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Equity Derivatives and Hybrids - Markets, Models and Methods (Hardcover, 1st ed. 2015)
Loot Price: R1,992
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Equity Derivatives and Hybrids - Markets, Models and Methods (Hardcover, 1st ed. 2015)
Series: Applied Quantitative Finance
Expected to ship within 12 - 17 working days
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Since the development of the Black-Scholes model, research on
equity derivatives has evolved rapidly to the point where it is now
difficult to cut through the myriad of literature to find relevant
material. Written by a quant with many years of experience in the
field this book provides an up-to-date account of equity and
equity-hybrid (equity-rates, equity-credit, equity-foreign
exchange) derivatives modeling from a practitioner's perspective.
The content reflects the requirements of practitioners in financial
institutions: Quants will find a survey of state-of-the-art models
and guidance on how to efficiently implement them with regards to
market data representation, calibration, and sensitivity
computation. Traders and structurers will learn about structured
products, selection of the most appropriate models, as well as
efficient hedging methods while risk managers will better
understand market, credit, and model risk and find valuable
information on advanced correlation concepts. Equity Derivatives
and Hybrids provides exhaustive coverage of both market standard
and new approaches, including: -Empirical properties of stock
returns including autocorrelation and jumps -Dividend discount
models -Non-Markovian and discrete-time volatility processes
-Correlation skew modeling via copula as well as local and
stochastic correlation factors -Hybrid modeling covering local and
stochastic processes for interest rate, hazard rate, and volatility
as well as closed form solutions -Credit, debt, and funding
valuation adjustment (CVA, DVA, FVA) -Monte Carlo techniques for
sensitivities including algorithmic differentiation, path
recycling, as well as multilevel. Written in a highly accessible
manner with examples, applications, research, and ideas throughout,
this book provides a valuable resource for quantitative-minded
practitioners and researchers.
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