Advanced Equity Derivatives

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Advanced Equity Derivatives

Sebastien Bossu
Advanced Equity Derivatives Book PDF

Author : Sebastien Bossu
Publisher : John Wiley & Sons
Page : 180 pages
File Size : 52,9 Mb
Release : 2014-05-19
Category : Business & Economics
ISBN : 9781118750964

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Advanced Equity Derivatives by Sebastien Bossu Pdf

In Advanced Equity Derivatives: Volatility and Correlation, Sébastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives. Designed for financial modelers, option traders and sophisticated investors, the content covers the most important theoretical and practical extensions of the Black-Scholes model. Each chapter includes numerous illustrations and a short selection of problems, covering key topics such as implied volatility surface models, pricing with implied distributions, local volatility models, volatility derivatives, correlation measures, correlation trading, local correlation models and stochastic correlation. The author has a dual professional and academic background, making Advanced Equity Derivatives: Volatility and Correlation the perfect reference for quantitative researchers and mathematically savvy finance professionals looking to acquire an in-depth understanding of equity exotic derivatives pricing and hedging.

An Introduction to Equity Derivatives

Sebastien Bossu,Philippe Henrotte
An Introduction to Equity Derivatives Book PDF

Author : Sebastien Bossu,Philippe Henrotte
Publisher : John Wiley & Sons
Page : 249 pages
File Size : 52,5 Mb
Release : 2012-03-27
Category : Business & Economics
ISBN : 9781119969037

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An Introduction to Equity Derivatives by Sebastien Bossu,Philippe Henrotte Pdf

Everything you need to get a grip on the complex world of derivatives Written by the internationally respected academic/finance professional author team of Sebastien Bossu and Philipe Henrotte, An Introduction to Equity Derivatives is the fully updated and expanded second edition of the popular Finance and Derivatives. It covers all of the fundamentals of quantitative finance clearly and concisely without going into unnecessary technical detail. Designed for both new practitioners and students, it requires no prior background in finance and features twelve chapters of gradually increasing difficulty, beginning with basic principles of interest rate and discounting, and ending with advanced concepts in derivatives, volatility trading, and exotic products. Each chapter includes numerous illustrations and exercises accompanied by the relevant financial theory. Topics covered include present value, arbitrage pricing, portfolio theory, derivates pricing, delta-hedging, the Black-Scholes model, and more. An excellent resource for finance professionals and investors looking to acquire an understanding of financial derivatives theory and practice Completely revised and updated with new chapters, including coverage of cutting-edge concepts in volatility trading and exotic products An accompanying website is available which contains additional resources including powerpoint slides and spreadsheets. Visit www.introeqd.com for details.

An Introduction to Equity Derivatives

Sebastien Bossu,Philippe Henrotte
An Introduction to Equity Derivatives Book PDF

Author : Sebastien Bossu,Philippe Henrotte
Publisher : John Wiley & Sons
Page : 249 pages
File Size : 47,7 Mb
Release : 2012-05-14
Category : Business & Economics
ISBN : 9781119961857

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An Introduction to Equity Derivatives by Sebastien Bossu,Philippe Henrotte Pdf

Everything you need to get a grip on the complex world of derivatives Written by the internationally respected academic/finance professional author team of Sebastien Bossu and Philipe Henrotte, An Introduction to Equity Derivatives is the fully updated and expanded second edition of the popular Finance and Derivatives. It covers all of the fundamentals of quantitative finance clearly and concisely without going into unnecessary technical detail. Designed for both new practitioners and students, it requires no prior background in finance and features twelve chapters of gradually increasing difficulty, beginning with basic principles of interest rate and discounting, and ending with advanced concepts in derivatives, volatility trading, and exotic products. Each chapter includes numerous illustrations and exercises accompanied by the relevant financial theory. Topics covered include present value, arbitrage pricing, portfolio theory, derivates pricing, delta-hedging, the Black-Scholes model, and more. An excellent resource for finance professionals and investors looking to acquire an understanding of financial derivatives theory and practice Completely revised and updated with new chapters, including coverage of cutting-edge concepts in volatility trading and exotic products An accompanying website is available which contains additional resources including powerpoint slides and spreadsheets. Visit www.introeqd.com for details.

