79,00 € *

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Variance gamma is a pure jump stochastic process that allows to control volatility, skewness and kurtosis. The good fit to market data of option prices modeled with variance gamma has attracted increasing interest in the process, seen as an ideal candidate to improve classic Black and Scholes's option pricing. This monograph provides an excellent overview of the research to date on option pricing under variance gamma. The book will be invaluable to practitioners and academics who want to easily implement the model and understand the theory behind it. The monograph offers in-depth explanation of the pricing problem and provides a detailed implementation of finite difference algorithms used to price options. As the only published work that offers ready-to-use algorithms for a wide array of European and American, vanilla and barrier options, it is a great resource for researchers that want to use variance gamma to improve their risk management, trading and theoretical research. The monograph also presents programming code in C implementing every numerical algorithm presented in the work, making the research immediately usable even to the non-expert reader.

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40,65 € *

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Learn how C++ is used in the development of solutions for options and derivatives trading in the financial industry. As an important part of the financial industry, options and derivatives trading has become increasingly sophisticated. Advanced trading techniques using financial derivatives have been used at banks, hedge funds, and pension funds. Because of stringent performance characteristics, most of these trading systems are developed using C++ as the main implementation language.Options and Derivatives Programming in C++ covers features that are frequently used to write financial software for options and derivatives, including the STL, templates, functional programming, and support for numerical libraries. New features introduced in the C++11 and C++14 standard are also covered: lambda functions, automatic type detection, custom literals, and improved initialization strategies for C++ objects.Readers will enjoy the how-to examples covering all the major tools and concepts used to build working solutions for quantitative finance. It includes advanced C++ concepts as well as the basic building libraries used by modern C++ developers, such as the STL and Boost, while also leveraging knowledge of object-oriented and template-based programming. Options and Derivatives Programming in C++ provides a great value for readers who are trying to use their current programming knowledge in order to become proficient in the style of programming used in large banks, hedge funds, and other investment institutions. The topics covered in the book are introduced in a logical and structured way and even novice programmers will be able to absorb the most important topics and competencies.What You Will Learn Grasp the fundamental problems in options and derivatives trading Converse intelligently about credit default swaps, Forex derivatives, and more Implement valuation models and trading strategies Build pricing algorithms around the Black-Sholes Model, and also using the Binomial and Differential Equations methods Run quantitative finance algorithms using linear algebra techniques Recognize and apply the most common design patterns used in options trading Save time by using the latest C++ features such as the STL and the Boost libraries Who This Book Is ForProfessional developers who have some experience with the C++ language and would like to leverage that knowledge into financial software development. This book is written with the goal of reaching readers who need a concise, algorithms-based book, providing basic information through well-targeted examples and ready to use solutions. Readers will be able to directly apply the concepts and sample code to some of the most common problems faced in the analysis of options and derivative contracts.

Anbieter: Dodax

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141,00 CHF *

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'Richard Flavell has a strong theoretical perspective on swaps with considerable practical experience in the actual trading of these instruments. This rare combination makes this welcome updated second edition a useful reference work for market practitioners.' --Satyajit Das, author of Swaps and Financial Derivatives Library and Traders and Guns & Money: Knowns and Unknowns in the Dazzling World of Derivatives Fully revised and updated from the first edition, Swaps and Other Derivatives, Second Edition, provides a practical explanation of the pricing and evaluation of swaps and interest rate derivatives. Based on the author's extensive experience in derivatives and risk management, working as a financial engineer, consultant and trainer for a wide range of institutions across the world this book discusses in detail how many of the wide range of swaps and other derivatives, such as yield curve, index amortisers, inflation-linked, cross-market, volatility, diff and quanto diffs, are priced and hedged. It also describes the modelling of interest rate curves, and the derivation of implied discount factors from both interest rate swap curves, and cross-currency adjusted curves. There are detailed sections on the risk management of swap and option portfolios using both traditional approaches and also Value-at-Risk. Techniques are provided for the construction of dynamic and robust hedges, using ideas drawn from mathematical programming. This second edition has expanded sections on the credit derivatives market - its mechanics, how credit default swaps may be priced and hedged, and how default probabilities may be derived from a market strip. It also prices complex swaps with embedded options, such as range accruals, Bermudan swaptions and target accrual redemption notes, by constructing detailed numerical models such as interest rate trees and Libor-based simulation. There is also increased discussion around the modelling of volatility smiles and surfaces. The book is accompanied by a CD-ROM where all the models are replicated, enabling readers to implement the models in practice with the minimum of effort.

