Quantitative Methods In Derivatives Pricing

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Quantitative Methods in Derivatives Pricing

Domingo Tavella
Quantitative Methods in Derivatives Pricing Book PDF

Author : Domingo Tavella
Publisher : John Wiley & Sons
Page : 304 pages
File Size : 41,6 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.

Computational Methods for Quantitative Finance

Norbert Hilber,Oleg Reichmann,Christoph Schwab,Christoph Winter
Computational Methods for Quantitative Finance Book PDF

Author : Norbert Hilber,Oleg Reichmann,Christoph Schwab,Christoph Winter
Publisher : Springer Science & Business Media
Page : 301 pages
File Size : 53,7 Mb
Release : 2013-02-15
Category : Mathematics
ISBN : 9783642354014

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Computational Methods for Quantitative Finance by Norbert Hilber,Oleg Reichmann,Christoph Schwab,Christoph Winter Pdf

Many mathematical assumptions on which classical derivative pricing methods are based have come under scrutiny in recent years. The present volume offers an introduction to deterministic algorithms for the fast and accurate pricing of derivative contracts in modern finance. This unified, non-Monte-Carlo computational pricing methodology is capable of handling rather general classes of stochastic market models with jumps, including, in particular, all currently used Lévy and stochastic volatility models. It allows us e.g. to quantify model risk in computed prices on plain vanilla, as well as on various types of exotic contracts. The algorithms are developed in classical Black-Scholes markets, and then extended to market models based on multiscale stochastic volatility, to Lévy, additive and certain classes of Feller processes. This book is intended for graduate students and researchers, as well as for practitioners in the fields of quantitative finance and applied and computational mathematics with a solid background in mathematics, statistics or economics.​

Elementary Financial Derivatives

Jana Sacks
Elementary Financial Derivatives Book PDF

Author : Jana Sacks
Publisher : John Wiley & Sons
Page : 240 pages
File Size : 41,5 Mb
Release : 2015-11-02
Category : Business & Economics
ISBN : 9781119076759

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Elementary Financial Derivatives by Jana Sacks Pdf

A step-by-step approach to the mathematical financial theory and quantitative methods needed to implement and apply state-of-the-art valuation techniques Written as an accessible and appealing introduction to financial derivatives, Elementary Financial Derivatives: A Guide to Trading and Valuation with Applications provides the necessary techniques for teaching and learning complex valuation techniques. Filling the current gap in financial engineering literature, the book emphasizes an easy-to-understand approach to the methods and applications of complex concepts without focusing on the underlying statistical and mathematical theories. Organized into three comprehensive sections, the book discusses the essential topics of the derivatives market with sections on options, swaps, and financial engineering concepts applied primarily, but not exclusively, to the futures market. Providing a better understanding of how to assess risk exposure, the book also includes: A wide range of real-world applications and examples detailing the theoretical concepts discussed throughout Numerous homework problems, highlighted equations, and Microsoft® Office Excel® modules for valuation Pedagogical elements such as solved case studies, select answers to problems, and key terms and concepts to aid comprehension of the presented material A companion website that contains an Instructor’s Solutions Manual, sample lecture PowerPoint® slides, and related Excel files and data sets Elementary Financial Derivatives: A Guide to Trading and Valuation with Applications is an excellent introductory textbook for upper-undergraduate courses in financial derivatives, quantitative finance, mathematical finance, and financial engineering. The book is also a valuable resource for practitioners in quantitative finance, industry professionals who lack technical knowledge of pricing options, and readers preparing for the CFA exam. Jana Sacks, PhD, is Associate Professor in the Department of Accounting and Finance at St. John Fisher College in Rochester, New York. A member of The American Finance Association, the National Association of Corporate Directors, and the International Atlantic Economic Society, Dr. Sack’s research interests include risk management, credit derivatives, pricing, hedging, and structured finance.

Quantitative Analysis, Derivatives Modeling, and Trading Strategies

Yi Tang,Bin Li
Quantitative Analysis Derivatives Modeling and Trading Strategies Book PDF

Author : Yi Tang,Bin Li
Publisher : World Scientific
Page : 523 pages
File Size : 52,9 Mb
Release : 2007
Category : Business & Economics
ISBN : 9789812706652

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Quantitative Analysis, Derivatives Modeling, and Trading Strategies by Yi Tang,Bin Li Pdf

This book addresses selected practical applications and recent developments in the areas of quantitative financial modeling in derivatives instruments, some of which are from the authorsOCO own research and practice. While the primary scope of this book is the fixed-income market (with further focus on the interest rate market), many of the methodologies presented also apply to other financial markets, such as the credit, equity, and foreign exchange markets. This book, which assumes that the reader is familiar with the basics of stochastic calculus and derivatives modeling, is written from the point of view of financial engineers or practitioners, and, as such, it puts more emphasis on the practical applications of financial mathematics in the real market than the mathematics itself with precise (and tedious) technical conditions. It attempts to combine economic insights with mathematics and modeling so as to help the reader develop intuitions. In addition, the book addresses the counterparty credit risk modeling, pricing, and arbitraging strategies, which are relatively recent developments and are of increasing importance. It also discusses various trading structuring strategies and touches upon some popular credit/IR/FX hybrid products, such as PRDC, TARN, Snowballs, Snowbears, CCDS, credit extinguishers."

