000806521 000__ 03741cam\a2200493Mi\4500
000806521 001__ 806521
000806521 005__ 20230306143818.0
000806521 006__ m\\\\\o\\d\\\\\\\\
000806521 007__ cr\un\nnnunnun
000806521 008__ 160517t20162016enka\\\\ob\\\\001\0\eng\d
000806521 020__ $$a9781137349491$$q(electronic book)
000806521 020__ $$a1137349492$$q(electronic book)
000806521 020__ $$z9781137349484
000806521 020__ $$z1137349484
000806521 020__ $$z9781349559879
000806521 0247_ $$a10.1057/9781137349491$$2doi
000806521 035__ $$aSP(OCoLC)ocn949912540
000806521 035__ $$aSP(OCoLC)949912540
000806521 040__ $$aYDXCP$$beng$$erda$$cYDXCP$$dOCLCO$$dOCLCQ$$dZ5A$$dVLB$$dNJR$$dUAB
000806521 049__ $$aISEA
000806521 050_4 $$aHG6024.A3$$bB763 2016
000806521 08204 $$a332.64/57$$223
000806521 1001_ $$aBrockhaus, Oliver,$$eauthor.
000806521 24510 $$aEquity derivatives and hybrids :$$bmarkets, models and methods /$$cOliver Brockhaus.
000806521 264_1 $$aHoundmills, Basingstoke, Hampshire ;$$aNew York, NY :$$bPalgrave Macmillan,$$c2016.
000806521 264_4 $$c©2016
000806521 300__ $$a1 online resource (xvi, 287 pages) :$$billustrations.
000806521 336__ $$atext$$btxt$$2rdacontent
000806521 337__ $$acomputer$$bc$$2rdamedia
000806521 338__ $$aonline resource$$bcr$$2rdacarrier
000806521 347__ $$atext file$$bPDF$$2rda
000806521 4901_ $$aApplied quantitative finance
000806521 504__ $$aIncludes bibliographical references (pages 273-280) and index.
000806521 506__ $$aAccess limited to authorized users.
000806521 520__ $$a"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 jumpsDividend discount modelsNon-Markovian and discrete time volatility processesCorrelation skew modeling via copula as well as local and stochastic correlation factorsHybrid 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 multilevelWritten 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."--$$cProvided by publisher.
000806521 588__ $$aDescription based on print version record.
000806521 650_0 $$aDerivative securities$$xMathematical models.
000806521 650_0 $$aCorporations$$xFinance.
000806521 77608 $$iPrint version:$$z9781137349484$$z1137349484$$w(OCoLC)936540142
000806521 830_0 $$aApplied quantitative finance.
000806521 852__ $$bebk
000806521 85640 $$3SpringerLink$$uhttps://univsouthin.idm.oclc.org/login?url=http://link.springer.com/10.1057/9781137349491$$zOnline Access$$91397441.1
000806521 909CO $$ooai:library.usi.edu:806521$$pGLOBAL_SET
000806521 980__ $$aEBOOK
000806521 980__ $$aBIB
000806521 982__ $$aEbook
000806521 983__ $$aOnline
000806521 994__ $$a92$$bISE