427,30 zł

XVA of Financial Derivatives: CVA, DVA and FVA Explained Palgrave Macmillan

Książki / Literatura obcojęzyczna

This latest addition to the Financial Engineering Explained series focusses on the new standards for derivatives valuation, namely, pricing and risk management taking into account counterparty risk, and the XVA's - Credit, Funding and Debt value adjustments. Written by practitioners with hands on experience in this field, it will provide a practical introduction to different valuation adjustment for derivative trading by first examining the various aspects of derivative trading business. The book then proceeds to explain what these adjustments (CVA, DVA, FVA) are and their impacts. Issues related modeling and implementation techniques will be discussed. The emphasis would be on giving a complete picture in a transparent manner, so that the reader can get a clear understanding of these practical valuation issues that are critical in pricing, trading and risk management of derivatives.

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310,52 zł

Innovations in Derivatives Markets Springer International Publishing AG

Książki / Literatura obcojęzyczna

This book§presents 20 peer-reviewed chapters on current aspects of derivatives markets§and derivative pricing. The contributions, written by leading researchers in§the field as well as experienced authors from the financial industry, present§the state of the art in:§§- §Modeling§counterparty credit risk: credit valuation adjustment, debit valuation§adjustment, funding valuation adjustment, and wrong way risk.§- §Pricing§and hedging in fixed-income markets and multi-curve interest-rate modeling.§§- §Recent§developments concerning contingent convertible bonds, the measuring of basis§spreads, and the modeling of implied correlations. §§The recent§financial crisis has cast tremendous doubts on the classical view on derivative§pricing. Now, counterparty credit risk and liquidity issues are integral§aspects of a prudent valuation procedure and the reference interest rates are§represented by a multitude of curves according to their different periods and§maturities.§§A panel§discussion included in the book (featuring Damiano Brigo, Christian Fries, John§Hull, and Daniel Sommer) on the foundations of modeling and pricing in the§presence of counterparty credit risk provides intriguing insights on the§debate.§

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512,72 zł

Derivatives Springer Nature Switzerland AG

Książki / Literatura obcojęzyczna

This book helps students, researchers and quantitative finance practitioners to understand both basic and advanced topics in the valuation and modeling of financial and commodity derivatives, their institutional framework and risk management. It provides an overview of the new regulatory requirements such as Basel III, the Fundamental Review of the Trading Book (FRTB), Interest Rate Risk of the Banking Book (IRRBB), or the Internal Capital Assessment Process (ICAAP). The reader will also find a detailed treatment of counterparty credit risk, stochastic volatility estimation methods such as MCMC and Particle Filters, and the concepts of model-free volatility, VIX index definition and the related volatility trading. The book can also be used as a teaching material for university derivatives and financial engineering courses.

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269,92 zł

Interest Rate Derivatives Explained Palgrave Macmillan

Książki / Literatura obcojęzyczna

The book provides a thorough but concise description of fixed income markets, looking at the business, products and structures and advanced modeling of interest rate instruments. The book is timely in that it describes the many changes the field has seen post 2007 (Multi-Curves Framework and Market Data). It lays the grounds for a solid understanding of the current financial engineering, risk management and trader's knowledge for setting up the fundamental structures, including curve construction and the involved methods, standard fixed income derivative (swaps, fras, fx swaps, cross currency swaps). It then focuses on caps, floors, swaptions, cms and cms spread options - products that involve optionality and as such, cannot be priced from today's yield curve. Basic instruments need volatility. To this end the book considers the set-up for volatilities and again, explains the methodologies applied to understand current market quotes and how to use such quotes to set up a sound framework for risk management and trading. Finally, the book provides an outlook to modern term structure modelling including short rate and market models.

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664,27 zł

Credit Risk: Modeling, Valuation and Hedging Springer-Verlag Berlin and Heidelberg GmbH & Co....

