Smile Pricing Explained
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Smile Pricing Explained
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Author : P. Austing
language : en
Publisher: Springer
Release Date : 2014-08-29
Smile Pricing Explained written by P. Austing and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-08-29 with Business & Economics categories.
Smile Pricing Explained provides a clear and thorough explanation of the concepts of smile modelling that are at the forefront of modern derivatives pricing. The key models used in practice are covered, together with numerical techniques and calibration.
Equity Derivatives Explained
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Author : M. Bouzoubaa
language : en
Publisher: Springer
Release Date : 2014-05-09
Equity Derivatives Explained written by M. Bouzoubaa and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-09 with Business & Economics categories.
A succinct book that provides readers with all they need to know about the equity derivatives business. It deals with vanilla equity products, their usage, structuring and their risk management. The author efficiently bridges the gap between theory and practice, constantly linking risk management tools with specific business objectives.
Interest Rate Derivatives Explained
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Author : J. Kienitz
language : en
Publisher: Springer
Release Date : 2014-12-05
Interest Rate Derivatives Explained written by J. Kienitz and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-05 with Business & Economics categories.
Aimed at practitioners who need to understand the current fixed income markets and learn the techniques necessary to master the fundamentals, this book provides a thorough but concise description of fixed income markets, looking at the business, products and structures and advanced modeling of interest rate instruments.
The Greeks And Hedging Explained
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Author : Peter Leoni
language : en
Publisher: Springer
Release Date : 2014-05-29
The Greeks And Hedging Explained written by Peter Leoni and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-05-29 with Business & Economics categories.
A practical guide to basic and intermediate hedging techniques for traders, structerers and risk management quants. This book fills a gap for a technical but not impenetrable guide to hedging options, and the 'Greek' (Theta, Vega, Rho and Lambda) -parameters that represent the sensitivity of derivatives prices.
Financial Engineering With Copulas Explained
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Author : J. Mai
language : en
Publisher: Springer
Release Date : 2014-10-02
Financial Engineering With Copulas Explained written by J. Mai and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-10-02 with Business & Economics categories.
This is a succinct guide to the application and modelling of dependence models or copulas in the financial markets. First applied to credit risk modelling, copulas are now widely used across a range of derivatives transactions, asset pricing techniques and risk models and are a core part of the financial engineer's toolkit.
Algorithmic Differentiation In Finance Explained
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Author : Marc Henrard
language : en
Publisher: Springer
Release Date : 2017-09-04
Algorithmic Differentiation In Finance Explained written by Marc Henrard and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-09-04 with Business & Economics categories.
This book provides the first practical guide to the function and implementation of algorithmic differentiation in finance. Written in a highly accessible way, Algorithmic Differentiation Explained will take readers through all the major applications of AD in the derivatives setting with a focus on implementation. Algorithmic Differentiation (AD) has been popular in engineering and computer science, in areas such as fluid dynamics and data assimilation for many years. Over the last decade, it has been increasingly (and successfully) applied to financial risk management, where it provides an efficient way to obtain financial instrument price derivatives with respect to the data inputs. Calculating derivatives exposure across a portfolio is no simple task. It requires many complex calculations and a large amount of computer power, which in prohibitively expensive and can be time consuming. Algorithmic differentiation techniques can be very successfully in computing Greeks and sensitivities of a portfolio with machine precision. Written by a leading practitioner who works and programmes AD, it offers a practical analysis of all the major applications of AD in the derivatives setting and guides the reader towards implementation. Open source code of the examples is provided with the book, with which readers can experiment and perform their own test scenarios without writing the related code themselves.
The Xva Of Financial Derivatives Cva Dva And Fva Explained
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Author : Dongsheng Lu
language : en
Publisher: Springer
Release Date : 2015-11-10
The Xva Of Financial Derivatives Cva Dva And Fva Explained written by Dongsheng Lu and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-11-10 with Business & Economics categories.
This latest addition to the Financial Engineering Explained series focuses on the new standards for derivatives valuation, namely, pricing and risk management taking into account counterparty risk, and the XVA's Credit, Funding and Debt value adjustments.
