by
Jarrow, Robert A.
Call Number
332.6457 22
Publication Date
2008
Summary
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.
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Electronic Resources
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3.3566
by
Bellalah, Mondher.
Call Number
332.6457 22
Publication Date
2010
Summary
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.
Format:
Electronic Resources
Relevance:
3.2475
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3.
by
Jacque, Laurent L.
Call Number
332.6457 22
Publication Date
2010
Format:
Electronic Resources
Relevance:
3.2261
4.
by
Neftci, Salih N.
Call Number
332.632 21
Publication Date
2000
Format:
Electronic Resources
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2.6839
by
Albanese, Claudio.
Call Number
332.6457 22
Publication Date
2006
Summary
Written by leading academics and practitioners in the field of financial mathematics, the purpose of this book is to provide a unique combination of some of the most important and relevant theoretical and practical tools from which any advanced undergraduate and graduate student, professional quant and researcher will benefit. This book stands out from all other existing books in quantitative finance from the sheer impressive range of ready-to-use software and accessible theoretical tools that are provided as a complete package. By proceeding from simple to complex, the authors cover core topics in derivative pricing and risk management in a style that is engaging, accessible and self-instructional. The book contains a wide spectrum of problems, worked-out solutions, detailed methodologies and applied mathematical techniques for which anyone planning to make a serious career in quantitative finance must master. In fact, core portions of the books material originated and evolved after years of classroom lectures and computer laboratory courses taught in a world-renowned professional Masters program in mathematical finance. As a bonus to the reader, the book also gives a detailed exposition on new cutting-edge theoretical techniques with many results in pricing theory that are published here for the first time. *Includes easy-to-implement VB/VBA numerical software libraries *Proceeds from simple to complex in approaching pricing and risk management problems *Provides analytical methods to derive cutting-edge pricing formulas for equity derivatives.
Format:
Electronic Resources
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2.6177
by
Zhang, Peter G.
Call Number
332.450951 22
Publication Date
2004
Summary
With the CNY revaluation perspectives, hundreds of billions of USdollars have been invested in various types of CNY-related derivativeproducts. As a derivatives specialist with more than ten years'experience in the international financial market and with a workingexperience in China in the past few years, the author offers a volumeon trading and other practical issues of CNY- related derivativeproducts in the offshore marketplace.
Format:
Electronic Resources
Relevance:
2.5983
by
Hyer, Tom.
Call Number
332.6457028551 22
Publication Date
2010
Summary
""Derivatives Algorithms"" provides a unique expert overview of the abstractions and coding methods which support real-world derivatives trading. Written by an industry professional with extensive experience in large-scale trading operations, it describes the fundamentals of library code structure, and innovative advanced solutions to thorny issues in implementation. For the reader already familiar with C++ and arbitrage-free pricing, the book offers an invaluable glimpse of how they combine on an industrial scale. Topics range from interface design through code generation to the protocols tha.
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Electronic Resources
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2.4236
by
Baxter, Martin, 1968-
Call Number
332.63221 22
Publication Date
1996
Summary
Financial Calculus provides a rigorous and accessible account o the mathematics behind the pricing, construction and hedging of derivative securities.
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Electronic Resources
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2.3562
by
Tang, Yi.
Call Number
332.64570151 22
Publication Date
2007
Summary
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 authors? 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.
Format:
Electronic Resources
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2.3043
by
Rheinländer, Thorsten.
Call Number
332.6457 22
Publication Date
2011
Summary
Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropriate hedging techniques depends on both the type of derivative and assumptions placed on the underlying stochastic process. This volume provides a systematic treatment of hedging in incomplete markets. Mean-variance hedging under the risk-neutral measure is applied in the framework of exponential Lévy processes and for derivatives written on defaultable assets. It is discussed how to complete markets based upon stochastic volatility models via trading in both stocks and vanilla options. Exponentia.
Format:
Electronic Resources
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2.1189
by
Lyuu, Yuh-Dauh.
Call Number
332.60151 21
Publication Date
2002
Format:
Electronic Resources
Relevance:
1.8342
by
Fong, H. Gifford.
Call Number
332.6 22
Publication Date
2006
Format:
Electronic Resources
Relevance:
1.7230
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