Książki / Literatura obcojęzyczna

The motivation for the mathematical modeling studied in this text on developments in credit risk research is the bridging of the gap between mathematical theory of credit risk and the financial practice. Mathematical developments are covered thoroughly and give the structural and reduced-form approaches to credit risk modeling. Included is a detailed study of various arbitrage-free models of default term structures with several rating grades.Mathematical finance and financial engineering have been rapidly expanding fields of science over the past three decades. The main reason behind this phenomenon has been the success of sophisticated quantitative methodologies in helping professionals to manage financial risks. The newly developed credit derivatives industry has grown around the need to handle credit risk, which is one of the fundamental factors of financial risk. In recent years, we have witnessed a tremendous acceleration in research efforts aimed at better apprehending, modeling and hedging of this kind of risk. One of the objectives has been to understand links between credit risk and other major sources of uncertainty, such as the market risk or the liquidity risk. The main objective of this monograph is to present a comprehensive survey ofthe past developments in the area of credit risk research, as well as put forth the most recent advancements in this field. An important aspect of this text is that it attempts to bridge the gap between the mathematical theory of credit risk and the financial practice, which serves as the motivation for the mathematical modeling studied in the book. Mahtematical developments are presented in a thorough manner and cover the structural (value-of-the-firm) and the reduced-form (intensity-based) approaches to credit risk modeling, applied both to single and to multiple defaults. In particular, the book offers a detailed study of various arbitrage-free models of defaultable term structures with several rating grades. This book will serve as a valuable reference for financial analysts and traders involved with credit derivatives. Some aspects of the book may also be useful for market practitioners with managing credit-risk sensitives portfolios. Graduate students and researchers in areas such as finance theory, mathematical finance, financial engineering and probability theory will benefit from the book as well. On the technical side, readers are assumed to be familiar with graduate level probability theory, theory of stochastic processes, and elements of stochastic analysis and PDEs; some acquaintance with arbitrage pricing theory is also

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673,42 zł

Finite Difference Methods in Financial Engineering - A Partial Differential Equation Approach John Wiley & Sons Inc

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The world of quantitative finance (QF) is one of the fastest growing areas of research and its practical applications to derivatives pricing problem. Since the discovery of the famous Black-Scholes equation in the 1970's we have seen a surge in the number of models for a wide range of products such as plain and exotic options, interest rate derivatives, real options and many others. Gone are the days when it was possible to price these derivatives analytically. For most problems we must resort to some kind of approximate method. In this book we employ partial differential equations (PDE) to describe a range of one-factor and multi-factor derivatives products such as plain European and American options, multi-asset options, Asian options, interest rate options and real options. PDE techniques allow us to create a framework for modeling complex and interesting derivatives products. Having defined the PDE problem we then approximate it using the Finite Difference Method (FDM). This method has been used for many application areas such as fluid dynamics, heat transfer, semiconductor simulation and astrophysics, to name just a few.In this book we apply the same techniques to pricing real-life derivative products. We use both traditional (or well-known) methods as well as a number of advanced schemes that are making their way into the QF literature:* Crank-Nicolson, exponentially fitted and higher-order schemes for one-factor and multi-factor options* Early exercise features and approximation using front-fixing, penalty and variational methods* Modelling stochastic volatility models using Splitting methods* Critique of ADI and Crank-Nicolson schemes; when they work and when they don't work* Modelling jumps using Partial Integro Differential Equations (PIDE)* Free and moving boundary value problems in QF Included with the book is a CD containing information on how to set up FDM algorithms, how to map these algorithms to C++ as well as several working programs for one-factor and two-factor models. We also provide source code so that you can customize the applications to suit your own needs.

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602,97 zł

Interest Rate Modeling. Volume 3 Atlantic Financial Press

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The three volumes of Interest Rate Modeling present a comprehensive and up-to-date treatment of techniques and models used in the pricing and risk management of fixed income securities. Written by two leading practitioners and seasoned industry veterans, this unique series combines finance theory, numerical methods, and approximation techniques to provide the reader with an integrated approach to the process of designing and implementing industrial-strength models for fixed income security valuation and hedging. Aiming to bridge the gap between advanced theoretical models and real-life trading applications, the pragmatic, yet rigorous, approach taken in this book will appeal to students, academics, and professionals working in quantitative finance. The first half of Volume III contains a detailed study of several classes of fixed income securities, ranging from simple vanilla options to highly exotic cancelable and path-dependent derivatives. The analysis is done in product-specific fashion covering, among other subjects, risk characterization, calibration strategies, and valuation methods. In its second half, Volume III studies the general topic of derivative portfolio risk management, with a particular emphasis on the challenging problem of computing smooth price sensitivities to market input perturbations.