Innovations In Derivatives Markets
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Author : Kathrin Glau
language : en
Publisher: Springer
Release Date : 2016-12-02
Innovations In Derivatives Markets written by Kathrin Glau and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-12-02 with Mathematics categories.
This book presents 20 peer-reviewed chapters on current aspects of derivatives markets and derivative pricing. The contributions, written by leading researchers in the field as well as experienced authors from the financial industry, present the state of the art in: • Modeling counterparty credit risk: credit valuation adjustment, debit valuation adjustment, funding valuation adjustment, and wrong way risk. • Pricing and hedging in fixed-income markets and multi-curve interest-rate modeling. • Recent developments concerning contingent convertible bonds, the measuring of basis spreads, and the modeling of implied correlations. The recent financial crisis has cast tremendous doubts on the classical view on derivative pricing. Now, counterparty credit risk and liquidity issues are integral aspects of a prudent valuation procedure and the reference interest rates are represented by a multitude of curves according to their different periods and maturities. A panel discussion included in the book (featuring Damiano Brigo, Christian Fries, John Hull, and Daniel Sommer) on the foundations of modeling and pricing in the presence of counterparty credit risk provides intriguing insights on the debate.
Fx Barrier Options
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Author : Zareer Dadachanji
language : en
Publisher: Springer
Release Date : 2016-04-29
Fx Barrier Options written by Zareer Dadachanji and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-29 with Business & Economics categories.
Barrier options are a class of highly path-dependent exotic options which present particular challenges to practitioners in all areas of the financial industry. They are traded heavily as stand-alone contracts in the Foreign Exchange (FX) options market, their trading volume being second only to that of vanilla options. The FX options industry has correspondingly shown great innovation in this class of products and in the models that are used to value and risk-manage them. FX structured products commonly include barrier features, and in order to analyse the effects that these features have on the overall structured product, it is essential first to understand how individual barrier options work and behave. FX Barrier Options takes a quantitative approach to barrier options in FX environments. Its primary perspectives are those of quantitative analysts, both in the front office and in control functions. It presents and explains concepts in a highly intuitive manner throughout, to allow quantitatively minded traders, structurers, marketers, salespeople and software engineers to acquire a more rigorous analytical understanding of these products. The book derives, demonstrates and analyses a wide range of models, modelling techniques and numerical algorithms that can be used for constructing valuation models and risk-management methods. Discussions focus on the practical realities of the market and demonstrate the behaviour of models based on real and recent market data across a range of currency pairs. It furthermore offers a clear description of the history and evolution of the different types of barrier options, and elucidates a great deal of industry nomenclature and jargon.
Fx Options And Smile Risk
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Author : Antonio Castagna
language : en
Publisher: John Wiley & Sons
Release Date : 2010-01-19
Fx Options And Smile Risk written by Antonio Castagna 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 2010-01-19 with Business & Economics categories.
The FX options market represents one of the most liquid and strongly competitive markets in the world, and features many technical subtleties that can seriously harm the uninformed and unaware trader. This book is a unique guide to running an FX options book from the market maker perspective. Striking a balance between mathematical rigour and market practice and written by experienced practitioner Antonio Castagna, the book shows readers how to correctly build an entire volatility surface from the market prices of the main structures. Starting with the basic conventions related to the main FX deals and the basic traded structures of FX options, the book gradually introduces the main tools to cope with the FX volatility risk. It then goes on to review the main concepts of option pricing theory and their application within a Black-Scholes economy and a stochastic volatility environment. The book also introduces models that can be implemented to price and manage FX options before examining the effects of volatility on the profits and losses arising from the hedging activity. Coverage includes: how the Black-Scholes model is used in professional trading activity the most suitable stochastic volatility models sources of profit and loss from the Delta and volatility hedging activity fundamental concepts of smile hedging major market approaches and variations of the Vanna-Volga method volatility-related Greeks in the Black-Scholes model pricing of plain vanilla options, digital options, barrier options and the less well known exotic options tools for monitoring the main risks of an FX options’ book The book is accompanied by a CD Rom featuring models in VBA, demonstrating many of the approaches described in the book.