Derivatives Pricing And Modeling

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Credit Derivatives Pricing Models

Philipp J. Schönbucher
Credit Derivatives Pricing Models Book PDF

Author : Philipp J. Schönbucher
Publisher : John Wiley & Sons
Page : 396 pages
File Size : 44,8 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.

Derivatives Pricing and Modeling

Jonathan Batten,Niklas F. Wagner
Derivatives Pricing and Modeling Book PDF

Author : Jonathan Batten,Niklas F. Wagner
Publisher : Emerald Group Publishing
Page : 446 pages
File Size : 49,7 Mb
Release : 2012-07-02
Category : Business & Economics
ISBN : 9781780526164

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Derivatives Pricing and Modeling by Jonathan Batten,Niklas F. Wagner Pdf

Highlights research in derivatives modelling and markets in a post-crisis world across a number of dimensions or themes. This book addresses the following main areas: derivatives models and pricing, model application and performance backtesting, and new products and market features.

Commodities and Commodity Derivatives

Helyette Geman
Commodities and Commodity Derivatives Book PDF

Author : Helyette Geman
Publisher : John Wiley & Sons
Page : 479 pages
File Size : 50,8 Mb
Release : 2009-09-24
Category : Business & Economics
ISBN : 9780470687734

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Commodities and Commodity Derivatives by Helyette Geman Pdf

The last few years have been a watershed for the commodities, cash and derivatives industry. New regulations and products have led to an explosion in the commodities markets, creating a new asset for investors that includes hedge funds as well as University endowments, and has resulted in a spectacular growth in spot and derivative trading. This book covers hard and soft commodities (energy, agriculture and metals) and analyses: Economic and geopolitical issues in commodities markets Commodity price and volume risk Stochastic modelling of commodity spot prices and forward curves Real options valuation and hedging of physical assets in the energy industry It is required reading for energy companies and utilities practitioners, commodity cash and derivatives traders in investment banks, the Agrifood business, Commodity Trading Advisors (CTAs) and Hedge Funds. In Commodities and Commodity Derivatives, Hélyette Geman shows her powerful command of the subject by combining a rigorous development of its mathematical modelling with a compact institutional presentation of the arcane characteristics of commodities that makes the complex analysis of commodities derivative securities accessible to both the academic and practitioner who wants a deep foundation and a breadth of different market applications. It is destined to be a "must have" on the subject.” —Robert Merton, Professor, Harvard Business School "A marvelously comprehensive book of interest to academics and practitioners alike, by one of the world's foremost experts in the field." —Oldrich Vasicek, founder, KMV

Mathematical Models of Financial Derivatives

Yue-Kuen Kwok
Mathematical Models of Financial Derivatives Book PDF

Author : Yue-Kuen Kwok
Publisher : Springer Science & Business Media
Page : 541 pages
File Size : 54,5 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.

Financial Derivatives Modeling

Christian Ekstrand
Financial Derivatives Modeling Book PDF

Author : Christian Ekstrand
Publisher : Springer Science & Business Media
Page : 320 pages
File Size : 53,6 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.

Modeling Derivatives in C++

Justin London
Modeling Derivatives in C Book PDF

Author : Justin London
Publisher : John Wiley & Sons
Page : 922 pages
File Size : 47,7 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.

Modelling Interest Rates

Fabio Mercurio
Modelling Interest Rates Book PDF

Author : Fabio Mercurio
Publisher : Unknown
Page : 283 pages
File Size : 53,7 Mb
Release : 2009
Category : Derivative securities
ISBN : 1906348138

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Modelling Interest Rates by Fabio Mercurio Pdf

A title suitable for researchers who aim to get acquainted with the new trends in the interest rate models and to practitioners with a need to use increasingly sophisticated tools to price exotic claims consistently with the information on the underlying variables that is provided by the market in terms of plain vanilla quotes.

Analysis, Geometry, and Modeling in Finance

Pierre Henry-Labordere
Analysis Geometry and Modeling in Finance Book PDF

Author : Pierre Henry-Labordere
Publisher : CRC Press
Page : 403 pages
File Size : 51,6 Mb
Release : 2008-09-22
Category : Business & Economics
ISBN : 9781420087000

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Analysis, Geometry, and Modeling in Finance by Pierre Henry-Labordere Pdf

Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing is the first book that applies advanced analytical and geometrical methods used in physics and mathematics to the financial field. It even obtains new results when only approximate and partial solutions were previously available.Through the problem of option pricing, th

Derivatives Pricing and Modeling

Jonathan Batten,Niklas F. Wagner
Derivatives Pricing and Modeling Book PDF

Author : Jonathan Batten,Niklas F. Wagner
Publisher : Emerald Group Publishing
Page : 450 pages
File Size : 45,8 Mb
Release : 2012-07-02
Category : Business & Economics
ISBN : 9781780526171

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Derivatives Pricing and Modeling by Jonathan Batten,Niklas F. Wagner Pdf

Highlights research in derivatives modelling and markets in a post-crisis world across a number of dimensions or themes. This book addresses the following main areas: derivatives models and pricing, model application and performance backtesting, and new products and market features.

