Theory Of Financial Risk And Derivative Pricing

Author : Jean-Philippe Bouchaud,Marc Potters
Publisher : Cambridge University Press
Page : 410 pages
File Size : 50,9 Mb
Release : 2003-12-11
Category : Business & Economics
ISBN : 0521819164

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Theory of Financial Risk and Derivative Pricing by Jean-Philippe Bouchaud,Marc Potters Pdf

Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.

Author : Claudio Albanese,Giuseppe Campolieti
Publisher : Academic Press
Page : 436 pages
File Size : 50,8 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.

Author : Rob Quail,James A. Overdahl
Publisher : John Wiley & Sons
Page : 627 pages
File Size : 52,9 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.

Author : Jean-Philippe Bouchaud,Marc Potters
Publisher : Unknown
Page : 128 pages
File Size : 47,8 Mb
Release : 2011-01-01
Category : Electronic
ISBN : 0521263360

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Theory Of Financial Risk And Derivative Pricing South Asian Edition by Jean-Philippe Bouchaud,Marc Potters Pdf

Author : Rob Quail,James A. Overdahl
Publisher : John Wiley & Sons
Page : 337 pages
File Size : 47,7 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.

Author : Anonim
Publisher : Unknown
Page : 128 pages
File Size : 43,9 Mb
Release : 2024-05-21
Category : Electronic
ISBN : 9789814470636

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Financial Derivatives Pricing by Anonim Pdf

Author : Martin Baxter,Andrew Rennie
Publisher : Cambridge University Press
Page : 252 pages
File Size : 55,8 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.

Author : Mondher Bellalah
Publisher : World Scientific
Page : 617 pages
File Size : 49,5 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.

Author : Robert A. Jarrow
Publisher : World Scientific
Page : 609 pages
File Size : 52,6 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.

Author : Robert E. Brooks,Don M. Chance
Publisher : John Wiley & Sons
Page : 631 pages
File Size : 51,7 Mb
Release : 2024-01-25
Category : Business & Economics
ISBN : 9781394179664

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Foundations of the Pricing of Financial Derivatives by Robert E. Brooks,Don M. Chance Pdf

An accessible and mathematically rigorous resource for masters and PhD students In Foundations of the Pricing of Financial Derivatives: Theory and Analysis two expert finance academics with professional experience deliver a practical new text for doctoral and masters’ students and also new practitioners. The book draws on the authors extensive combined experience teaching, researching, and consulting on this topic and strikes an effective balance between fine-grained quantitative detail and high-level theoretical explanations. The authors fill the gap left by books directed at masters’-level students that often lack mathematical rigor. Further, books aimed at mathematically trained graduate students often lack quantitative explanations and critical foundational materials. Thus, this book provides the technical background required to understand the more advanced mathematics used in this discipline, in class, in research, and in practice. Readers will also find: Tables, figures, line drawings, practice problems (with a solutions manual), references, and a glossary of commonly used specialist terms Review of material in calculus, probability theory, and asset pricing Coverage of both arithmetic and geometric Brownian motion Extensive treatment of the mathematical and economic foundations of the binomial and Black-Scholes-Merton models that explains their use and derivation, deepening readers’ understanding of these essential models Deep discussion of essential concepts, like arbitrage, that broaden students’ understanding of the basis for derivative pricing Coverage of pricing of forwards, futures, and swaps, including arbitrage-free term structures and interest rate derivatives An effective and hands-on text for masters’-level and PhD students and beginning practitioners with an interest in financial derivatives pricing, Foundations of the Pricing of Financial Derivatives is an intuitive and accessible resource that properly balances math, theory, and practical applications to help students develop a healthy command of a difficult subject.

Author : Nicholas H. Bingham,Rüdiger Kiesel
Publisher : Springer Science & Business Media
Page : 447 pages
File Size : 54,8 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.

Author : Leonardo Marroni,Irene Perdomo
Publisher : John Wiley & Sons
Page : 277 pages
File Size : 52,7 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

Author : Satyajit Das
Publisher : McGraw-Hill Companies
Page : 888 pages
File Size : 50,6 Mb
Release : 1998
Category : Derivative securities
ISBN : UCSC:32106018453438

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Risk Management and Financial Derivatives by Satyajit Das Pdf

"Risk Management and Financial Derivatives: A Guide to the Mathematics meets the demand for a simple, nontechnical explanation of the methodology of risk management and financial derivatives." "Risk Management and Financial Derivatives provides clear, concise explanations of the mathematics behind today's complex financial risk management topics. An ideal introduction for those new to the subject, it will also serve as an indispensable reference for those already experienced in the field."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved

Author : Peter Carr
Publisher : Unknown
Page : 535 pages
File Size : 44,5 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.

Author : Jean-Philippe Bouchaud,Marc Potters
Publisher : Unknown
Page : 218 pages
File Size : 43,5 Mb
Release : 2000
Category : Electronic books
ISBN : 0511046235

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Theory of Financial Risks by Jean-Philippe Bouchaud,Marc Potters Pdf

"This book summarizes recent theoretical developments inspired by statistical physics in the description of the potential moves in financial markets, and its application to derivative pricing and risk control. The possibility of accessing and processing huge quantities of data on financial markets opens the path to new methodologies where systematic comparison between theories and real data not only becomes possible, but mandatory. This book takes a physicist's point of view of financial risk by comparing theory with experiment. Starting with important results in probability theory the authors discuss the statistical analysis of real data, the empirical determination of statistical laws, the definition of risk, the theory of optimal portfolio and the problem of derivatives (forward contracts, options). This book will be of interest to physicists interested in finance, quantitative analysts in financial institutions, risk managers and graduate students in mathematical finance."--Publisher's description.