Derivatives models on models
Derivatives Models on Models takes a theoretical and practical look at some of the latest and most important ideas behind derivatives pricing models. In each chapter the author highlights the latest thinking and trends in the area. A wide range of topics are covered, including valuation methods on s...
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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Chichester, England ; Hoboken, NJ :
John Wiley
c2007.
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| Edición: | 1st edition |
| Colección: | The Wiley Finance Series
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| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009627625206719 |
Tabla de Contenidos:
- Derivatives Models on Models; Contents; Author's "Disclaimer"; Introduction; Derivatives Models on Models; Nassim Taleb on Black Swans; Chapter 1 The Discovery of Fat-Tails in Price Data; Edward Thorp on Gambling and Trading; Chapter 2 Option Pricing and Hedging from Theory to Practice: Know Your Weapon III; 1 The Partly Ignored and Forgotten History; 2 Discrete Dynamic Delta Hedging under Geometric Brownian Motion; 3 Dynamic Delta Hedging Under Jump-Diffusion; 4 Equilibrium Models; 5 Portfolio Construction and Options Against Options; 6 Conclusions
- Alan Lewis on Stochastic Volatility and JumpsChapter 3 Back to Basics: A New Approach to the Discrete Dividend Problem; 1 Introduction; 2 General Solution; 3 Dividend Models; 4 Applications; Emanuel Derman the Wall Street Quant; Chapter 4 Closed Form Valuation of American Barrier Options; 1 Analytical Valuation of American Barrier Options; 2 Numerical Comparison; 3 Conclusion; Peter Carr, The Wall Street Wizard of Option Symmetry and Volatility; Chapter 5 Valuation of Complex Barrier Options Using Barrier Symmetry; 1 Plain Vanilla Put-Call Symmetry; 2 Barrier Put-Call Symmetry
- 3 Simple, Intuitive and Accurate Valuation of Double Barrier Options4 Static Hedging in the Real World; 5 Conclusion; Granger on Cointegration; Chapter 6 Knock-in/out Margrabe; 1 Margrabe Options; 2 Knock-in/out Margrabe Options; 3 Applications; Stephen Ross on APT; Chapter 7 Resetting Strikes, Barriers and Time; 1 Introduction; 2 Reset Strike Barrier Options; 3 Reset Barrier Options; 4 Resetting Time; 5 Conclusion; Bruno Dupire the Stochastic Wall Street Quant; Chapter 8 Asian Pyramid Power; 1 Celia in Derivativesland; 2 Calibrating to the Term Structure of Volatility
- 3 From Geometric to Arithmetic4 The Dollars; Eduardo Schwartz: the Yoga Master of Mathematical Finance; Chapter 9 Practical Valuation of Power Derivatives; 1 Introduction; 2 Energy Swaps/Forwards; 3 Power Options; 4 Still, What About Fat-Tails?; Aaron Brown on Gambling, Poker and Trading; Chapter 10 A Look in the Antimatter Mirror; 1 Garbage in, Garbage Out?; 2 Conclusion; Knut Aase on Catastrophes and Financial Economics; Chapter 11 Negative Volatility and the Survival of the Western Financial Markets; 1 Introduction; 2 Negative Volatility - A Direct Approach
- 3 The Value of a European Call Option for any Value - Positive or Negative - of the Volatility4 Negative Volatility - The Haug interpretation; 5 Chaotic Behavior from Deterministic Dynamics; 6 Conclusions; Elie Ayache on Option Trading and Modeling; Chapter 12 Frozen Time Arbitrage; 1 Time Measure Arbitrage; 2 Time Travel Arbitrage; 3 Conclusion; Haug on Wilmott and Wilmott on Wilmott; Chapter 13 Space-time Finance The Relativity Theory's Implications for Mathematical Finance; 1 Introduction; 2 Time dilation; 3 Advanced stage of Space-time Finance; 4 Space-time Uncertainty
- 5 Is High Speed Velocity Possible?
