Data Modeling Of Financial Derivatives

Author : Robert Mamayev
Publisher : Apress
Page : 203 pages
File Size : 44,6 Mb
Release : 2014-02-28
Category : Business & Economics
ISBN : 9781430265900

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Data Modeling of Financial Derivatives by Robert Mamayev Pdf

Written in plain English and based on successful client engagements, Data Modeling of Financial Derivatives: A Conceptual Approach introduces new and veteran data modelers, financial analysts, and IT professionals to the fascinating world of financial derivatives. Covering futures, forwards, options, swaps, and forward rate agreements, finance and modeling expert Robert Mamayev shows you step-by-step how to structure and describe financial data using advanced data modeling techniques. The book introduces IT professionals, in particular, to various financial and data modeling concepts that they may not have seen before, giving them greater proficiency in the financial language of derivatives—and greater ability to communicate with financial analysts without fear or hesitation. Such knowledge will be especially useful to those looking to pick up the necessary skills to become productive right away working in the financial sector. Financial analysts reading this book will come to grips with various data modeling concepts and therefore be in better position to explain the underlying business to their IT audience. Data Modeling of Financial Derivatives—which presumes no advanced knowledge of derivatives or data modeling—will help you: Learn the best entity–relationship modeling method out there—Barker’s CASE methodology—and its application in the financial industry Understand how to identify and creatively reuse data modeling patterns Gain an understanding of financial derivatives and their various applications Learn how to model derivatives contracts and understand the reasoning behind certain design decisions Resolve derivatives data modeling complexities parsimoniously so that your clients can understand them intuitively Packed with numerous examples, diagrams, and techniques, this book will enable you to recognize the various design patterns that you are most likely to encounter in your professional career and apply them successfully in practice. Anyone working with financial models will find it an invaluable tool and career booster.

Author : Robert Mamayev
Publisher : CreateSpace
Page : 230 pages
File Size : 50,6 Mb
Release : 2013-08-19
Category : Computers
ISBN : 1491066210

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Data Modeling of Financial Derivatives by Robert Mamayev Pdf

Written in plain English based on successful client engagements, this book introduces readers to the fascinating world of financial derivatives (futures, forwards, options, swaps, forward rate agreements) from the data modeling perspective and explains various rules that govern the world of financial engineering. Packed with numerous examples and techniques, this book can be useful tool for everyone with even a slightest interest in data modeling and business analysis. A knowledge of derivative instruments is not a prerequisite for reading this book. Every subject area is thoroughly explained before an attempt is made to model it. Similarly, a knowledge of data modeling is not required.

Author : Yue-Kuen Kwok
Publisher : Springer Science & Business Media
Page : 541 pages
File Size : 44,9 Mb
Release : 2008-07-10
Category : Mathematics
ISBN : 9783540686880

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Mathematical Models of Financial Derivatives by Yue-Kuen Kwok Pdf

This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.

Author : Nick Webber
Publisher : John Wiley & Sons
Page : 772 pages
File Size : 53,8 Mb
Release : 2011-09-07
Category : Business & Economics
ISBN : 9780470661840

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Implementing Models of Financial Derivatives by Nick Webber Pdf

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 : Christian Ekstrand
Publisher : Springer Science & Business Media
Page : 320 pages
File Size : 48,6 Mb
Release : 2011-08-26
Category : Business & Economics
ISBN : 9783642221552

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Financial Derivatives Modeling by Christian Ekstrand Pdf

This book gives a comprehensive introduction to the modeling of financial derivatives, covering all major asset classes (equities, commodities, interest rates and foreign exchange) and stretching from Black and Scholes' lognormal modeling to current-day research on skew and smile models. The intended reader has a solid mathematical background and is a graduate/final-year undergraduate student specializing in Mathematical Finance, or works at a financial institution such as an investment bank or a hedge fund.

Author : Chia Chiang Tan
Publisher : World Scientific Publishing Company
Page : 440 pages
File Size : 41,8 Mb
Release : 2012-07-11
Category : Business & Economics
ISBN : 9789814434584

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Market Practice in Financial Modelling by Chia Chiang Tan Pdf

Written to bridge the gap between foundational quantitative finance and market practice, this book goes beyond the basics covered in most textbooks by presenting content concerning actual industry norms, thus resulting in a clearer picture of the field for the readers. These include, for instance, the practitioner's perspective of how local versus stochastic volatility affects forward smile, or the implications of mean reversion on forward volatility. Key considerations for modelling in rates, equities and foreign exchange are presented from the perspective of common themes across various assets, as well as their individual characteristics. The discussion on models emphasizes the key aspects that are relevant to the pricing of different types of financial derivatives, so that the reader can observe how an appropriate choice of models is essential in reflecting the risk profile and hedging considerations for different products. With the knowledge gleaned from this book, readers will attain a more comprehensive understanding of market practice in derivatives modelling. Foreword Foreword (246 KB)

Author : Yves Hilpisch
Publisher : John Wiley & Sons
Page : 390 pages
File Size : 43,7 Mb
Release : 2015-08-03
Category : Business & Economics
ISBN : 9781119037996

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Derivatives Analytics with Python by Yves Hilpisch Pdf

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.