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500,97 zł

Market Practice In Financial Modelling World Scientific Publishing Co Pte Ltd

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Written to bridge the gap between foundational quantitative finance and market practice, this book goes beyond the basics covered in most textbooks by presenting content concerning actual industry norms, thus resulting in a clearer picture of the field for the readers. These include, for instance, the practitioner's perspective of how local versus stochastic volume affects forward smile, or the implications of mean reversion on forward volume. Key considerations for modeling in rates, equities and foreign exchange are presented from the perspective of common themes across various assets, as well as their individual characteristics. The discussion on models emphasizes the key aspects that are relevant to the pricing of different types of financial derivatives, so that the reader can observe how an appropriate choice of models is essential in reflecting the risk profile and hedging considerations for different products. With the knowledge gleaned from this book, readers will attain a more comprehensive understanding of market practice in derivatives modeling.

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683,87 zł

Introduction to Financial Markets - A Quantitative Approach John Wiley & Sons Inc

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COVERS THE FUNDAMENTAL TOPICS IN MATHEMATICS, STATISTICS, AND FINANCIAL MANAGEMENT THAT ARE REQUIRED FOR A THOROUGH STUDY OF FINANCIAL MARKETSThis comprehensive yet accessible book introduces students to financial markets and delves into more advanced material at a steady pace while providing motivating examples, poignant remarks, counterexamples, ideological clashes, and intuitive traps throughout. Tempered by real-life cases and actual market structures, An Introduction to Financial Markets: A Quantitative Approach accentuates theory through quantitative modeling whenever and wherever necessary. It focuses on the lessons learned from timely subject matter such as the impact of the recent subprime mortgage storm, the collapse of LTCM, and the harsh criticism on risk management and innovative finance. The book also provides the necessary foundations in stochastic calculus and optimization, alongside financial modeling concepts that are illustrated with relevant and hands-on examples.An Introduction to Financial Markets: A Quantitative Approach starts with a complete overview of the subject matter. It then moves on to sections covering fixed income assets, equity portfolios, derivatives, and advanced optimization models. This book's balanced and broad view of the state-of-the-art in financial decision-making helps provide readers with all the background and modeling tools needed to make "honest money" and, in the process, to become a sound professional.Stresses that gut feelings are not always sufficient and that "critical thinking" and real world applications are appropriate when dealing with complex social systems involving multiple players with conflicting incentivesFeatures a related website that contains a solution manual for end-of-chapter problemsWritten in a modular style for tailored classroom useBridges a gap for business and engineering students who are familiar with the problems involved, but are less familiar with the methodologies needed to make smart decisionsAn Introduction to Financial Markets: A Quantitative Approach offers a balance between the need to illustrate mathematics in action and the need to understand the real life context. It is an ideal text for a first course in financial markets or investments for business, economic, statistics, engi-neering, decision science, and management science students.PAOLO BRANDIMARTE is Full Professor at the Department of Mathematical Sciences of Politecnico di Torino in Italy, where he teaches Business Analytics and Financial Engineering. He is the author of several publications, including more than ten books on the application of optimization and simulation to diverse areas such as production and supply chain management, telecommunications, and finance.

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634,53 zł

Financial Modelling - Theory, Implementation and Practice with MATLAB Source John Wiley & Sons Inc

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This book will enable the reader to model, design and implement a range of financial models for derivatives pricing and asset allocation. The book will provide practitioners with the complete financial modeling workflow, from model choice, deriving (semi-) analytic approximate prices and Greeks even for exotic options. Such methods can be used for calibration to market data. Furthermore, Monte Carlo simulation techniques are covered which can be applied to multi-dimensional and path dependent options or some asset allocation problems.§Equity/Equity-Interest Rate Hybrid models, Interest Rate models and Asset Allocation are used as examples showing specific models with analysis of their features. The authors then go on to show how to price simple options and how to calibrate the models to real life market data and finally they discuss the pricing of exotic options. At the end of these sections the reader will be able to use the techniques discussed for equity derivatives and interest rate models in other areas of finance such as foreign exchange and inflation.