Advanced Derivatives Pricing and Risk Management

Claudio Albanese,Giuseppe Campolieti
Advanced Derivatives Pricing and Risk Management Book PDF

Author : Claudio Albanese,Giuseppe Campolieti
Publisher : Academic Press
Page : 436 pages
File Size : 46,5 Mb
Release : 2006
Category : Business & Economics
ISBN : 9780120476824

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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.

Quantitative Methods for Electricity Trading and Risk Management

S. Fiorenzani
Quantitative Methods for Electricity Trading and Risk Management Book PDF

Author : S. Fiorenzani
Publisher : Springer
Page : 181 pages
File Size : 49,8 Mb
Release : 2006-01-31
Category : Business & Economics
ISBN : 9780230598348

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Quantitative Methods for Electricity Trading and Risk Management by S. Fiorenzani Pdf

This book presents practical Risk Management and Trading applications for the Electricity Markets. Various methodologies developed over the last few years are considered and current literature is reviewed. The book emphasizes the relationship between trading, hedging and generation asset management.

Analytical and Numerical Methods for Pricing Financial Derivatives

Daniel Sevcovic
Analytical and Numerical Methods for Pricing Financial Derivatives Book PDF

Author : Daniel Sevcovic
Publisher : Unknown
Page : 0 pages
File Size : 44,9 Mb
Release : 2011
Category : Derivative securities
ISBN : 1617287806

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Analytical and Numerical Methods for Pricing Financial Derivatives by Daniel Sevcovic Pdf

This book presents the reader with basic facts and knowledge of pricing financial derivatives. Also discussed herein is the qualitative analysis and practical methods of their pricing. The extensive expansion of various financial derivatives dates back to the beginning of seventies. The analysis of derivative securities was motivated by pioneering works due to economists Myron Scholes and Robert Merton and the theoretical physicist Fisher Black. They derived and analysed a pricing model nowadays referred to as the Black--Scholes model. The approach was indeed revolutionary as it brought the method of pricing derivative securities by means of solutions to partial differential equations.

Quantitative Modeling of Derivative Securities

Peter Laurence
Quantitative Modeling of Derivative Securities Book PDF

Author : Peter Laurence
Publisher : CRC Press
Page : 335 pages
File Size : 40,5 Mb
Release : 2017-11-22
Category : Mathematics
ISBN : 9781351420471

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Quantitative Modeling of Derivative Securities by Peter Laurence Pdf

Quantitative Modeling of Derivative Securities demonstrates how to take the basic ideas of arbitrage theory and apply them - in a very concrete way - to the design and analysis of financial products. Based primarily (but not exclusively) on the analysis of derivatives, the book emphasizes relative-value and hedging ideas applied to different financial instruments. Using a ""financial engineering approach,"" the theory is developed progressively, focusing on specific aspects of pricing and hedging and with problems that the technical analyst or trader has to consider in practice. More than just an introductory text, the reader who has mastered the contents of this one book will have breached the gap separating the novice from the technical and research literature.

A Benchmark Approach to Quantitative Finance

Eckhard Platen,David Heath
A Benchmark Approach to Quantitative Finance Book PDF

Author : Eckhard Platen,David Heath
Publisher : Springer Science & Business Media
Page : 704 pages
File Size : 44,8 Mb
Release : 2006-10-28
Category : Business & Economics
ISBN : 9783540478560

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A Benchmark Approach to Quantitative Finance by Eckhard Platen,David Heath Pdf

A framework for financial market modeling, the benchmark approach extends beyond standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. This book presents the necessary mathematical tools, followed by a thorough introduction to financial modeling under the benchmark approach, explaining various quantitative methods for the fair pricing and hedging of derivatives.

Pricing Derivative Securities

Thomas W Epps
Pricing Derivative Securities Book PDF

Author : Thomas W Epps
Publisher : World Scientific Publishing Company
Page : 644 pages
File Size : 55,5 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.

Modern Derivatives Pricing and Credit Exposure Analysis

Roland Lichters,Roland Stamm,Donal Gallagher
Modern Derivatives Pricing and Credit Exposure Analysis Book PDF

Author : Roland Lichters,Roland Stamm,Donal Gallagher
Publisher : Springer
Page : 491 pages
File Size : 55,8 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.

