Hedging Derivatives

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Fundamentals and Advanced Techniques in Derivatives Hedging

Bruno Bouchard,Jean-François Chassagneux
Fundamentals and Advanced Techniques in Derivatives Hedging Book PDF

Author : Bruno Bouchard,Jean-François Chassagneux
Publisher : Springer
Page : 280 pages
File Size : 49,6 Mb
Release : 2016-06-23
Category : Mathematics
ISBN : 9783319389905

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Fundamentals and Advanced Techniques in Derivatives Hedging by Bruno Bouchard,Jean-François Chassagneux Pdf

This book covers the theory of derivatives pricing and hedging as well as techniques used in mathematical finance. The authors use a top-down approach, starting with fundamentals before moving to applications, and present theoretical developments alongside various exercises, providing many examples of practical interest.A large spectrum of concepts and mathematical tools that are usually found in separate monographs are presented here. In addition to the no-arbitrage theory in full generality, this book also explores models and practical hedging and pricing issues. Fundamentals and Advanced Techniques in Derivatives Hedging further introduces advanced methods in probability and analysis, including Malliavin calculus and the theory of viscosity solutions, as well as the recent theory of stochastic targets and its use in risk management, making it the first textbook covering this topic. Graduate students in applied mathematics with an understanding of probability theory and stochastic calculus will find this book useful to gain a deeper understanding of fundamental concepts and methods in mathematical finance.

Hedging Derivatives

Thorsten Rheinlander,Jenny Sexton
Hedging Derivatives Book PDF

Author : Thorsten Rheinlander,Jenny Sexton
Publisher : World Scientific
Page : 244 pages
File Size : 44,7 Mb
Release : 2011
Category : Business & Economics
ISBN : 9789814338806

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Hedging Derivatives by Thorsten Rheinlander,Jenny Sexton Pdf

Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropriate hedging techniques depends on both the type of derivative and assumptions placed on the underlying stochastic process. This volume provides a systematic treatment of hedging in incomplete markets. Mean-variance hedging under the risk-neutral measure is applied in the framework of exponential L(r)vy processes and for derivatives written on defaultable assets. It is discussed how to complete markets based upon stochastic volatility models via trading in both stocks and vanilla options. Exponential utility indifference pricing is explored via a duality with entropy minimization. Backward stochastic differential equations offer an alternative approach and are moreover applied to study markets with trading constraints including basis risk. A range of optimal martingale measures are discussed including the entropy, Esscher and minimal martingale measures. Quasi-symmetry properties of stochastic processes are deployed in the semi-static hedging of barrier options. This book is directed towards both graduate students and researchers in mathematical finance, and will also provide an orientation to applied mathematicians, financial economists and practitioners wishing to explore recent progress in this field."

Pricing and Hedging Financial Derivatives

Leonardo Marroni,Irene Perdomo
Pricing and Hedging Financial Derivatives Book PDF

Author : Leonardo Marroni,Irene Perdomo
Publisher : John Wiley & Sons
Page : 277 pages
File Size : 53,5 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

Accounting for Derivatives

Juan Ramirez
Accounting for Derivatives Book PDF

Author : Juan Ramirez
Publisher : John Wiley & Sons
Page : 792 pages
File Size : 47,5 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.

Dynamic Hedging

Nassim Nicholas Taleb
Dynamic Hedging Book PDF

Author : Nassim Nicholas Taleb
Publisher : John Wiley & Sons
Page : 536 pages
File Size : 53,5 Mb
Release : 1997-01-14
Category : Business & Economics
ISBN : 0471152803

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Dynamic Hedging by Nassim Nicholas Taleb Pdf

Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management. Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.

Risk-Neutral Valuation

Nicholas H. Bingham,Rüdiger Kiesel
Risk Neutral Valuation Book PDF

Author : Nicholas H. Bingham,Rüdiger Kiesel
Publisher : Springer Science & Business Media
Page : 447 pages
File Size : 55,6 Mb
Release : 2013-06-29
Category : Mathematics
ISBN : 9781447138563

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Risk-Neutral Valuation by Nicholas H. Bingham,Rüdiger Kiesel Pdf

This second edition - completely up to date with new exercises - provides a comprehensive and self-contained treatment of the probabilistic theory behind the risk-neutral valuation principle and its application to the pricing and hedging of financial derivatives. On the probabilistic side, both discrete- and continuous-time stochastic processes are treated, with special emphasis on martingale theory, stochastic integration and change-of-measure techniques. Based on firm probabilistic foundations, general properties of discrete- and continuous-time financial market models are discussed.

Hedging Instruments and Risk Management

Patrick Cusatis,Martin Thomas
Hedging Instruments and Risk Management Book PDF

Author : Patrick Cusatis,Martin Thomas
Publisher : McGraw Hill Professional
Page : 396 pages
File Size : 54,6 Mb
Release : 2005-02-22
Category : Business & Economics
ISBN : 0071454535

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Hedging Instruments and Risk Management by Patrick Cusatis,Martin Thomas Pdf

Books on complex hedging instruments are often more confusing than the instruments themselves. Hedging Instruments & Risk Management brings clarity to the topic, giving money managers the straightforward knowledge they need to employ hedging tools and techniques in four key markets—equity, currency, fixed income, and mortgage. Using real-world data and examples, this high-level book shows practitioners how to develop a common set of mathematical and statistical tools for hedging in various markets and then outlines several hedging strategies with the historical performance of each.

Derivatives Analytics with Python

Yves Hilpisch
Derivatives Analytics with Python Book PDF

Author : Yves Hilpisch
Publisher : John Wiley & Sons
Page : 390 pages
File Size : 43,9 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.

Accounting for Derivatives and Hedging

Mark A. Trombley
Accounting for Derivatives and Hedging Book PDF

Author : Mark A. Trombley
Publisher : Irwin/McGraw-Hill
Page : 246 pages
File Size : 53,8 Mb
Release : 2003
Category : Derivative securities
ISBN : CORNELL:31924096082288

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Accounting for Derivatives and Hedging by Mark A. Trombley Pdf

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Trading VIX Derivatives

Russell Rhoads
Trading VIX Derivatives Book PDF

Author : Russell Rhoads
Publisher : John Wiley & Sons
Page : 293 pages
File Size : 43,7 Mb
Release : 2011-08-09
Category : Business & Economics
ISBN : 9780470933084

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Trading VIX Derivatives by Russell Rhoads Pdf

A guide to using the VIX to forecast and trade markets Known as the fear index, the VIX provides a snapshot of expectations about future stock market volatility and generally moves inversely to the overall stock market. Trading VIX Derivatives will show you how to use the Chicago Board Options Exchange's S&P 500 volatility index to gauge fear and greed in the market, use market volatility to your advantage, and hedge stock portfolios. Engaging and informative, this book skillfully explains the mechanics and strategies associated with trading VIX options, futures, exchange traded notes, and options on exchange traded notes. Many market participants look at the VIX to help understand market sentiment and predict turning points. With a slew of VIX index trading products now available, traders can use a variety of strategies to speculate outright on the direction of market volatility, but they can also utilize these products in conjunction with other instruments to create spread trades or hedge their overall risk. Reviews how to use the VIX to forecast market turning points, as well as reveals what it takes to implement trading strategies using VIX options, futures, and ETNs Accessible to active individual traders, but sufficiently sophisticated for professional traders Offers insights on how volatility-based strategies can be used to provide diversification and enhance returns Written by Russell Rhoads, a top instructor at the CBOE's Options Institute, this book reflects on the wide range of uses associated with the VIX and will interest anyone looking for profitable new forecasting and trading techniques.

2008 CCH Accounting for Derivatives and Hedging

James F. Green
2008 CCH Accounting for Derivatives and Hedging Book PDF

Author : James F. Green
Publisher : CCH
Page : 1304 pages
File Size : 55,8 Mb
Release : 2007
Category : Business & Economics
ISBN : 080809100X

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2008 CCH Accounting for Derivatives and Hedging by James F. Green Pdf

CCH Accounting for Derivatives and Hedging offers professionals comprehensive guidance for applying the intricate and expansive requirements of FASB Statement No. 133, Accounting for Derivative Instruments and Hedging Activities, and its amendments. Since its issuance, the FASB has amended and interpreted Statement 133 numerous times, making the accounting guidance for derivatives and hedging activities one of the most complex and frequently misunderstood accounting principles used in business today. CCH Accounting for Derivatives and Hedging helps users identify the nuances of accounting for these types of activities and provides practical guidance on how to apply these principles to typical situations currently encountered in practice in numerous types of transactions, including: fair value hedges; interest-rate swaps; cash flow hedges; embedded derivative instruments; net investment hedges; and disclosures. This expansive guide provides professionals with a practical resource by selectively combining information from the official text of the FASB, along with information drawn from the rules and releases of the SEC, consensuses of the EITF, and lessons learned from leading practitioners in the field.

Property Derivatives

Juerg M. Syz
Property Derivatives Book PDF

Author : Juerg M. Syz
Publisher : John Wiley & Sons
Page : 252 pages
File Size : 40,8 Mb
Release : 2008-12-08
Category : Business & Economics
ISBN : 9780470694558

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Property Derivatives by Juerg M. Syz Pdf

Property derivatives have the potential to revolutionize real estate - the last major asset class without a liquid derivatives market. The new instruments offer ease and flexibility in the management of property risk and return. Property funds, insurance companies, pension and life funds, speculators, hedge funds or any asset manager with a view on the real estate market can apply the new derivatives to hedge property risk, to invest synthetically in real estate, or for portfolio optimization. Moreover, developers, builders, home suppliers, occupiers, banks, mortgage lenders and governmental agencies can better cope with their real estate exposure using property derivatives. This book is a practical introduction to property derivatives and their numerous applications. Providing a comprehensive overview of the property derivatives market and indices, there is also in-depth coverage of pricing, hedging and risk management, which will deepen the readers understanding of the market's mechanisms. Covering both the theoretical and practical aspects of the property derivatives markets; this book is the definitive reference guide to a new and fast-growing market.

Accounting for Derivatives and Hedging Activities

Frank J. Beil
Accounting for Derivatives and Hedging Activities Book PDF

Author : Frank J. Beil
Publisher : Business Expert Press
Page : 162 pages
File Size : 55,8 Mb
Release : 2013-10-09
Category : Business & Economics
ISBN : 9781606495919

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Accounting for Derivatives and Hedging Activities by Frank J. Beil Pdf

Derivatives, and derivatives used to hedge financial and operating functions, are designed to allow managers of firms to manage effectively the downside risk of their financial and operating strategies. They also can be very useful tools that allow managers and executives to accurately predict financial and operational performance and manage the investment communities' "expectations" regarding overall firm performance. Derivatives and hedges, however, if not properly designed in conjunction with the firm's risk management strategy, can be potentially disastrous for the firm. The ongoing financial turmoil in markets can be partially explained by company managers and executives not understanding the potential financial statement impact when derivative markets move in a particular direction for longer periods of time than anticipated by firms. This book is designed for managers and executives to be a comprehensive yet accessible resource for understanding the impact of derivative and hedge accounting on a company's reporting of financial statements. The book's primary purpose is to demystify derivatives and provide practical advice and counsel on how to use them to manage more effectively the operational and financial risk to the firm. When used properly derivatives are an extremely effective tool that managers and executives can use to reduce uncertainty regarding the future.

Risk Management, Speculation, and Derivative Securities

Geoffrey Poitras
Risk Management Speculation and Derivative Securities Book PDF

Author : Geoffrey Poitras
Publisher : Academic Press
Page : 628 pages
File Size : 45,5 Mb
Release : 2002-06-10
Category : Business & Economics
ISBN : 0125588224

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Risk Management, Speculation, and Derivative Securities by Geoffrey Poitras Pdf

Presenting an integrated explanation of speculative trading and risk management from the practitioner's point of view, "Risk Management, Speculation, and Derivative Securities" is a standard text on financial risk management that departs from the perspective of an agent whose main concerns are pricing and hedging derivatives.

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 : 55,5 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.