Pricing And Hedging Of Derivative Securities PDF Download
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Author | : Leonardo Marroni |
Publisher | : John Wiley & Sons |
Total Pages | : 277 |
Release | : 2014-06-19 |
Genre | : Business & Economics |
ISBN | : 1119954584 |
Download Pricing and Hedging Financial Derivatives Book in PDF, ePub and Kindle
The only guide focusing entirely on practical approaches to pricing and hedging derivatives One valuable lesson of the financial crisis was that derivatives and risk practitioners don't really understand the products they're dealing with. Written by a practitioner for practitioners, this book delivers the kind of knowledge and skills traders and finance professionals need to fully understand derivatives and price and hedge them effectively. Most derivatives books are written by academics and are long on theory and short on the day-to-day realities of derivatives trading. Of the few practical guides available, very few of those cover pricing and hedging—two critical topics for traders. What matters to practitioners is what happens on the trading floor—information only seasoned practitioners such as authors Marroni and Perdomo can impart. Lays out proven derivatives pricing and hedging strategies and techniques for equities, FX, fixed income and commodities, as well as multi-assets and cross-assets Provides expert guidance on the development of structured products, supplemented with a range of practical examples Packed with real-life examples covering everything from option payout with delta hedging, to Monte Carlo procedures to common structured products payoffs The Companion Website features all of the examples from the book in Excel complete with source code
Author | : Lars Tyge Nielsen |
Publisher | : Oxford University Press, USA |
Total Pages | : 444 |
Release | : 1999 |
Genre | : Business & Economics |
ISBN | : 9780198776192 |
Download Pricing and Hedging of Derivative Securities Book in PDF, ePub and Kindle
The theory of pricing and hedging of derivative securities is mathematically sophisticated. This book is an introduction to the use of advanced probability theory in financial economics, presenting the necessary mathematics in a precise and rigorous manner. Professor Nielsen concentrates onthree main areas: the theory of continuous-time stochastic processes, a notorious barrier to the understanding of probability theory in finance; the general theory of trading, pricing, and hedging in continuous time, using the martingale approach; and a detailed look at the BlackScholes and theGaussian one-factor models of the term structure of interest rates. His book enables the reader to read the journal literature with confidence, apply the methods to new problems, or to do original research in the field.
Author | : Nicholas H. Bingham |
Publisher | : Springer Science & Business Media |
Total Pages | : 447 |
Release | : 2013-06-29 |
Genre | : Mathematics |
ISBN | : 1447138562 |
Download Risk-Neutral Valuation Book in PDF, ePub and Kindle
This second edition - completely up to date with new exercises - provides a comprehensive and self-contained treatment of the probabilistic theory behind the risk-neutral valuation principle and its application to the pricing and hedging of financial derivatives. On the probabilistic side, both discrete- and continuous-time stochastic processes are treated, with special emphasis on martingale theory, stochastic integration and change-of-measure techniques. Based on firm probabilistic foundations, general properties of discrete- and continuous-time financial market models are discussed.
Author | : Michael A. H. Dempster |
Publisher | : Cambridge University Press |
Total Pages | : 614 |
Release | : 1997-10-13 |
Genre | : Business & Economics |
ISBN | : 9780521584241 |
Download Mathematics of Derivative Securities Book in PDF, ePub and Kindle
During 1995 the Isaac Newton Institute for the Mathematical Sciences at Cambridge University hosted a six month research program on financial mathematics. During this period more than 300 scholars and financial practitioners attended to conduct research and to attend more than 150 research seminars. Many of the presented papers were on the subject of financial derivatives. The very best were selected to appear in this volume. They range from abstract financial theory to practical issues pertaining to the pricing and hedging of interest rate derivatives and exotic options in the market place. Hence this book will be of interest to both academic scholars and financial engineers.
