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Applied Quantitative Finance for Equity Derivatives, Second Edition
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(Buch) |
Dieser Artikel gilt, aufgrund seiner Grösse, beim Versand als 3 Artikel!
Lieferstatus: |
i.d.R. innert 7-14 Tagen versandfertig |
Veröffentlichung: |
Januar 2019
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Genre: |
Naturwissensch., Medizin, Technik |
ISBN: |
9780244741587 |
EAN-Code:
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9780244741587 |
Verlag: |
Lulu.com |
Einband: |
Gebunden |
Sprache: |
English
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Dimensionen: |
H 235 mm / B 157 mm / D 35 mm |
Gewicht: |
997 gr |
Seiten: |
516 |
Zus. Info: |
HC gerader Rücken mit Schutzumschlag |
Bewertung: |
Titel bewerten / Meinung schreiben
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Inhalt: |
Revised and corrected in December 2018, this book presents the most significant equity derivatives models used these days. It is not a book around esoteric or cutting-edge models, but rather a book on relatively simple and standard models, viewed from the angle of a practitioner.
A few key subjects explained in this book are: cash dividends for European, American, or exotic options; issues of the Dupire local volatility model and possible fixes; finite difference techniques for American options and exotics; Non-parametric regression for American options in Monte-Carlo, randomized simulations; the particle method for stochastic-local-volatility model with quasi-random numbers; numerical methods for the variance and volatility swaps; quadratures for options under stochastic volatility models; VIX options and dividend derivatives; backward/forward representation of exotics.
This second edition adds new arbitrage-free implied volatility interpolations, and covers various warrants, such as CBBCs. |
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