Derivatives Pricing

Author : Anonim
Publisher : Unknown
Page : 128 pages
File Size : 43,5 Mb
Release : 2024-06-29
Category : Electronic
ISBN : 9789814470636

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Financial Derivatives Pricing by Anonim Pdf

Author : Philipp J. Schönbucher
Publisher : John Wiley & Sons
Page : 396 pages
File Size : 40,8 Mb
Release : 2003-10-31
Category : Business & Economics
ISBN : 9780470868171

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Credit Derivatives Pricing Models by Philipp J. Schönbucher Pdf

The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real-world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue. Dr. Philipp J. Schönbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University. He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation.

Author : Roland Lichters,Roland Stamm,Donal Gallagher
Publisher : Springer
Page : 573 pages
File Size : 42,9 Mb
Release : 2015-11-15
Category : Business & Economics
ISBN : 9781137494849

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Modern Derivatives Pricing and Credit Exposure Analysis by Roland Lichters,Roland Stamm,Donal Gallagher Pdf

This book provides a comprehensive guide for modern derivatives pricing and credit analysis. Written to provide sound theoretical detail but practical implication, it provides readers with everything they need to know to price modern financial derivatives and analyze the credit exposure of a financial instrument in today's markets.

Author : Domingo Tavella
Publisher : John Wiley & Sons
Page : 304 pages
File Size : 46,6 Mb
Release : 2003-04-07
Category : Business & Economics
ISBN : 9780471274797

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Quantitative Methods in Derivatives Pricing by Domingo Tavella Pdf

This book presents a cogent description of the main methodologies used in derivatives pricing. Starting with a summary of the elements of Stochastic Calculus, Quantitative Methods in Derivatives Pricing develops the fundamental tools of financial engineering, such as scenario generation, simulation for European instruments, simulation for American instruments, and finite differences in an intuitive and practical manner, with an abundance of practical examples and case studies. Intended primarily as an introductory graduate textbook in computational finance, this book will also serve as a reference for practitioners seeking basic information on alternative pricing methodologies. Domingo Tavella is President of Octanti Associates, a consulting firm in risk management and financial systems design. He is the founder and chief editor of the Journal of Computational Finance and has pioneered the application of advanced numerical techniques in pricing and risk analysis in the financial and insurance industries. Tavella coauthored Pricing Financial Instruments: The Finite Difference Method. He holds a PhD in aeronautical engineering from Stanford University and an MBA in finance from the University of California at Berkeley.

Author : Rob Quail,James A. Overdahl
Publisher : John Wiley & Sons
Page : 337 pages
File Size : 48,8 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.

Author : Thomas W Epps
Publisher : World Scientific Publishing Company
Page : 644 pages
File Size : 40,9 Mb
Release : 2007-06-04
Category : Business & Economics
ISBN : 9789814365437

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Pricing Derivative Securities by Thomas W Epps Pdf

This book presents techniques for valuing derivative securities at a level suitable for practitioners, students in doctoral programs in economics and finance, and those in masters-level programs in financial mathematics and computational finance. It provides the necessary mathematical tools from analysis, probability theory, the theory of stochastic processes, and stochastic calculus, making extensive use of examples. It also covers pricing theory, with emphasis on martingale methods. The chapters are organized around the assumptions made about the dynamics of underlying price processes. Readers begin with simple, discrete-time models that require little mathematical sophistication, proceed to the basic Black-Scholes theory, and then advance to continuous-time models with multiple risk sources. The second edition takes account of the major developments in the field since 2000. New topics include the use of simulation to price American-style derivatives, a new one-step approach to pricing options by inverting characteristic functions, and models that allow jumps in volatility and Markov-driven changes in regime. The new chapter on interest-rate derivatives includes extensive coverage of the LIBOR market model and an introduction to the modeling of credit risk. As a supplement to the text, the book contains an accompanying CD-ROM with user-friendly FORTRAN, C++, and VBA program components.