Equity Derivatives and Hybrids

Oliver Brockhaus
Equity Derivatives and Hybrids Book PDF

Author : Oliver Brockhaus
Publisher : Springer
Page : 287 pages
File Size : 47,9 Mb
Release : 2016-04-29
Category : Business & Economics
ISBN : 9781137349491

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Equity Derivatives and Hybrids by Oliver Brockhaus Pdf

Since the development of the Black-Scholes model, research on equity derivatives has evolved rapidly to the point where it is now difficult to cut through the myriad of literature to find relevant material. Written by a quant with many years of experience in the field this book provides an up-to-date account of equity and equity-hybrid (equity-rates, equity-credit, equity-foreign exchange) derivatives modeling from a practitioner's perspective. The content reflects the requirements of practitioners in financial institutions: Quants will find a survey of state-of-the-art models and guidance on how to efficiently implement them with regards to market data representation, calibration, and sensitivity computation. Traders and structurers will learn about structured products, selection of the most appropriate models, as well as efficient hedging methods while risk managers will better understand market, credit, and model risk and find valuable information on advanced correlation concepts. Equity Derivatives and Hybrids provides exhaustive coverage of both market standard and new approaches, including: -Empirical properties of stock returns including autocorrelation and jumps -Dividend discount models -Non-Markovian and discrete-time volatility processes -Correlation skew modeling via copula as well as local and stochastic correlation factors -Hybrid modeling covering local and stochastic processes for interest rate, hazard rate, and volatility as well as closed form solutions -Credit, debt, and funding valuation adjustment (CVA, DVA, FVA) -Monte Carlo techniques for sensitivities including algorithmic differentiation, path recycling, as well as multilevel. Written in a highly accessible manner with examples, applications, research, and ideas throughout, this book provides a valuable resource for quantitative-minded practitioners and researchers.

Equity Hybrid Derivatives

Marcus Overhaus,Ana Bermudez,Hans Buehler,Andrew Ferraris,Christopher Jordinson,Aziz Lamnouar
Equity Hybrid Derivatives Book PDF

Author : Marcus Overhaus,Ana Bermudez,Hans Buehler,Andrew Ferraris,Christopher Jordinson,Aziz Lamnouar
Publisher : John Wiley & Sons
Page : 337 pages
File Size : 53,5 Mb
Release : 2007-02-02
Category : Business & Economics
ISBN : 9780471770589

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Equity Hybrid Derivatives by Marcus Overhaus,Ana Bermudez,Hans Buehler,Andrew Ferraris,Christopher Jordinson,Aziz Lamnouar Pdf

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.

Advanced Derivatives Pricing and Risk Management

Claudio Albanese,Giuseppe Campolieti
Advanced Derivatives Pricing and Risk Management Book PDF

Author : Claudio Albanese,Giuseppe Campolieti
Publisher : Academic Press
Page : 436 pages
File Size : 41,9 Mb
Release : 2006
Category : Business & Economics
ISBN : 9780120476824

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Advanced Derivatives Pricing and Risk Management by Claudio Albanese,Giuseppe Campolieti Pdf

Book and CDROM include the important topics and cutting-edge research in financial derivatives and risk management.

Equity Derivatives

Marcus Overhaus,Andrew Ferraris,Thomas Knudsen,Frank Mao,Laurent Nguyen-Ngoc,Gero Schindlmayr
Equity Derivatives Book PDF

Author : Marcus Overhaus,Andrew Ferraris,Thomas Knudsen,Frank Mao,Laurent Nguyen-Ngoc,Gero Schindlmayr
Publisher : John Wiley & Sons
Page : 172 pages
File Size : 54,5 Mb
Release : 2011-08-10
Category : Business & Economics
ISBN : 9781118160879

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Equity Derivatives by Marcus Overhaus,Andrew Ferraris,Thomas Knudsen,Frank Mao,Laurent Nguyen-Ngoc,Gero Schindlmayr Pdf

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.

Trading Volatility

Colin Bennett
Trading Volatility Book PDF

Author : Colin Bennett
Publisher : Unknown
Page : 316 pages
File Size : 46,8 Mb
Release : 2014-08-17
Category : Electronic
ISBN : 1461108756

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Trading Volatility by Colin Bennett Pdf

