Derivatives - Models on Models (Hardcover, New)

This book takes a theoretical and practical look at some of the latest and most important ideas behind derivatives pricing models. In each chapter the author highlights the latest thinking and trends in the area. A wide range of topics is covered, including valuation methods on stocks paying discrete dividend, Asian options, American barrier options, Complex barrier options, reset options, and electricity derivatives. The book also discusses the latest ideas surrounding finance like the robustness of dynamic delta hedging, option hedging, negative probabilities and space-time finance.

The accompanying CD with additional Excel sheets includes the mathematical models covered in the book.

The book also includes interviews with some of the world's top names in the industry, and an insight into the history behind some of the greatest discoveries in quantitative finance. Interviewees include:

Nassim Taleb on Black Swans

Edward Thorp on Gambling and Trading

Alan Lewis on Stochastic Volatility and Jumps

Emanuel Derman, the Wall Street Quant

Peter Carr, the Wall Street Wizard of Option Symmetry and Volatility

Clive Granger, Nobel Prize winner in Economics 2003, on Cointegration

Stephen Ross on Arbitrage Pricing Theory

Bruno Dupire on Local and Stochastic Volatility Models

Eduardo Schwartz the Yoga Master of Quantitative Finance

Aaron Brown on Gambling, Poker and Trading

Knut Aase on Catastrophes and Financial Economics

Elie Ayache on Modeling

Paul Wilmott on Paul Wilmott

Andrei Khrennikov on Negative Probabilities

David Bates on Crash and Jumps

Peter Jackel on Monte Carlo Simulation

General

Imprint:	John Wiley & Sons
Country of origin:	United States
Release date:	May 2007
First published:	June 2007
Authors:	E.G. Haug
Dimensions:	255 x 195 x 28mm (L x W x T)
Format:	Hardcover
Pages:	368
Edition:	New
ISBN-13:	978-0-470-01322-9
Categories:	Books > Business & Economics > Finance & accounting > Finance > Investment & securities > General Books > Money & Finance > Investment & securities > General Promotions
LSN:	0-470-01322-2
Barcode:	9780470013229

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