Author : Leonardo Marroni,Irene Perdomo
Publisher : John Wiley & Sons
Page : 277 pages
File Size : 47,6 Mb
Release : 2014-06-19
Category : Business & Economics
ISBN : 9781119954583

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Pricing and Hedging Financial Derivatives by Leonardo Marroni,Irene Perdomo Pdf

The only guide focusing entirely on practical approaches to pricing and hedging derivatives One valuable lesson of the financial crisis was that derivatives and risk practitioners don't really understand the products they're dealing with. Written by a practitioner for practitioners, this book delivers the kind of knowledge and skills traders and finance professionals need to fully understand derivatives and price and hedge them effectively. Most derivatives books are written by academics and are long on theory and short on the day-to-day realities of derivatives trading. Of the few practical guides available, very few of those cover pricing and hedging—two critical topics for traders. What matters to practitioners is what happens on the trading floor—information only seasoned practitioners such as authors Marroni and Perdomo can impart. Lays out proven derivatives pricing and hedging strategies and techniques for equities, FX, fixed income and commodities, as well as multi-assets and cross-assets Provides expert guidance on the development of structured products, supplemented with a range of practical examples Packed with real-life examples covering everything from option payout with delta hedging, to Monte Carlo procedures to common structured products payoffs The Companion Website features all of the examples from the book in Excel complete with source code

Author : Eliezer Z. Prisman
Publisher : Academic Press
Page : 788 pages
File Size : 50,8 Mb
Release : 2000-09-14
Category : Business & Economics
ISBN : 0125649150

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Pricing Derivative Securities by Eliezer Z. Prisman Pdf

CD-ROM contains: MAPLE student version 5.0; online version of text; MATLAB GUI; IDEAL software (embedded in online text).

Author : Iain J. Clark
Publisher : John Wiley & Sons
Page : 308 pages
File Size : 53,7 Mb
Release : 2011-01-18
Category : Business & Economics
ISBN : 9780470683682

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Foreign Exchange Option Pricing by Iain J. Clark Pdf

This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange—not just the theoretical mathematics covered in other books but also comprehensive coverage of implementation, pricing and calibration. With content developed with input from traders and with examples using real-world data, this book introduces many of the more commonly requested products from FX options trading desks, together with the models that capture the risk characteristics necessary to price these products accurately. Crucially, this book describes the numerical methods required for calibration of these models – an area often neglected in the literature, which is nevertheless of paramount importance in practice. Thorough treatment is given in one unified text to the following features: Correct market conventions for FX volatility surface construction Adjustment for settlement and delayed delivery of options Pricing of vanillas and barrier options under the volatility smile Barrier bending for limiting barrier discontinuity risk near expiry Industry strength partial differential equations in one and several spatial variables using finite differences on nonuniform grids Fourier transform methods for pricing European options using characteristic functions Stochastic and local volatility models, and a mixed stochastic/local volatility model Three-factor long-dated FX model Numerical calibration techniques for all the models in this work The augmented state variable approach for pricing strongly path-dependent options using either partial differential equations or Monte Carlo simulation Connecting mathematically rigorous theory with practice, this is the essential guide to foreign exchange options in the context of the real financial marketplace.

Author : Mark Suresh Joshi
Publisher : Cambridge University Press
Page : 220 pages
File Size : 45,8 Mb
Release : 2004-08-05
Category : Business & Economics
ISBN : 0521832357

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C++ Design Patterns and Derivatives Pricing by Mark Suresh Joshi Pdf