Anbieter: Orell Fuessli CH

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93,90 CHF *

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This text introduces upper division undergraduate/beginning graduate students in mathematics, finance, or economics, to the core topics of a beginning course in finance/financial engineering. Particular emphasis is placed on exploiting the power of the Monte Carlo method to illustrate and explore financial principles. Monte Carlo is the uniquely appropriate tool for modeling the random factors that drive financial markets and simulating their implications. The Monte Carlo method is introduced early and it is used in conjunction with the geometric Brownian motion model (GBM) to illustrate and analyze the topics covered in the remainder of the text. Placing focus on Monte Carlo methods allows for students to travel a short road from theory to practical applications. Coverage includes investment science, mean-variance portfolio theory, option pricing principles, exotic options, option trading strategies, jump diffusion and exponential Lévy alternative models, and the Kelly criterion for maximizing investment growth. Novel features: * inclusion of both portfolio theory and contingent claim analysis in a single text* pricing methodology for exotic options* expectation analysis of option trading strategies* pricing models that transcend the Black&#8211;Scholes framework* optimizing investment allocations* concepts thoroughly explored through numerous simulation exercises* numerous worked examples and illustrations The mathematical background required is a year and one-half course in calculus, matrix algebra covering solutions of linear systems, and a knowledge of probability including expectation, densities and the normal distribution. A refresher for these topics is presented in the Appendices. The programming background needed is how to code branching, loops and subroutines in some mathematical or general purpose language. The mathematical background required is a year and one-half course in calculus, matrix algebra covering solutions of linear systems, and a knowledge of probability including expectation, densities and the normal distribution. A refresher for these topics is presented in the Appendices. The programming background needed is how to code branching, loops and subroutines in some mathematical or general purpose language. Also by the author: (with F. Mendivil) Explorations in Monte Carlo, ©2009, ISBN: 978-0-387-87836-2; (with J. Herod) Mathematical Biology: An Introduction with Maple and Matlab, Second edition, ©2009, ISBN: 978-0-387-70983-3.

Anbieter: Orell Fuessli CH

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119,00 CHF *

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Supercharge options analytics and hedging using the power of Python Derivatives Analytics with Python shows you how to implement market-consistent valuation and hedging approaches using advanced financial models, efficient numerical techniques, and the powerful capabilities of the Python programming language. This unique guide offers detailed explanations of all theory, methods, and processes, giving you the background and tools necessary to value stock index options from a sound foundation. You'll find and use self-contained Python scripts and modules and learn how to apply Python to advanced data and derivatives analytics as you benefit from the 5,000+ lines of code that are provided to help you reproduce the results and graphics presented. Coverage includes market data analysis, risk-neutral valuation, Monte Carlo simulation, model calibration, valuation, and dynamic hedging, with models that exhibit stochastic volatility, jump components, stochastic short rates, and more. The companion website features all code and IPython Notebooks for immediate execution and automation. Python is gaining ground in the derivatives analytics space, allowing institutions to quickly and efficiently deliver portfolio, trading, and risk management results. This book is the finance professional's guide to exploiting Python's capabilities for efficient and performing derivatives analytics. * Reproduce major stylized facts of equity and options markets yourself * Apply Fourier transform techniques and advanced Monte Carlo pricing * Calibrate advanced option pricing models to market data * Integrate advanced models and numeric methods to dynamically hedge options Recent developments in the Python ecosystem enable analysts to implement analytics tasks as performing as with C or C++, but using only about one-tenth of the code or even less. Derivatives Analytics with Python -- Data Analysis, Models, Simulation, Calibration and Hedging shows you what you need to know to supercharge your derivatives and risk analytics efforts.

Anbieter: Orell Fuessli CH

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56,00 CHF *

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Supercharge options analytics and hedging using the power ofPython Derivatives Analytics with Python shows you how toimplement market-consistent valuation and hedging approaches usingadvanced financial models, efficient numerical techniques, and thepowerful capabilities of the Python programming language. Thisunique guide offers detailed explanations of all theory, methods,and processes, giving you the background and tools necessary tovalue stock index options from a sound foundation. You'll find anduse self-contained Python scripts and modules and learn how toapply Python to advanced data and derivatives analytics as youbenefit from the 5,000+ lines of code that are provided to help youreproduce the results and graphics presented. Coverage includesmarket data analysis, risk-neutral valuation, Monte Carlosimulation, model calibration, valuation, and dynamic hedging, withmodels that exhibit stochastic volatility, jump components,stochastic short rates, and more. The companion website featuresall code and IPython Notebooks for immediate execution andautomation. Python is gaining ground in the derivatives analytics space,allowing institutions to quickly and efficiently deliver portfolio,trading, and risk management results. This book is the financeprofessional's guide to exploiting Python's capabilities forefficient and performing derivatives analytics. * Reproduce major stylized facts of equity and options marketsyourself * Apply Fourier transform techniques and advanced Monte Carlopricing * Calibrate advanced option pricing models to market data * Integrate advanced models and numeric methods to dynamicallyhedge options Recent developments in the Python ecosystem enable analysts toimplement analytics tasks as performing as with C or C++, but usingonly about one-tenth of the code or even less. DerivativesAnalytics with Python -- Data Analysis, Models, Simulation,Calibration and Hedging shows you what you need to know tosupercharge your derivatives and risk analytics efforts.

