Analytical Finance: Volume I

Name: Analytical Finance: Volume I
Brand: Springer International Publishing AG
SKU: 9783319340265
Price: 226.9 PLN
Availability: InStock

The Mathematics of Equity Derivatives, Markets, Risk and Valuation

Autor: Jan R. M. Röman

Język:

Oprawa: Miękka

Wydawca: Springer International Publishing AG

Dostępność: Dostępna u dostawcy

Wysyłamy za 10-18 dni

226.90 zł

This book provides an introduction to the valuation of financial instruments on equity markets. Writ...

Informacje o książce

Autor

Jan R. M. Röman

Język

Angielski

Oprawa

Książka - Miękka

Data wydania

2017

strony

492

EAN

9783319340265

ISBN

3319340263

Enbook ID

02981081

Wydawca

Springer International Publishing AG

Waga

788

Wymiary

157 x 235 x 27

Pełny opis

This book provides an introduction to the valuation of financial instruments on equity markets. Written from the perspective of trading, risk management and quantitative research functions and written by a practitioner with many years' experience in markets and in academia, it provides a valuable learning tool for students and new entrants to these markets.§§Coverage includes:§§·Trading and sources of risk, including credit and counterparty risk, market and model risks, settlement and Herstatt risks.§§·Numerical methods including discrete-time methods, finite different methods, binomial models and Monte Carlo simulations.§§·Probability theory and stochastic processes from the financial modeling perspective, including probability spaces, sigma algebras, measures and filtrations.§§·Continuous time models such as Black-Scholes-Merton; Delta-hedging and Delta-Gamma-hedging; general diffusion models and how to solve Partial Differential Equation using the Feynmann-Kac representation.§§·The trading, structuring and hedging several kinds of exotic options, including: Binary/Digital options; Barrier options; Lookbacks; Asian options; Chooses; Forward options; Ratchets; Compounded options; Basket options; Exchange and Currency-linked options; Pay later options and Quantos.§§·A detailed explanation of how to construct synthetic instruments and strategies for different market conditions, discussing more than 30 different option strategies.§§With source code for many of the models featured in the book provided and extensive examples and illustrations throughout, this book provides a comprehensive introduction to this topic and will prove an invaluable learning tool and reference for anyone studying or working in this field.§§

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Analytical Finance: Volume I

The Mathematics of Equity Derivatives, Markets, Risk and Valuation

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Pełny opis

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