Quantitative Modeling Of Derivative Securities
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Author | : Peter Laurence |
Publisher | : CRC Press |
Total Pages | : 335 |
Release | : 2017-11-22 |
Genre | : Mathematics |
ISBN | : 135142047X |
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.
Author | : Marco Avellaneda |
Publisher | : Routledge |
Total Pages | : 338 |
Release | : 2017-11-22 |
Genre | : Mathematics |
ISBN | : 1351420461 |
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.
Author | : Gianluca Fusai |
Publisher | : Springer Science & Business Media |
Total Pages | : 606 |
Release | : 2007-12-20 |
Genre | : Business & Economics |
ISBN | : 3540499598 |
This book puts numerical methods in action for the purpose of solving practical problems in quantitative finance. The first part develops a toolkit in numerical methods for finance. The second part proposes twenty self-contained cases covering model simulation, asset pricing and hedging, risk management, statistical estimation and model calibration. Each case develops a detailed solution to a concrete problem arising in applied financial management and guides the user towards a computer implementation. The appendices contain "crash courses" in VBA and Matlab programming languages.
Author | : Christian L. Dunis |
Publisher | : John Wiley & Sons |
Total Pages | : 426 |
Release | : 2004-01-09 |
Genre | : Business & Economics |
ISBN | : 0470871342 |
This book provides a manual on quantitative financial analysis. Focusing on advanced methods for modelling financial markets in the context of practical financial applications, it will cover data, software and techniques that will enable the reader to implement and interpret quantitative methodologies, specifically for trading and investment. Includes contributions from an international team of academics and quantitative asset managers from Morgan Stanley, Barclays Global Investors, ABN AMRO and Credit Suisse First Boston. Fills the gap for a book on applied quantitative investment & trading models Provides details of how to combine various models to manage and trade a portfolio
Author | : Mathieu Boudreault |
Publisher | : John Wiley & Sons |
Total Pages | : 592 |
Release | : 2019-03-22 |
Genre | : Mathematics |
ISBN | : 1119137012 |
A new textbook offering a comprehensive introduction to models and techniques for the emerging field of actuarial Finance Drs. Boudreault and Renaud answer the need for a clear, application-oriented guide to the growing field of actuarial finance with this volume, which focuses on the mathematical models and techniques used in actuarial finance for the pricing and hedging of actuarial liabilities exposed to financial markets and other contingencies. With roots in modern financial mathematics, actuarial finance presents unique challenges due to the long-term nature of insurance liabilities, the presence of mortality or other contingencies and the structure and regulations of the insurance and pension markets. Motivated, designed and written for and by actuaries, this book puts actuarial applications at the forefront in addition to balancing mathematics and finance at an adequate level to actuarial undergraduates. While the classical theory of financial mathematics is discussed, the authors provide a thorough grounding in such crucial topics as recognizing embedded options in actuarial liabilities, adequately quantifying and pricing liabilities, and using derivatives and other assets to manage actuarial and financial risks. Actuarial applications are emphasized and illustrated with about 300 examples and 200 exercises. The book also comprises end-of-chapter point-form summaries to help the reader review the most important concepts. Additional topics and features include: Compares pricing in insurance and financial markets Discusses event-triggered derivatives such as weather, catastrophe and longevity derivatives and how they can be used for risk management; Introduces equity-linked insurance and annuities (EIAs, VAs), relates them to common derivatives and how to manage mortality for these products Introduces pricing and replication in incomplete markets and analyze the impact of market incompleteness on insurance and risk management; Presents immunization techniques alongside Greeks-based hedging; Covers in detail how to delta-gamma/rho/vega hedge a liability and how to rebalance periodically a hedging portfolio. This text will prove itself a firm foundation for undergraduate courses in financial mathematics or economics, actuarial mathematics or derivative markets. It is also highly applicable to current and future actuaries preparing for the exams or actuary professionals looking for a valuable addition to their reference shelf. As of 2019, the book covers significant parts of the Society of Actuaries’ Exams FM, IFM and QFI Core, and the Casualty Actuarial Society’s Exams 2 and 3F. It is assumed the reader has basic skills in calculus (differentiation and integration of functions), probability (at the level of the Society of Actuaries’ Exam P), interest theory (time value of money) and, ideally, a basic understanding of elementary stochastic processes such as random walks.