Anbieter: Orell Fuessli CH

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250,90 CHF *

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This book presents an overview of the risks involved in modern electricity production, delivery and trading, including technical risk in production, transportation and delivery, operational risk for the system operators, market risks for traders, and political and other long term risks in strategic management. Using decision making under uncertainty as a methodological background, the book is divided into four parts, with Part I focusing on energy markets, particularly electricity markets. Topics include a nontechnical overview of energy markets and their main properties, basic price models for energy commodity prices, and modeling approaches for electricity price processes. Part II looks at optimal decisions in managing energy systems, including hydropower dispatch models, cutting plane algorithms and approximative dynamic programming; hydro-thermal production; renewable; stochastic investments and operational optimization models for natural gas transport; decision making in operating electricity networks; and investment in extending energy production systems. Part III explores pricing, including electricity swing options and the pricing of derivatives with volume control. Part IV looks at long-term and political risks, including energy systems under aspects of climate change, and catastrophic operational risks, particularly risks from terrorist attacks.

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3,00 CHF *

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According to some, the idea of Ethereum was born in 2009, when Bitcoin became the first practical solution of decentralization. Undoubtedly, the success of Blockchain greatly influenced Vitalik Buterin, the man behind Ethereum. However, 2012 would be a more particular date. That is when Vitalik left the University of Waterloo to travel the world while participating in various cryptocurrency innovations. While on this trip, Buterin conceived the Ethereum idea; a crypto economically secured platform for creating any kind of decentralized application. After that, Vitalik started drafting the Ethereum Whitepaper. The document justified the idea of a new crypto technology, stated its main principles, and possible applications. The whitepaper was published in 2013, and a month later, Buterin announced the beginning of Ethereum project during the Bitcointalk forum. In his post, Vitalik said that he was working with Jeffrey Wilcke and Dr. Gavin Wood as principle core developers. Wood took the main part in Ethereum creation after Vitalik. His Yellow Paper (the formal specification of Ethereum Virtual Machine) was published in April 2014. Coding its very first practical implementation in seven programming languages, this was the development of the first prototype of Ethereum platform. Just like Ethereum, Bitcoin is based on Blockchain technology, but this means nothing if it is not backed by the most powerful network in history. Investors channeled millions of dollars into Bitcoin, using the money on trading, mining equipment, and technologies. Launching a network like that demands the same amount (or more) of effort. To kick-start a group of investors, miners, and developers, the Ethereum foundation chose to carry out a pre-sale of more than 60M digital tokens (Ethers). The campaign ended up being a major success. Table of Contents Introduction What Is Ethereum? Automation and Ledgers Understanding Cryptocurrency Ethereum Wallets Mining Ethereum Blockchain Ethereum Smart Contracts Ethereum Scaling Understanding Blockchain Technology Public and Permissioned Blockchains Blockchain and the Future of Artificial Intelligence Distributed Ledger Blockchain and Online Fraud The Key to the Future Concerns and Limitations of Blockchain How to Execute Bitcoin Transactions How to Buy Bitcoin in the UK Understanding Public and Permissioned Blockchains Ethereum Mining Rig Paper Bitcoin Wallet Buying Ethereum Mining Altcoins Buying Bitcoin Anonymously Leading Cryptocurrency Options 'Crypto Kitties' and Ethereum Blockchain Ethereum Wallets Bonus* 27. Understanding Ripple and its Benefits 28. Steps to Buying Ripple 29, The Best XRP Wallets 30. Einsteinium 31. Beginner's Guide to Buying NEM (XEM)

Anbieter: Orell Fuessli CH

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70,00 CHF *

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&quote;Richard Flavell has a strong theoretical perspective on swaps with considerable practical experience in the actual trading of these instruments. This rare combination makes this welcome updated second edition a useful reference work for market practitioners.&quote; Satyajit Das, author of Swaps and Financial Derivatives Library and Traders and Guns & Money: Knowns and Unknowns in the Dazzling World of Derivatives Fully revised and updated from the first edition, Swaps and Other Derivatives, Second Edition, provides a practical explanation of the pricing and evaluation of swaps and interest rate derivatives. Based on the author s extensive experience in derivatives and risk management, working as a financial engineer, consultant and trainer for a wide range of institutions across the world this book discusses in detail how many of the wide range of swaps and other derivatives, such as yield curve, index amortisers, inflation-linked, cross-market, volatility, diff and quanto diffs, are priced and hedged. It also describes the modelling of interest rate curves, and the derivation of implied discount factors from both interest rate swap curves, and cross-currency adjusted curves. There are detailed sections on the risk management of swap and option portfolios using both traditional approaches and also Value-at-Risk. Techniques are provided for the construction of dynamic and robust hedges, using ideas drawn from mathematical programming. This second edition has expanded sections on the credit derivatives market its mechanics, how credit default swaps may be priced and hedged, and how default probabilities may be derived from a market strip. It also prices complex swaps with embedded options, such as range accruals, Bermudan swaptions and target accrual redemption notes, by constructing detailed numerical models such as interest rate trees and LIBOR-based simulation. There is also increased discussion around the modelling of volatility smiles and surfaces. The book is accompanied by a CD-ROM where all the models are replicated, enabling readers to implement the models in practice with the minimum of effort.

Anbieter: Orell Fuessli CH

Stand: 27.02.2020 Zum Angebot

Stand: 27.02.2020 Zum Angebot