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| Author | : Philipp J. Schönbucher |
| Publisher | : John Wiley & Sons |
| Total Pages | : 396 |
| Release | : 2003-10-31 |
| Genre | : Business & Economics |
| ISBN | : 0470868171 |
Download Credit Derivatives Pricing Models Book in PDF, ePub and Kindle
The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real-world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue. Dr. Philipp J. Schönbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University. He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation.
| Author | : Helyette Geman |
| Publisher | : John Wiley & Sons |
| Total Pages | : 479 |
| Release | : 2009-09-24 |
| Genre | : Business & Economics |
| ISBN | : 0470687738 |
Download Commodities and Commodity Derivatives Book in PDF, ePub and Kindle
The last few years have been a watershed for the commodities, cash and derivatives industry. New regulations and products have led to an explosion in the commodities markets, creating a new asset for investors that includes hedge funds as well as University endowments, and has resulted in a spectacular growth in spot and derivative trading. This book covers hard and soft commodities (energy, agriculture and metals) and analyses: Economic and geopolitical issues in commodities markets Commodity price and volume risk Stochastic modelling of commodity spot prices and forward curves Real options valuation and hedging of physical assets in the energy industry It is required reading for energy companies and utilities practitioners, commodity cash and derivatives traders in investment banks, the Agrifood business, Commodity Trading Advisors (CTAs) and Hedge Funds. In Commodities and Commodity Derivatives, Hélyette Geman shows her powerful command of the subject by combining a rigorous development of its mathematical modelling with a compact institutional presentation of the arcane characteristics of commodities that makes the complex analysis of commodities derivative securities accessible to both the academic and practitioner who wants a deep foundation and a breadth of different market applications. It is destined to be a "must have" on the subject.” —Robert Merton, Professor, Harvard Business School "A marvelously comprehensive book of interest to academics and practitioners alike, by one of the world's foremost experts in the field." —Oldrich Vasicek, founder, KMV
| Author | : Christian Ekstrand |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 320 |
| Release | : 2011-08-26 |
| Genre | : Business & Economics |
| ISBN | : 3642221556 |
Download Financial Derivatives Modeling Book in PDF, ePub and Kindle
This book gives a comprehensive introduction to the modeling of financial derivatives, covering all major asset classes (equities, commodities, interest rates and foreign exchange) and stretching from Black and Scholes' lognormal modeling to current-day research on skew and smile models. The intended reader has a solid mathematical background and is a graduate/final-year undergraduate student specializing in Mathematical Finance, or works at a financial institution such as an investment bank or a hedge fund.
| Author | : Yue-Kuen Kwok |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 541 |
| Release | : 2008-07-10 |
| Genre | : Mathematics |
| ISBN | : 3540686886 |
Download Mathematical Models of Financial Derivatives Book in PDF, ePub and Kindle
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 | : Justin London |
| Publisher | : John Wiley & Sons |
| Total Pages | : 922 |
| Release | : 2005-01-21 |
| Genre | : Business & Economics |
| ISBN | : 047168189X |
Download Modeling Derivatives in C++ Book in PDF, ePub and Kindle
This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.
| Author | : Jonathan Batten |
| Publisher | : Emerald Group Publishing |
| Total Pages | : 446 |
| Release | : 2012-07-02 |
| Genre | : Business & Economics |
| ISBN | : 1780526164 |
Download Derivatives Pricing and Modeling Book in PDF, ePub and Kindle
Highlights research in derivatives modelling and markets in a post-crisis world across a number of dimensions or themes. This book addresses the following main areas: derivatives models and pricing, model application and performance backtesting, and new products and market features.
| Author | : William T. Shaw |
| Publisher | : Cambridge University Press |
| Total Pages | : 570 |
| Release | : 1998-12-10 |
| Genre | : Business & Economics |
| ISBN | : 9780521592338 |
Download Modelling Financial Derivatives with MATHEMATICA ® Book in PDF, ePub and Kindle
CD plus book for financial modelling, requires Mathematica 3 or 2.2; runs on most platforms.
| Author | : Fred Espen Benth |
| Publisher | : World Scientific |
| Total Pages | : 255 |
| Release | : 2013 |
| Genre | : Business & Economics |
| ISBN | : 9814401854 |
Download Modeling and Pricing in Financial Markets for Weather Derivatives Book in PDF, ePub and Kindle
Weather derivatives provide a tool for weather risk management, and the markets for these exotic financial products are gradually emerging in size and importance. This unique monograph presents a unified approach to the modeling and analysis of such weather derivatives, including financial contracts on temperature, wind and rain. Based on a deep statistical analysis of weather factors, sophisticated stochastic processes are introduced modeling the time and space dynamics. Applying ideas from the modern theory of mathematical finance, weather derivatives are priced, and questions of hedging analyzed. The treatise contains an in-depth analysis of typical weather contracts traded at the Chicago Mercantile Exchange (CME), including so-called CDD and HDD futures. The statistical analysis of weather variables is based on a large data set from Lithuania.The monograph includes the research done by the authors over the last decade on weather markets. Their work has gained considerable attention, and has been applied in many contexts.
| Author | : Antonis Alexandridis K. |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 310 |
| Release | : 2012-11-30 |
| Genre | : Business & Economics |
| ISBN | : 1461460719 |
Download Weather Derivatives Book in PDF, ePub and Kindle
Weather derivatives are financial instruments that can be used by organizations or individuals as part of a risk management strategy to minimize risk associated with adverse or unexpected weather conditions. Just as traditional contingent claims, a weather derivative has an underlying measure, such as: rainfall, wind, snow or temperature. Nearly $1 trillion of the U.S. economy is directly exposed to weather-related risk. More precisely, almost 30% of the U.S. economy and 70% of U.S. companies are affected by weather. The purpose of this monograph is to conduct an in-depth analysis of financial products that are traded in the weather market. Presenting a pricing and modeling approach for weather derivatives written on various underlying weather variables will help students, researchers, and industry professionals accurately price weather derivatives, and will provide strategies for effectively hedging against weather-related risk. This book will link the mathematical aspects of the modeling procedure of weather variables to the financial markets and the pricing of weather derivatives. Very little has been published in the area of weather risk, and this volume will appeal to graduate-level students and researchers studying financial mathematics, risk management, or energy finance, in addition to investors and professionals within the financial services industry.
| Author | : Pierre Henry-Labordere |
| Publisher | : CRC Press |
| Total Pages | : 403 |
| Release | : 2008-09-22 |
| Genre | : Business & Economics |
| ISBN | : 1420087002 |
Download Analysis, Geometry, and Modeling in Finance Book in PDF, ePub and Kindle
Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing is the first book that applies advanced analytical and geometrical methods used in physics and mathematics to the financial field. It even obtains new results when only approximate and partial solutions were previously available.Through the problem of option pricing, th
