Equity derivatives and hybrids : markets, models and methods / Oliver Brockhaus.
2016
HG6024.A3 B763 2016
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Details
Title
Equity derivatives and hybrids : markets, models and methods / Oliver Brockhaus.
Author
Brockhaus, Oliver, author.
ISBN
9781137349491 (electronic book)
1137349492 (electronic book)
9781137349484
1137349484
9781349559879
1137349492 (electronic book)
9781137349484
1137349484
9781349559879
Published
Houndmills, Basingstoke, Hampshire ; New York, NY : Palgrave Macmillan, 2016.
Copyright
©2016
Language
English
Description
1 online resource (xvi, 287 pages) : illustrations.
Item Number
10.1057/9781137349491 doi
Call Number
HG6024.A3 B763 2016
Dewey Decimal Classification
332.64/57
Summary
"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."-- Provided by publisher.
Bibliography, etc. Note
Includes bibliographical references (pages 273-280) and index.
Access Note
Access limited to authorized users.
Digital File Characteristics
text file PDF
Source of Description
Description based on print version record.
Series
Applied quantitative finance.
Available in Other Form
Print version: 1137349484
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