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Equity Derivatives and Hybrids PALGRAVE MACMILLAN
Książki / Literatura obcojęzyczna
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 an experienced practitioner and acknowledged authority on quantitative equity research, 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 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 it, this book provides a valuable resource for quantitative-minded practitioners and researchers everywhere.
Sklepy zlokalizowane w miastach: Warszawa, Kraków, Łódź, Wrocław, Poznań, Gdańsk, Szczecin, Bydgoszcz, Lublin, Katowice
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