This publication aims to fill the void between books providing an introduction to derivatives, and advanced books whose target audience are members of quantitative modelling community. In order to appeal to the widest audience, this publication tries to assume the least amount of prior knowledge. The content quickly moves onto more advanced subjects in order to concentrate on more practical and advanced topics. "A master piece to learn in a nutshell all the essentials about volatility with a practical and lively approach. A must read!" Carole Bernard, Equity Derivatives Specialist at Bloomberg "This book could be seen as the 'volatility bible'!" Markus-Alexander Flesch, Head of Sales & Marketing at Eurex "I highly recommend this book both for those new to the equity derivatives business, and for more advanced readers. The balance between theory and practice is struck At-The-Money" Paul Stephens, Head of Institutional Marketing at CBOE "One of the best resources out there for the volatility community" Paul Britton, CEO and Founder of Capstone Investment Advisors "Colin has managed to convey often complex derivative and volatility concepts with an admirable simplicity, a welcome change from the all-too-dense tomes one usually finds on the subject" Edmund Shing PhD, former Proprietary Trader at BNP Paribas "In a crowded space, Colin has supplied a useful and concise guide" Gary Delany, Director Europe at the Options Industry Council

Handbook of Corporate Equity Derivatives and Equity Capital Markets

Juan Ramirez
Handbook of Corporate Equity Derivatives and Equity Capital Markets Book PDF

Author : Juan Ramirez
Publisher : John Wiley & Sons
Page : 452 pages
File Size : 49,9 Mb
Release : 2011-09-07
Category : Business & Economics
ISBN : 9781119950776

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Handbook of Corporate Equity Derivatives and Equity Capital Markets by Juan Ramirez Pdf

Equity strategies are closely guarded secrets and as such, there is very little written about how investors and corporate can utilise equity vehicles as part of their growth strategies. In this much-needed book, industry expert Juan Ramiraz guides readers through the whole range of equity derivative instruments, showing how they can be applied to a range of equity capital market situations, including hedging, yield enhancement and disposal of strategic stakes, mergers and acquisitions, stock options plan hedging, equity financings, share buybacks and other transactions on treasury shares, bank regulatory capital arbitrage and tax driven situations. The book includes case studies to highlight how equity derivative strategies have been used in real-life situations.

Equity Derivatives

Neil C Schofield
Equity Derivatives Book PDF

Author : Neil C Schofield
Publisher : Springer
Page : 487 pages
File Size : 51,9 Mb
Release : 2017-03-14
Category : Business & Economics
ISBN : 9780230391079

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Equity Derivatives by Neil C Schofield Pdf

This book provides thorough coverage of the institutional applications of equity derivatives. It starts with an introduction on stock markets' fundamentals before opening the gate on the world of structured products. Delta-one products and options are covered in detail, providing readers with deep understanding of the use of equity derivatives strategies. The book features most of the traded payoffs and structures and covers all practical aspects of pricing and hedging. The treatment of risks is performed in a very intuitive fashion and provides the reader with a great overview of how dealers approach such derivatives. The author also delivers various common sensical reasons on which models to use and when. By discussing equity derivatives in a practical, non–mathematical and highly intuitive setting, this book enables practitioners to fully understand and correctly structure, price and hedge these products effectively, and stand strong as the only book in its class to make these equity-related concepts truly accessible.

Structured Equity Derivatives

Harry M. Kat
Structured Equity Derivatives Book PDF

Author : Harry M. Kat
Publisher : Wiley
Page : 390 pages
File Size : 50,8 Mb
Release : 2001-08-22
Category : Business & Economics
ISBN : 0471486523

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Structured Equity Derivatives by Harry M. Kat Pdf

Although the pricing and hedging of derivatives contracts has been the subject of a large number of books, hardly any books exist on the actual design of derivatives contracts. Structured Equity Derivatives fills this gap in a remarkable way. The book introduces an approach to the structuring and practical application of derivatives that allows the reader to create his own derivatives solutions to an endless variety of problems. The approach is extremely natural - the only limit is the reader's own creativity. Since it clearly explains the reasons why derivatives exist and why there is such a large variety, this is the book that should be read before picking up any other book on the pricing and hedging of derivatives. As the book concentrates on product design instead of pricing, there are no complex pricing formulas or numerical procedures. The emphasis is on intuition and common sense rather than complex formal results, which makes the book accessible to people from many different backgrounds.