Pricing Derivatives

Ambar Sengupta
Pricing Derivatives Book PDF

Author : Ambar Sengupta
Publisher : Unknown
Page : 312 pages
File Size : 46,7 Mb
Release : 2005
Category : Business & Economics
ISBN : IND:30000101575482

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Pricing Derivatives by Ambar Sengupta Pdf

Irwin Library of Investment and Finance Pricing Derivatives provides investors with a clear understanding of derivative pricing models by first focusing on the underlying mathematics and financial concepts upon which the models were originally built. Trading consultant Professor Ambar Sengupta uses short, to-the-point chapters to examine the relation between price and probability as well as pricing structures of all major derivative instruments. Other topics covered include foundations of stochastic models of pricing, along with methods for establishing optimal prices in terms of the max-min principles that underlie game theory.

Modeling and Pricing in Financial Markets for Weather Derivatives

Fred Espen Benth,Jurate Saltyte Benth
Modeling and Pricing in Financial Markets for Weather Derivatives Book PDF

Author : Fred Espen Benth,Jurate Saltyte Benth
Publisher : World Scientific
Page : 255 pages
File Size : 42,5 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.

Mathematical Modeling and Methods of Option Pricing

Lishang Jiang,Canguo Li
Mathematical Modeling and Methods of Option Pricing Book PDF

Author : Lishang Jiang,Canguo Li
Publisher : World Scientific
Page : 344 pages
File Size : 55,8 Mb
Release : 2005
Category : Science
ISBN : 9789812563699

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Mathematical Modeling and Methods of Option Pricing by Lishang Jiang,Canguo Li Pdf

From the perspective of partial differential equations (PDE), this book introduces the Black-Scholes-Merton's option pricing theory. A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs.

Weather Derivatives

Antonis Alexandridis K.,Achilleas D. Zapranis
Weather Derivatives Book PDF

Author : Antonis Alexandridis K.,Achilleas D. Zapranis
Publisher : Springer Science & Business Media
Page : 310 pages
File Size : 53,7 Mb
Release : 2012-11-30
Category : Business & Economics
ISBN : 9781461460718

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Weather Derivatives by Antonis Alexandridis K.,Achilleas D. Zapranis Pdf

​Weather derivatives are financial instruments that can be used by organizations or individuals as part of a risk management strategy to minimize risk associated with adverse or unexpected weather conditions. Just as traditional contingent claims, a weather derivative has an underlying measure, such as: rainfall, wind, snow or temperature. Nearly $1 trillion of the U.S. economy is directly exposed to weather-related risk. More precisely, almost 30% of the U.S. economy and 70% of U.S. companies are affected by weather. The purpose of this monograph is to conduct an in-depth analysis of financial products that are traded in the weather market. Presenting a pricing and modeling approach for weather derivatives written on various underlying weather variables will help students, researchers, and industry professionals accurately price weather derivatives, and will provide strategies for effectively hedging against weather-related risk. This book will link the mathematical aspects of the modeling procedure of weather variables to the financial markets and the pricing of weather derivatives. Very little has been published in the area of weather risk, and this volume will appeal to graduate-level students and researchers studying financial mathematics, risk management, or energy finance, in addition to investors and professionals within the financial services industry. ​

Financial Calculus

Martin Baxter,Andrew Rennie
Financial Calculus Book PDF

Author : Martin Baxter,Andrew Rennie
Publisher : Cambridge University Press
Page : 252 pages
File Size : 49,6 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.

Black Scholes and Beyond: Option Pricing Models

Neil Chriss
Black Scholes and Beyond Option Pricing Models Book PDF

Author : Neil Chriss
Publisher : McGraw Hill Professional
Page : 512 pages
File Size : 55,7 Mb
Release : 1997
Category : Business & Economics
ISBN : 0786310251

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Black Scholes and Beyond: Option Pricing Models by Neil Chriss Pdf

An unprecedented book on option pricing! For the first time, the basics on modern option pricing are explained ``from scratch'' using only minimal mathematics. Market practitioners and students alike will learn how and why the Black-Scholes equation works, and what other new methods have been developed that build on the success of Black-Shcoles. The Cox-Ross-Rubinstein binomial trees are discussed, as well as two recent theories of option pricing: the Derman-Kani theory on implied volatility trees and Mark Rubinstein's implied binomial trees. Black-Scholes and Beyond will not only help the reader gain a solid understanding of the Balck-Scholes formula, but will also bring the reader up to date by detailing current theoretical developments from Wall Street. Furthermore, the author expands upon existing research and adds his own new approaches to modern option pricing theory. Among the topics covered in Black-Scholes and Beyond: detailed discussions of pricing and hedging options; volatility smiles and how to price options ``in the presence of the smile''; complete explanation on pricing barrier options.