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681,05 zł

Financial Modelling with Python John Wiley & Sons Inc

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"Fletcher and Gardner have created a comprehensive resource that will be of interest not only to those working in the field of finance, but also to those using numerical methods in other fields such as engineering, physics, and actuarial mathematics. By showing how to combine the high-level elegance, accessibility, and flexibility of Python, with the low-level computational efficiency of C++, in the context of interesting financial modeling problems, they have provided an implementation template which will be useful to others seeking to jointly optimize the use of computational and human resources. They document all the necessary technical details required in order to make external numerical libraries available from within Python, and they contribute a useful library of their own, which will significantly reduce the start-up costs involved in building financial models. This book is a must read for all those with a need to apply numerical methods in the valuation of financial claims."- David Louton, Professor of Finance, Bryant University This book is directed at both industry practitioners and students interested in designing a pricing and risk management framework for financial derivatives using the Python programming language. It is a practical book complete with working, tested code that guides the reader through the process of building a flexible, extensible pricing framework in Python. The pricing frameworks' loosely coupled fundamental components have been designed to facilitate the quick development of new models. Concrete applications to real-world pricing problems are also provided. Topics are introduced gradually, each building on the last. They include basic mathematical algorithms, common algorithms from numerical analysis, trade, market and event data model representations, lattice and simulation based pricing, and model development. The mathematics presented is kept simple and to the point. The book also provides a host of information on practical technical topics such as C++/Python hybrid development (embedding and extending) and techniques for integrating Python based programs with Microsoft Excel.

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356,25 zł

Volatility Surface - A Practitioner's Guide John Wiley & Sons Inc

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Praise for The Volatility Surface "I'm thrilled by the appearance of Jim Gatheral's new book The Volatility Surface. The literature on stochastic volatility is vast, but difficult to penetrate and use. Gatheral's book, by contrast, is accessible and practical. It successfully charts a middle ground between specific examples and general models--achieving remarkable clarity without giving up sophistication, depth, or breadth." --Robert V. Kohn, Professor of Mathematics and Chair, Mathematical Finance Committee, Courant Institute of Mathematical Sciences, New York University "Concise yet comprehensive, equally attentive to both theory and phenomena, this book provides an unsurpassed account of the peculiarities of the implied volatility surface, its consequences for pricing and hedging, and the theories that struggle to explain it." --Emanuel Derman, author of My Life as a Quant "Jim Gatheral is the wiliest practitioner in the business. This very fine book is an outgrowth of the lecture notes prepared for one of the most popular classes at NYU's esteemed Courant Institute.The topics covered are at the forefront of research in mathematical finance and the author's treatment of them is simply the best available in this form." --Peter Carr, PhD, head of Quantitative Financial Research, Bloomberg LP Director of the Masters Program in Mathematical Finance, New York University "Jim Gatheral is an acknowledged master of advanced modeling for derivatives. In The Volatility Surface he reveals the secrets of dealing with the most important but most elusive of financial quantities, volatility." --Paul Wilmott, author and mathematician "As a teacher in the field of mathematical finance, I welcome Jim Gatheral's book as a significant development. Written by a Wall Street practitioner with extensive market and teaching experience, The Volatility Surface gives students access to a level of knowledge on derivatives which was not previously available. I strongly recommend it." --Marco Avellaneda, Director, Division of Mathematical Finance Courant Institute, New York University "Jim Gatheral could not have written a better book." --Bruno Dupire, winner of the 2006 Wilmott Cutting Edge Research Award Quantitative Research, Bloomberg LP

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629,20 zł

Credit Risk Management Springer International Publishing AG

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This book introduces to basic and advanced methods for credit risk management. It covers classical debt instruments and modern financial markets products. The author describes not only standard rating and scoring methods like Classification Trees or Logistic Regression, but also less known models that are subject of ongoing research, like e.g. Support Vector Machines, Neural Networks, or Fuzzy Inference Systems. The book also illustrates financial and commodity markets and analyzes the principles of advanced credit risk modeling techniques and credit derivatives pricing methods. Particular attention is given to the challenges of counterparty risk management, Credit Valuation Adjustment (CVA) and the related regulatory Basel III requirements. As a conclusion, the book provides the reader with all the essential aspects of classical and modern credit risk management and modeling.

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