Author | : Bruno Bouchard |
Publisher | : Springer |
Total Pages | : 286 |
Release | : 2016-06-23 |
Genre | : Mathematics |
ISBN | : 3319389904 |
Download Fundamentals and Advanced Techniques in Derivatives Hedging Book in PDF, ePub and Kindle
This book covers the theory of derivatives pricing and hedging as well as techniques used in mathematical finance. The authors use a top-down approach, starting with fundamentals before moving to applications, and present theoretical developments alongside various exercises, providing many examples of practical interest.A large spectrum of concepts and mathematical tools that are usually found in separate monographs are presented here. In addition to the no-arbitrage theory in full generality, this book also explores models and practical hedging and pricing issues. Fundamentals and Advanced Techniques in Derivatives Hedging further introduces advanced methods in probability and analysis, including Malliavin calculus and the theory of viscosity solutions, as well as the recent theory of stochastic targets and its use in risk management, making it the first textbook covering this topic. Graduate students in applied mathematics with an understanding of probability theory and stochastic calculus will find this book useful to gain a deeper understanding of fundamental concepts and methods in mathematical finance.
Author | : Thomas Wake Epps |
Publisher | : World Scientific Publishing Company |
Total Pages | : 644 |
Release | : 2007-06-04 |
Genre | : Business & Economics |
ISBN | : 9814365432 |
Download Pricing Derivative Securities (2nd Edition) Book in PDF, ePub and Kindle
This book presents techniques for valuing derivative securities at a level suitable for practitioners, students in doctoral programs in economics and finance, and those in masters-level programs in financial mathematics and computational finance. It provides the necessary mathematical tools from analysis, probability theory, the theory of stochastic processes, and stochastic calculus, making extensive use of examples. It also covers pricing theory, with emphasis on martingale methods. The chapters are organized around the assumptions made about the dynamics of underlying price processes. Readers begin with simple, discrete-time models that require little mathematical sophistication, proceed to the basic Black-Scholes theory, and then advance to continuous-time models with multiple risk sources. The second edition takes account of the major developments in the field since 2000. New topics include the use of simulation to price American-style derivatives, a new one-step approach to pricing options by inverting characteristic functions, and models that allow jumps in volatility and Markov-driven changes in regime. The new chapter on interest-rate derivatives includes extensive coverage of the LIBOR market model and an introduction to the modeling of credit risk. As a supplement to the text, the book contains an accompanying CD-ROM with user-friendly FORTRAN, C++, and VBA program components.
Author | : Robert A. Jarrow |
Publisher | : Thomson South-Western |
Total Pages | : 728 |
Release | : 1996 |
Genre | : Business & Economics |
ISBN | : |
Download Derivative Securities Book in PDF, ePub and Kindle
"Derivative Securities provides a comprehensive and accessible introduction to derivative securities, such as forward contracts, futures contracts, options on assets, options on futures contracts, and credit swaps. It features a new, unified approach to the pricing and hedging of futures and options, and covers diverse areas such as equity, stock index, foreign currency, interest rate and commodity derivatives, as well as swaps and exotic options."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved
Author | : Alexander Stremme |
Publisher | : |
Total Pages | : 370 |
Release | : 1999 |
Genre | : |
ISBN | : |
Download Pricing and hedging of derivative securities Book in PDF, ePub and Kindle
Author | : Robert A Jarrow |
Publisher | : World Scientific |
Total Pages | : 609 |
Release | : 2008-10-08 |
Genre | : Business & Economics |
ISBN | : 9814470635 |
Download Financial Derivatives Pricing: Selected Works Of Robert Jarrow Book in PDF, ePub and Kindle
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 like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.
Author | : Geoffrey Poitras |
Publisher | : Academic Press |
Total Pages | : 628 |
Release | : 2002-06-10 |
Genre | : Business & Economics |
ISBN | : 9780125588225 |
Download Risk Management, Speculation, and Derivative Securities Book in PDF, ePub and Kindle
Presenting an integrated explanation of speculative trading and risk management from the practitioner's point of view, "Risk Management, Speculation, and Derivative Securities" is a standard text on financial risk management that departs from the perspective of an agent whose main concerns are pricing and hedging derivatives.