Author | : Yue-Kuen Kwok |
Publisher | : Springer Science & Business Media |
Total Pages | : 541 |
Release | : 2008-07-10 |
Genre | : Mathematics |
ISBN | : 3540686886 |
This second edition, now featuring new material, focuses on the valuation principles that are common to most derivative securities. A wide range of financial derivatives commonly traded in the equity and fixed income markets are analysed, emphasising aspects of pricing, hedging and practical usage. This second edition features additional emphasis on the discussion of Ito calculus and Girsanovs Theorem, and the risk-neutral measure and equivalent martingale pricing approach. A new chapter on credit risk models and pricing of credit derivatives has been added. Up-to-date research results are provided by many useful exercises.
Author | : Kerry Back |
Publisher | : Springer Science & Business Media |
Total Pages | : 358 |
Release | : 2005-10-11 |
Genre | : Business & Economics |
ISBN | : 3540279008 |
"Deals with pricing and hedging financial derivatives.... Computational methods are introduced and the text contains the Excel VBA routines corresponding to the formulas and procedures described in the book. This is valuable since computer simulation can help readers understand the theory....The book...succeeds in presenting intuitively advanced derivative modelling... it provides a useful bridge between introductory books and the more advanced literature." --MATHEMATICAL REVIEWS
Author | : Robert A. Jarrow |
Publisher | : South Western Educational Publishing |
Total Pages | : 738 |
Release | : 1996 |
Genre | : Business & Economics |
ISBN | : |
Accessible and intuitive, Derivative Securities offers advanced undergraduates, MBA students, and executives the theory and practical tools needed to price and hedge derivatives in the professional marketplace. Written by two of the foremost derivative pricing experts in the world, this text makes the theory and practice of pricing and hedging derivative securities accessible without watering down the material. Presentation is complete yet avoids advanced mathematics. Equal coverage is given to options pricing theory and futures pricing theory, and cutting-edge derivatives research is incorporated throughout. Derivatives pricing software is bound with each text.
Author | : Eliezer Z. Prisman |
Publisher | : Academic Press |
Total Pages | : 788 |
Release | : 2000-09-14 |
Genre | : Business & Economics |
ISBN | : 9780125649155 |
CD-ROM contains: MAPLE student version 5.0; online version of text; MATLAB GUI; IDEAL software (embedded in online text).
Author | : Fred Espen Benth |
Publisher | : Springer Science & Business Media |
Total Pages | : 318 |
Release | : 2013-08-28 |
Genre | : Business & Economics |
ISBN | : 1461472482 |
Finance and energy markets have been an active scientific field for some time, even though the development and applications of sophisticated quantitative methods in these areas are relatively new—and referred to in a broader context as energy finance. Energy finance is often viewed as a branch of mathematical finance, yet this area continues to provide a rich source of issues that are fuelling new and exciting research developments. Based on a special thematic year at the Wolfgang Pauli Institute (WPI) in Vienna, Austria, this edited collection features cutting-edge research from leading scientists in the fields of energy and commodity finance. Topics discussed include modeling and analysis of energy and commodity markets, derivatives hedging and pricing, and optimal investment strategies and modeling of emerging markets, such as power and emissions. The book also confronts the challenges one faces in energy markets from a quantitative point of view, as well as the recent advances in solving these problems using advanced mathematical, statistical and numerical methods. By addressing the emerging area of quantitative energy finance, this volume will serve as a valuable resource for graduate-level students and researchers studying financial mathematics, risk management, or energy finance.