Quantitative Methods in Economics and Finance

Tomas Kliestik,Katarina Valaskova,Maria Kovacova
Quantitative Methods in Economics and Finance Book PDF

Author : Tomas Kliestik,Katarina Valaskova,Maria Kovacova
Publisher : MDPI
Page : 164 pages
File Size : 46,5 Mb
Release : 2021-04-08
Category : Business & Economics
ISBN : 9783036505367

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Quantitative Methods in Economics and Finance by Tomas Kliestik,Katarina Valaskova,Maria Kovacova Pdf

The purpose of the Special Issue “Quantitative Methods in Economics and Finance” of the journal Risks was to provide a collection of papers that reflect the latest research and problems of pricing complex derivates, simulation pricing, analysis of financial markets, and volatility of exchange rates in the international context. This book can be used as a reference for academicians and researchers who would like to discuss and introduce new developments in the field of quantitative methods in economics and finance and explore applications of quantitative methods in other business areas.

Derivatives Pricing

Peter Carr
Derivatives Pricing Book PDF

Author : Peter Carr
Publisher : Unknown
Page : 535 pages
File Size : 51,9 Mb
Release : 2004-01
Category : Credit derivatives
ISBN : 1904339336

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Derivatives Pricing by Peter Carr Pdf

A unique collection of 19 historic papers on quantitative finance - including ground-breaking work by Louis Bachelier, Fischer Black, Robert Merton, Robert Engle and Bruno Dupire. The papers have been specially selected for Risk Books by Peter Carr, professor at the Courant Institute of Mathematical Sciences at NYU and head of quantitative research at Bloomberg.

Equity Hybrid Derivatives

Marcus Overhaus,Ana Bermudez,Hans Buehler,Andrew Ferraris,Christopher Jordinson,Aziz Lamnouar
Equity Hybrid Derivatives Book PDF

Author : Marcus Overhaus,Ana Bermudez,Hans Buehler,Andrew Ferraris,Christopher Jordinson,Aziz Lamnouar
Publisher : John Wiley & Sons
Page : 337 pages
File Size : 48,6 Mb
Release : 2007-02-02
Category : Business & Economics
ISBN : 9780471770589

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Equity Hybrid Derivatives by Marcus Overhaus,Ana Bermudez,Hans Buehler,Andrew Ferraris,Christopher Jordinson,Aziz Lamnouar Pdf

Take an in-depth look at equity hybrid derivatives. Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book presents leading-edge thinking in modeling, valuing, and hedging for this market, which is increasingly used for investment by hedge funds. You'll gain a balanced, integrated presentation of theory and practice, with an emphasis on understanding new techniques for analyzing volatility and credit derivative transactions linked to equity. In every instance, theory is illustrated along with practical application. Marcus Overhaus, PhD, is Managing Director and Global Head of Quantitative Research and Equity Structuring. Ana Bermudez, PhD, is an Associate in Global Quantitative Research. Hans Buehler, PhD, is a Vice President in Global Quantitative Research. Andrew Ferraris, DPhil, is a Managing Director in Global Quantitative Research. Christopher Jordinson, PhD, is a Vice President in Global Quantitative Research. Aziz Lamnouar, DEA, is a Vice President in Global Quantitative Research. All are associated with Deutsche Bank AG, London.

Equity Derivatives

Marcus Overhaus,Andrew Ferraris,Thomas Knudsen,Frank Mao,Laurent Nguyen-Ngoc,Gero Schindlmayr
Equity Derivatives Book PDF

Author : Marcus Overhaus,Andrew Ferraris,Thomas Knudsen,Frank Mao,Laurent Nguyen-Ngoc,Gero Schindlmayr
Publisher : John Wiley & Sons
Page : 172 pages
File Size : 49,7 Mb
Release : 2011-08-10
Category : Business & Economics
ISBN : 9781118160879

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Equity Derivatives by Marcus Overhaus,Andrew Ferraris,Thomas Knudsen,Frank Mao,Laurent Nguyen-Ngoc,Gero Schindlmayr Pdf

Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book acquaints readers with leading-edge thinking in modeling and hedging these transactions. Equity Derivatives offers a balanced, integrated presentation of theory and practice in equity derivative markets. It provides a theoretical treatment of each new modeling and hedging concept first, and then demonstrates their practical application. The book covers: the newest and fastest-growing class of derivative instruments, fund derivatives; cutting-edge developments in equity derivative modeling; new developments in correlation modeling and understanding volatility skews; and new Web-based implementation/delivery methods. Marcus Overhaus, PhD, Andrew Ferraris, DPhil, Thomas Knudsen, PhD, Frank Mao, PhD, Ross Milward, Laurent Nguyen-Ngoc, PhD, and Gero Schindlmayr, PhD, are members of the Quantitative Research team of Deutsche Bank's Global Equity Division, which is based in London and headed by Dr. Overhaus.