en
Publisher: World Scientific
Release Date : 2024-05-03
Introduction To Derivative Securities Financial Markets And Risk Management An Third Edition written by Robert A Jarrow and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-05-03 with Business & Economics categories.
The third edition updates the text in two significant ways. First, it updates the presentation to reflect changes that have occurred in financial markets since the publication of the 2nd edition. One such change is with respect to the over-the-counter interest rate derivatives markets and the abolishment of LIBOR as a reference rate. Second, it updates the theory to reflect new research related to asset price bubbles and the valuation of options. Asset price bubbles are a reality in financial markets and their impact on derivative pricing is essential to understand. This is the only introductory textbook that contains these insights on asset price bubbles and options.
Derivatives
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Author : Jiří Witzany
language : en
Publisher: Springer Nature
Release Date : 2020-11-04
Derivatives written by Jiří Witzany and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-11-04 with Business & Economics categories.
This book helps students, researchers and quantitative finance practitioners to understand both basic and advanced topics in the valuation and modeling of financial and commodity derivatives, their institutional framework and risk management. It provides an overview of the new regulatory requirements such as Basel III, the Fundamental Review of the Trading Book (FRTB), Interest Rate Risk of the Banking Book (IRRBB), or the Internal Capital Assessment Process (ICAAP). The reader will also find a detailed treatment of counterparty credit risk, stochastic volatility estimation methods such as MCMC and Particle Filters, and the concepts of model-free volatility, VIX index definition and the related volatility trading. The book can also be used as a teaching material for university derivatives and financial engineering courses.
Trading And Pricing Financial Derivatives
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Author : Patrick Boyle
language : en
Publisher: Walter de Gruyter GmbH & Co KG
Release Date : 2018-12-17
Trading And Pricing Financial Derivatives written by Patrick Boyle and has been published by Walter de Gruyter GmbH & Co KG this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-12-17 with Business & Economics categories.
Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.
Derivatives And Internal Models
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Author : Hans-Peter Deutsch
language : en
Publisher: Springer Nature
Release Date : 2019-10-08
Derivatives And Internal Models written by Hans-Peter Deutsch and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-10-08 with Business & Economics categories.
Now in its fifth edition, Derivatives and Internal Models provides a comprehensive and thorough introduction to derivative pricing, risk management and portfolio optimization, covering all relevant topics with enough hands-on, depth of detail to enable readers to develop their own pricing and risk tools. The book provides insight into modern market risk quantification methods such as variance-covariance, historical simulation, Monte Carlo, hedge ratios, etc., including time series analysis and statistical concepts such as GARCH Models or Chi-Square-distributions. It shows how optimal trading decisions can be deduced once risk has been quantified by introducing risk-adjusted performance measures and a complete presentation of modern quantitative portfolio optimization. Furthermore, all the important modern derivatives and their pricing methods are presented; from basic discounted cash flow methods to Black-Scholes, binomial trees, differential equations, finite difference schemes, Monte Carlo methods, Martingales and Numeraires, terms structure models, etc. The fifth edition of this classic finance book has been comprehensively reviewed. New chapters/content cover multicurve bootstrapping, the valuation and hedging of credit default risk that is inherently incorporated in every derivative—both of which are direct and permanent consequences of the financial crises with a large impact on our understanding of modern derivative valuation. The book will be accompanied by downloadable Excel spread sheets, which demonstrate how the theoretical concepts explained in the book can be turned into valuable algorithms and applications and will serve as an excellent starting point for the reader’s own bespoke solutions for valuation and risk management systems.