Accounting for Derivatives

Juan Ramirez
Accounting for Derivatives Book PDF

Author : Juan Ramirez
Publisher : John Wiley & Sons
Page : 792 pages
File Size : 40,7 Mb
Release : 2015-01-23
Category : Business & Economics
ISBN : 9781118817940

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Accounting for Derivatives by Juan Ramirez Pdf

The derivative practitioner’s expert guide to IFRS 9 application Accounting for Derivatives explains the likely accounting implications of a proposed transaction on derivatives strategy, in alignment with the IFRS 9 standards. Written by a Big Four advisor, this book shares the author’s insights from working with companies to minimise the earnings volatility impact of hedging with derivatives. This second edition includes new chapters on hedging inflation risk and stock options, with new cases on special hedging situations including hedging components of commodity risk. This new edition also covers the accounting treatment of special derivatives situations, such as raising financing through commodity-linked loans, derivatives on own shares and convertible bonds. Cases are used extensively throughout the book, simulating a specific hedging strategy from its inception to maturity following a common pattern. Coverage includes instruments such as forwards, swaps, cross-currency swaps, and combinations of standard options, plus more complex derivatives like knock-in forwards, KIKO forwards, range accruals, and swaps in arrears. Under IFRS, derivatives that do not qualify for hedge accounting may significantly increase earnings volatility. Compliant application of hedge accounting requires expertise across both the standards and markets, with an appropriate balance between derivatives expertise and accounting knowledge. This book helps bridge the divide, providing comprehensive IFRS coverage from a practical perspective. Become familiar with the most common hedging instruments from an IFRS 9 perspective Examine FX risk and hedging of dividends, earnings, and net assets of foreign subsidies Learn new standards surrounding the hedge of commodities, equity, inflation, and foreign and domestic liabilities Challenge the qualification for hedge accounting as the ultimate objective IFRS 9 is set to replace IAS 39, and many practitioners will need to adjust their accounting policies and hedging strategies to conform to the new standard. Accounting for Derivatives is the only book to cover IFRS 9 specifically for the derivatives practitioner, with expert guidance and practical advice.

Applied Quantitative Finance for Equity Derivatives - Third Edition

Jherek Healy
Applied Quantitative Finance for Equity Derivatives Third Edition Book PDF

Author : Jherek Healy
Publisher : Unknown
Page : 536 pages
File Size : 48,6 Mb
Release : 2021-01-28
Category : Electronic
ISBN : 9798701481372

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Applied Quantitative Finance for Equity Derivatives - Third Edition by Jherek Healy Pdf

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.

Derivatives

Keith Cuthbertson,Dirk Nitzsche,Niall O'Sullivan
Derivatives Book PDF

Author : Keith Cuthbertson,Dirk Nitzsche,Niall O'Sullivan
Publisher : John Wiley & Sons
Page : 116 pages
File Size : 48,9 Mb
Release : 2019-12-16
Category : Business & Economics
ISBN : 9781119595595

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Derivatives by Keith Cuthbertson,Dirk Nitzsche,Niall O'Sullivan Pdf

Three experts provide an authoritative guide to the theory and practice of derivatives Derivatives: Theory and Practice and its companion website explore the practical uses of derivatives and offer a guide to the key results on pricing, hedging and speculation using derivative securities. The book links the theoretical and practical aspects of derivatives in one volume whilst keeping mathematics and statistics to a minimum. Throughout the book, the authors put the focus on explanations and applications. Designed as an engaging resource, the book contains commentaries that make serious points in a lighthearted manner. The authors examine the real world of derivatives finance and include discussions on a wide range of topics such as the use of derivatives by hedge funds and the application of strip and stack hedges by corporates, while providing an analysis of how risky the stock market can be for long-term investors, and more. To enhance learning, each chapter contains learning objectives, worked examples, details of relevant finance blogs technical appendices and exercises.

Financial Derivatives

Rob Quail,James A. Overdahl
Financial Derivatives Book PDF

Author : Rob Quail,James A. Overdahl
Publisher : John Wiley & Sons
Page : 337 pages
File Size : 46,8 Mb
Release : 2003-03-20
Category : Business & Economics
ISBN : 9780471467663

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Financial Derivatives by Rob Quail,James A. Overdahl Pdf

"Financial Derivatives" - Jetzt neu in der 3. komplett überarbeiteten Auflage! Dieses umfassende Nachschlagewerk bietet eine gründliche Einführung in das Thema Finanzderivate und ihre Bedeutung für das Risikomanagement im Unternehmensumfeld. Es vermittelt fundierte Kenntnisse zum Thema Finanzderivate, und zwar mit einem verständlich gehaltenen Minimum an Finanzmathematik, was Preisbildung und Bewertung angeht. Mit einer breitgefächerten Übersicht über die verschiedenen Arten von Finanzderivaten. Mit neuem Material zu Kreditderivaten und zur Kreditrisikobewertung bei Derivaten. Mit neuen und ausführlicheren Informationen zu den Themen Finanztechnik und strukturierte Finanzprodukte. "Financial Derivatives" - Ein unverzichtbarer Ratgeber für alle Finanzexperten im Bereich Risikomanagement.