Author : William T. Shaw
Publisher : Cambridge University Press
Page : 570 pages
File Size : 41,8 Mb
Release : 1998-12-10
Category : Business & Economics
ISBN : 052159233X

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Modelling Financial Derivatives with MATHEMATICA ® by William T. Shaw Pdf

CD plus book for financial modelling, requires Mathematica 3 or 2.2; runs on most platforms.

Author : Wanwan Huang
Publisher : Unknown
Page : 0 pages
File Size : 51,9 Mb
Release : 2013
Category : Electronic
ISBN : OCLC:1404748536

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Stochastic modeling of financial derivatives by Wanwan Huang Pdf

Author : Fred Espen Benth,Jurate Saltyte Benth
Publisher : World Scientific
Page : 255 pages
File Size : 49,7 Mb
Release : 2013
Category : Business & Economics
ISBN : 9789814401845

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Modeling and Pricing in Financial Markets for Weather Derivatives by Fred Espen Benth,Jurate Saltyte Benth Pdf

Weather derivatives provide a tool for weather risk management, and the markets for these exotic financial products are gradually emerging in size and importance. This unique monograph presents a unified approach to the modeling and analysis of such weather derivatives, including financial contracts on temperature, wind and rain. Based on a deep statistical analysis of weather factors, sophisticated stochastic processes are introduced modeling the time and space dynamics. Applying ideas from the modern theory of mathematical finance, weather derivatives are priced, and questions of hedging analyzed. The treatise contains an in-depth analysis of typical weather contracts traded at the Chicago Mercantile Exchange (CME), including so-called CDD and HDD futures. The statistical analysis of weather variables are based on a large data set from Lithuania. The monograph includes the research done by the authors over the last decade on weather markets. Their work has gained considerable attention, and has been applied in many contexts.

Author : Philip Hunt,Joanne Kennedy
Publisher : John Wiley & Sons
Page : 468 pages
File Size : 53,8 Mb
Release : 2004-11-19
Category : Mathematics
ISBN : 9780470863602

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Financial Derivatives in Theory and Practice by Philip Hunt,Joanne Kennedy Pdf

The term Financial Derivative is a very broad term which has come to mean any financial transaction whose value depends on the underlying value of the asset concerned. Sophisticated statistical modelling of derivatives enables practitioners in the banking industry to reduce financial risk and ultimately increase profits made from these transactions. The book originally published in March 2000 to widespread acclaim. This revised edition has been updated with minor corrections and new references, and now includes a chapter of exercises and solutions, enabling use as a course text. Comprehensive introduction to the theory and practice of financial derivatives. Discusses and elaborates on the theory of interest rate derivatives, an area of increasing interest. Divided into two self-contained parts ? the first concentrating on the theory of stochastic calculus, and the second describes in detail the pricing of a number of different derivatives in practice. Written by well respected academics with experience in the banking industry. A valuable text for practitioners in research departments of all banking and finance sectors. Academic researchers and graduate students working in mathematical finance.

Author : Justin London
Publisher : John Wiley & Sons
Page : 922 pages
File Size : 53,5 Mb
Release : 2005-01-21
Category : Business & Economics
ISBN : 9780471681892

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Modeling Derivatives in C++ by Justin London Pdf

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 : Eric Jondeau,Ser-Huang Poon,Michael Rockinger
Publisher : Springer Science & Business Media
Page : 541 pages
File Size : 51,6 Mb
Release : 2007-04-05
Category : Mathematics
ISBN : 9781846286964

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Financial Modeling Under Non-Gaussian Distributions by Eric Jondeau,Ser-Huang Poon,Michael Rockinger Pdf

This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.

Author : Frederic Abergel
Publisher : John Wiley & Sons
Page : 384 pages
File Size : 50,8 Mb
Release : 2020-04-21
Category : Business & Economics
ISBN : 1119952980

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Model Calibration for Financial Derivatives by Frederic Abergel Pdf

Model calibration strategies and techniques for derivative products The calibration of derivatives has evolved significantly, covering new ground like implied volatility surface static and dynamics, first and higher-generation exotics calibration, local and stochastic volatility models, interest rates or multi-asset correlation modeling, default time modeling, credit derivatives, and more. This book introduces the fundamentals of model calibration by taking an intuitive approach to the Black, Scholes, and Merton and revisiting it in an incomplete markets setting, applying to a range of hedging strategies.

Author : Anonim
Publisher : Unknown
Page : 128 pages
File Size : 44,5 Mb
Release : 2024-06-30
Category : Electronic
ISBN : 9789814470636

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Financial Derivatives Pricing by Anonim Pdf