Author : Anonim
Publisher : Unknown
Page : 128 pages
File Size : 48,7 Mb
Release : 2024-06-29
Category : Electronic
ISBN : 9789814470636
Financial Derivatives Pricing
Anonim
Pricing Derivatives
Pricing Derivatives Book in PDF, ePub and Kindle version is available to download in english. Read online anytime anywhere directly from your device. Click on the download button below to get a free pdf file of Pricing Derivatives book. This book definitely worth reading, it is an incredibly well-written.
Pricing Derivative Securities
Thomas W Epps
Author : Thomas W Epps
Publisher : World Scientific Publishing Company
Page : 644 pages
File Size : 51,6 Mb
Release : 2007-06-04
Category : Business & Economics
ISBN : 9789814365437
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.
Credit Derivatives Pricing Models
Philipp J. Schönbucher
Author : Philipp J. Schönbucher
Publisher : John Wiley & Sons
Page : 396 pages
File Size : 45,5 Mb
Release : 2003-10-31
Category : Business & Economics
ISBN : 9780470868171
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.
Pricing and Hedging Financial Derivatives
Leonardo Marroni,Irene Perdomo
Author : Leonardo Marroni,Irene Perdomo
Publisher : John Wiley & Sons
Page : 277 pages
File Size : 46,7 Mb
Release : 2014-06-19
Category : Business & Economics
ISBN : 9781119954583
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
Pricing Derivative Securities
T. W. Epps
Author : T. W. Epps
Publisher : World Scientific
Page : 644 pages
File Size : 43,6 Mb
Release : 2007
Category : Business & Economics
ISBN : 9789812700339
Pricing Derivative Securities by T. 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.
Financial Derivatives
Rob Quail,James A. Overdahl
Author : Rob Quail,James A. Overdahl
Publisher : John Wiley & Sons
Page : 337 pages
File Size : 41,5 Mb
Release : 2003-03-20
Category : Business & Economics
ISBN : 9780471467663
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.
Modern Derivatives Pricing and Credit Exposure Analysis
Roland Lichters,Roland Stamm,Donal Gallagher
Author : Roland Lichters,Roland Stamm,Donal Gallagher
Publisher : Springer
Page : 573 pages
File Size : 55,6 Mb
Release : 2015-11-15
Category : Business & Economics
ISBN : 9781137494849
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.
Trading and Pricing Financial Derivatives
Patrick Boyle,Jesse McDougall
Author : Patrick Boyle,Jesse McDougall
Publisher : Walter de Gruyter GmbH & Co KG
Page : 298 pages
File Size : 42,5 Mb
Release : 2018-12-17
Category : Business & Economics
ISBN : 9781547401215
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.
Commodities and Commodity Derivatives
Helyette Geman
Author : Helyette Geman
Publisher : John Wiley & Sons
Page : 479 pages
File Size : 51,7 Mb
Release : 2009-09-24
Category : Business & Economics
ISBN : 9780470687734
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
Financial Derivatives
Rob Quail,James A. Overdahl
Author : Rob Quail,James A. Overdahl
Publisher : John Wiley & Sons
Page : 627 pages
File Size : 52,5 Mb
Release : 2009-10-15
Category : Business & Economics
ISBN : 9780470541746
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.
Financial Derivatives
Jamil Baz,George Chacko
Author : Jamil Baz,George Chacko
Publisher : Cambridge University Press
Page : 358 pages
File Size : 42,6 Mb
Release : 2004-01-12
Category : Business & Economics
ISBN : 052181510X
Financial Derivatives by Jamil Baz,George Chacko Pdf
Publisher Description
Advanced Derivatives Pricing and Risk Management
Claudio Albanese,Giuseppe Campolieti
Author : Claudio Albanese,Giuseppe Campolieti
Publisher : Academic Press
Page : 436 pages
File Size : 50,6 Mb
Release : 2006
Category : Business & Economics
ISBN : 9780120476824
Advanced Derivatives Pricing and Risk Management by Claudio Albanese,Giuseppe Campolieti Pdf
Book and CDROM include the important topics and cutting-edge research in financial derivatives and risk management.
Financial Calculus
Martin Baxter,Andrew Rennie
Author : Martin Baxter,Andrew Rennie
Publisher : Cambridge University Press
Page : 252 pages
File Size : 55,9 Mb
Release : 1996-09-19
Category : Business & Economics
ISBN : 0521552893
Financial Calculus by Martin Baxter,Andrew Rennie Pdf
A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities.
C++ Design Patterns and Derivatives Pricing
Mark Suresh Joshi
Author : Mark Suresh Joshi
Publisher : Cambridge University Press
Page : 220 pages
File Size : 51,6 Mb
Release : 2004-08-05
Category : Business & Economics
ISBN : 0521832357
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.
Quantitative Methods in Derivatives Pricing
Domingo Tavella
Author : Domingo Tavella
Publisher : John Wiley & Sons
Page : 304 pages
File Size : 40,8 Mb
Release : 2003-04-07
Category : Business & Economics
ISBN : 9780471274797
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.