Design patterns are the cutting-edge paradigm for programming in object-oriented languages. Here they are discussed, for the first time in a book, in the context of implementing financial models in C++. Assuming only a basic knowledge of C++ and mathematical finance, the reader is taught how to produce well-designed, structured, re-usable code via concrete examples. Each example is treated in depth, with the whys and wherefores of the chosen method of solution critically examined. Part of the book is devoted to designing re-usable components that are then put together to build a Monte Carlo pricer for path-dependent exotic options. Advanced topics treated include the factory pattern, the singleton pattern and the decorator pattern. Complete ANSI/ISO-compatible C++ source code is included on a CD for the reader to study and re-use and so develop the skills needed to implement financial models with object-oriented programs and become a working financial engineer. Please note the CD supplied with this book is platform-dependent and PC users will not be able to use the files without manual intervention in order to remove extraneous characters. Cambridge University Press apologises for this error. Machine readable files for all users can be obtained from www.markjoshi.com/design.

Author : Jamil Baz,George Chacko
Publisher : Cambridge University Press
Page : 358 pages
File Size : 52,9 Mb
Release : 2004-01-12
Category : Business & Economics
ISBN : 052181510X

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Financial Derivatives by Jamil Baz,George Chacko Pdf

Publisher Description

Author : Les Clewlow,Chris Strickland
Publisher : Twayne Publishers
Page : 246 pages
File Size : 55,7 Mb
Release : 2000
Category : Derivative securities
ISBN : 0953889602

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Energy Derivatives by Les Clewlow,Chris Strickland Pdf

Author : Ambrose Lo
Publisher : CRC Press
Page : 432 pages
File Size : 52,5 Mb
Release : 2018-07-04
Category : Mathematics
ISBN : 9781315301228

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Derivative Pricing by Ambrose Lo Pdf

The proliferation of financial derivatives over the past decades, options in particular, has underscored the increasing importance of derivative pricing literacy among students, researchers, and practitioners. Derivative Pricing: A Problem-Based Primer demystifies the essential derivative pricing theory by adopting a mathematically rigorous yet widely accessible pedagogical approach that will appeal to a wide variety of audience. Abandoning the traditional "black-box" approach or theorists’ "pedantic" approach, this textbook provides readers with a solid understanding of the fundamental mechanism of derivative pricing methodologies and their underlying theory through a diversity of illustrative examples. The abundance of exercises and problems makes the book well-suited as a text for advanced undergraduates, beginning graduates as well as a reference for professionals and researchers who need a thorough understanding of not only "how," but also "why" derivative pricing works. It is especially ideal for students who need to prepare for the derivatives portion of the Society of Actuaries Investment and Financial Markets Exam. Features Lucid explanations of the theory and assumptions behind various derivative pricing models. Emphasis on intuitions, mnemonics as well as common fallacies. Interspersed with illustrative examples and end-of-chapter problems that aid a deep understanding of concepts in derivative pricing. Mathematical derivations, while not eschewed, are made maximally accessible. A solutions manual is available for qualified instructors. The Author Ambrose Lo is currently Assistant Professor of Actuarial Science at the Department of Statistics and Actuarial Science at the University of Iowa. He received his Ph.D. in Actuarial Science from the University of Hong Kong in 2014, with dependence structures, risk measures, and optimal reinsurance being his research interests. He is a Fellow of the Society of Actuaries (FSA) and a Chartered Enterprise Risk Analyst (CERA). His research papers have been published in top-tier actuarial journals, such as ASTIN Bulletin: The Journal of the International Actuarial Association, Insurance: Mathematics and Economics, and Scandinavian Actuarial Journal.

Author : Robert A. Jarrow
Publisher : World Scientific
Page : 609 pages
File Size : 42,5 Mb
Release : 2008
Category : Business & Economics
ISBN : 9789812819222

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Financial Derivatives Pricing by Robert A. Jarrow Pdf

This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous HeathOCoJarrowOCoMorton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.

Author : Martin Baxter,Andrew Rennie
Publisher : Cambridge University Press
Page : 252 pages
File Size : 51,9 Mb
Release : 1996-09-19
Category : Business & Economics
ISBN : 0521552893

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Financial Calculus by Martin Baxter,Andrew Rennie Pdf

A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities.