Pricing And Liquidity Of Complex And Structured Derivatives

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Pricing and Liquidity of Complex and Structured Derivatives

Mathias Schmidt
Pricing and Liquidity of Complex and Structured Derivatives Book PDF

Author : Mathias Schmidt
Publisher : Springer
Page : 125 pages
File Size : 52,9 Mb
Release : 2016-10-31
Category : Business & Economics
ISBN : 9783319459707

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Pricing and Liquidity of Complex and Structured Derivatives by Mathias Schmidt Pdf

This book introduces the “strike of default” (SOD) benchmark concept. The author determines the SOD through cross-sectional pricing between the credit market and the option market, considering the same underlying. The idea of the SOD is to combine the implied probability of default from both markets to get a time-depending share price, at which the markets believe the underlying will default. By means of credit default swaps (CDS) and option pricing methods, the SOD is determined for any exchange-listed company, where option and CDS market data are available.

Structured Products and Related Credit Derivatives

Brian P. Lancaster,Glenn M. Schultz,Frank J. Fabozzi
Structured Products and Related Credit Derivatives Book PDF

Author : Brian P. Lancaster,Glenn M. Schultz,Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 545 pages
File Size : 47,9 Mb
Release : 2008-06-20
Category : Business & Economics
ISBN : 9780470369234

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Structured Products and Related Credit Derivatives by Brian P. Lancaster,Glenn M. Schultz,Frank J. Fabozzi Pdf

Filled with the insights of numerous experienced contributors, Structured Products and Related Credit Derivatives takes a detailed look at the various aspects of structured assets and credit derivatives. Written over a period spanning the greatest bull market in structured products history to arguably its most challenging period, this reliable resource will help you identify the opportunities and mitigate the risks in this complex financial market.

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 : 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

Financial Derivatives

Rob Quail,James A. Overdahl
Financial Derivatives Book PDF

Author : Rob Quail,James A. Overdahl
Publisher : John Wiley & Sons
Page : 627 pages
File Size : 47,5 Mb
Release : 2009-10-15
Category : Business & Economics
ISBN : 9780470541746

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Financial Derivatives by Rob Quail,James A. Overdahl Pdf

Essential insights on the various aspects of financial derivatives If you want to understand derivatives without getting bogged down by the mathematics surrounding their pricing and valuation, Financial Derivatives is the book for you. Through in-depth insights gleaned from years of financial experience, Robert Kolb and James Overdahl clearly explain what derivatives are and how you can prudently use them within the context of your underlying business activities. Financial Derivatives introduces you to the wide range of markets for financial derivatives. This invaluable guide offers a broad overview of the different types of derivatives-futures, options, swaps, and structured products-while focusing on the principles that determine market prices. This comprehensive resource also provides a thorough introduction to financial derivatives and their importance to risk management in a corporate setting. Filled with helpful tables and charts, Financial Derivatives offers a wealth of knowledge on futures, options, swaps, financial engineering, and structured products. Discusses what derivatives are and how you can prudently implement them within the context of your underlying business activities Provides thorough coverage of financial derivatives and their role in risk management Explores financial derivatives without getting bogged down by the mathematics surrounding their pricing and valuation This informative guide will help you unlock the incredible potential of financial derivatives.

Structured Derivatives

Mehraj Mattoo
Structured Derivatives Book PDF

Author : Mehraj Mattoo
Publisher : Financial Times/Prentice Hall
Page : 0 pages
File Size : 52,8 Mb
Release : 1997
Category : Derivative securities
ISBN : 0273611208

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Structured Derivatives by Mehraj Mattoo Pdf

The last two decades have witnessed a fundamental change in the economic environment in which corporate borrowers and institutional investors operate. By all measures the financial environment is more risky today than it was two decades ago. Unpredictable movements in interest and exchange rates present risks that no borrower can ignore.

Trading and Pricing Financial Derivatives

Patrick Boyle,Jesse McDougall
Trading and Pricing Financial Derivatives Book PDF

Author : Patrick Boyle,Jesse McDougall
Publisher : Walter de Gruyter GmbH & Co KG
Page : 298 pages
File Size : 46,5 Mb
Release : 2018-12-17
Category : Business & Economics
ISBN : 9781547401215

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Trading and Pricing Financial Derivatives by Patrick Boyle,Jesse McDougall Pdf

Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.

Structured Equity Derivatives

Harry M. Kat
Structured Equity Derivatives Book PDF

Author : Harry M. Kat
Publisher : Wiley
Page : 390 pages
File Size : 54,6 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.

Pricing Derivative Securities

T. W. Epps
Pricing Derivative Securities Book PDF

Author : T. W. Epps
Publisher : World Scientific
Page : 712 pages
File Size : 53,8 Mb
Release : 2000
Category : Business & Economics
ISBN : 9789810242985

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Pricing Derivative Securities by T. W. Epps Pdf

Latest Edition: Pricing Derivative Securities (2nd Edition)The development of successful techniques for valuing derivative assets is among the most influential achievements of economic science. Pricing Derivative Securities presents the theory of financial derivatives in a way that emphasizes both its mathematical foundations and its practical implementation. The book's organization reveals its three distinctive features. Part I surveys the necessary tools of analysis, probability theory, and stochastic calculus, thus making the book self-contained. The chapters in Part II, Pricing Theory, are organized around the dynamics of the price processes of underlying assets, progressing from simple models to those that require considerable mathematical sophistication. The last part of the book is devoted to the empirical implementation of the pricing formulas developed in Part II, offering a detailed survey of numerical methods and providing a collection of programs in FORTRAN and C++.Errata(s)Preface, Page viChapter 13, Page 534?www.worldscientific.com/books/4415.zip? The above links should be replaced with?www.worldscientific.com/doi/suppl/10.1142/4415/suppl_file/4415_software_free.zip?Errata

Exotic Derivatives and Risk

Mondher Bellalah
Exotic Derivatives and Risk Book PDF

Author : Mondher Bellalah
Publisher : World Scientific
Page : 617 pages
File Size : 45,6 Mb
Release : 2009
Category : Business & Economics
ISBN : 9789812797476

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Exotic Derivatives and Risk by Mondher Bellalah Pdf

This book discusses in detail the workings of financial markets and over-the-counter (OTC) markets, focusing specifically on standard and complex derivatives. The subjects covered range from the fundamental products in OTC markets, standard and exotic options, the concepts of value at risk, credit derivatives and risk management, to the applications of option pricing theory to real assets.To further elucidate these complex concepts and formulas, this book also explains in each chapter how theory and practice go hand-in-hand. This volume, a culmination of the author's 12 years of professional experience in the field of finance, derivative analysis and risk management, is a valuable guide for postgraduate students, academics and practitioners in the field of finance.

Risk-Neutral Valuation

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

Author : Nicholas H. Bingham,Rudiger Kiesel
Publisher : Springer Science & Business Media
Page : 306 pages
File Size : 49,6 Mb
Release : 2013-06-29
Category : Mathematics
ISBN : 9781447136194

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

With a simple approach accessible to a wide audience, this book aims for the heart of mathematical finance: the fundamental formula of arbitrage pricing theory. This method of pricing discounts everything and takes expected values under the equivalent martingale measure. The authors approach is simple and excludes unnecessary proofs of measure-theoretic probability, instead, it favors techniques and examples of proven interest to financial practitioners.

Derivatives Demystified

Andrew M. Chisholm
Derivatives Demystified Book PDF

Author : Andrew M. Chisholm
Publisher : John Wiley & Sons
Page : 293 pages
File Size : 50,9 Mb
Release : 2011-09-19
Category : Business & Economics
ISBN : 9780470971543

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Derivatives Demystified by Andrew M. Chisholm Pdf

Derivatives are everywhere in the modern world and it is important for everyone in banking, investment and finance to have a good understanding of the subject. Derivatives Demystified provides a step-by-step guide to the subject, enabling the reader to have a solid, working understanding of key derivative products. Adopting a highly accessible approach, the author explains derivative products in straightforward terms and without the complex mathematics that underlie the subject, focusing on practical applications, case studies and examples of how the products are used to solve real-world problems. Derivatives Demystified follows a sequence that is designed to show that, although there are many applications of derivatives, there are only a small number of basic building blocks, namely forwards and futures, swaps and options. The book shows how each building block is applied to different markets and to the solution of various risk management and trading problems. This new edition will be fully revised to reflect the many changes the derivatives markets have seen over the last three years. New material will include a comprehensive history of derivatives, leading up to their use and abuse in the current credit crisis. It will also feature new chapters on regulation and control of derivatives, commodity derivatives, credit derivatives and structured products and new derivative markets including inflation linked and insurance linked products. Derivatives Demystified is essential reading for everyone who operates in the financial markets or within the corporate environment who requires a good understanding of these important financial instruments.

Financial Derivatives Pricing

Robert A. Jarrow
Financial Derivatives Pricing Book PDF

Author : Robert A. Jarrow
Publisher : World Scientific
Page : 609 pages
File Size : 41,6 Mb
Release : 2008
Category : Business & Economics
ISBN : 9789812819208

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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 Heath?Jarrow?Morton (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.

Derivatives, Risk Management & Value

Mondher Bellalah
Derivatives Risk Management Value Book PDF

Author : Mondher Bellalah
Publisher : World Scientific
Page : 996 pages
File Size : 43,7 Mb
Release : 2009-05-01
Category : Business & Economics
ISBN : 9789812838629

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Derivatives, Risk Management & Value by Mondher Bellalah Pdf

This book covers fundamental concepts in financial markets and asset pricing such as hedging, arbitrage, speculation in different markets, classical models for pricing of simple and complex derivatives, mathematical foundations, managing and monitoring portfolios of derivatives in real time, etc. It explains different applications of these concepts using real world examples. The book also covers topics like financial markets and instruments, option pricing models, option pricing theory, exotic derivatives, second generation options, etc.Written in a simple manner and amply supported by real world examples, questions and exercises, the book will be of interest to students, academics and practitioners alike.

Complex Derivatives

Erik Banks
Complex Derivatives Book PDF

Author : Erik Banks
Publisher : Irwin Professional Publishing
Page : 248 pages
File Size : 46,9 Mb
Release : 1994
Category : Business & Economics
ISBN : UIUC:30112096365538

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Complex Derivatives by Erik Banks Pdf

Provides the tools to measure the risks and benefits of this new generation of high-tech products.

Fixed-Income Securities and Derivatives Handbook

Moorad Choudhry
Fixed Income Securities and Derivatives Handbook Book PDF

Author : Moorad Choudhry
Publisher : John Wiley & Sons
Page : 499 pages
File Size : 49,7 Mb
Release : 2010-08-02
Category : Business & Economics
ISBN : 9781576603345

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Fixed-Income Securities and Derivatives Handbook by Moorad Choudhry Pdf

The definitive guide to fixed-come securities-revised to reflect today's dynamic financial environment The Second Edition of the Fixed-Income Securities and Derivatives Handbook offers a completely updated and revised look at an important area of today's financial world. In addition to providing an accessible description of the main elements of the debt market, concentrating on the instruments used and their applications, this edition takes into account the effect of the recent financial crisis on fixed income securities and derivatives. As timely as it is timeless, the Second Edition of the Fixed-Income Securities and Derivatives Handbook includes a wealth of new material on such topics as covered and convertible bonds, swaps, synthetic securitization, and bond portfolio management, as well as discussions regarding new regulatory twists and the evolving derivatives market. Offers a more detailed look at the basic principles of securitization and an updated chapter on collateralized debt obligations Covers bond mathematics, pricing and yield analytics, and term structure models Includes a new chapter on credit analysis and the different metrics used to measure bond-relative value Contains illustrative case studies and real-world examples of the topics touched upon throughout the book Written in a straightforward and accessible style, Moorad Choudhry's new book offers the ideal mix of practical tips and academic theory within this important field.