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Analytical Finance: Volume I
43,74 € *
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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.

Anbieter: Dodax
Stand: 04.08.2020
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The Emergence of ETFs in Asia-Pacific
102,60 € *
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This book is dedicated to examining Exchange-Traded Funds (ETFs) market in the Asia-Pacific region between 2004 and 2017. It offers a broad examination of the attributes and development of the ETF markets. The book presents a new approach to ETF markets modeling that uses innovation diffusion model. In addition, it explores the empirical links between ETFs and Information and Communication Technologies (ICTs). The book also compares ETFs and competing investment options. This book should appeal to both academics and practitioners as it includes detailed descriptions of the ETF markets and prepared projections regarding their future development. As the Asia-Pacific region plays a significant role in the global economy, this book should be useful for international readers beyond this area.The Emergence of ETFs in Asia-Pacific begins with an overview of the Asia-Pacific economies, focusing on their importance for the global economy and their features. Next, the book introduces an analytical framework. It explains major features of ETFs (such as their creation, distribution, and trading) and key categories, which facilitates profound understanding of the book merit even for readers with little knowledge about ETFs. The following chapter explores the role of ICTs in economy and society identifying channels of their impact on financial markets. It discusses how ICTs foster dynamic spread of financial innovations (including ETFs) across financial markets. Next, the book examines the ETF market's development in different countries in the Asia-Pacific region, by analyzing their level of development in terms of turnover. In this part it also provides brief characteristics of all markets, including their structures and categories of ETFs in various countries. Consecutive part of the book is dedicated to reports on the process of ICTs growing penetration across Asia-Pacific countries, showing the changes observed during recent years. It then continues the empirical analysis of the ETF markets in the Asia-Pacific region by attempting to trace the links between the development of ETF markets and ICT penetration during the period 2004-2017. As complementary material, a methodological annex is included showing major analytical techniques used throughout the research.

Anbieter: Dodax
Stand: 04.08.2020
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Interest Rate Modeling. Volume 3
259,00 CHF *
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The three volumes of Interest Rate Modeling present a comprehensive and up-to-date treatment of techniques and models used in the pricing and risk management of fixed income securities. Written by two leading practitioners and seasoned industry veterans, this unique series combines finance theory, numerical methods, and approximation techniques to provide the reader with an integrated approach to the process of designing and implementing industrial-strength models for fixed income security valuation and hedging. Aiming to bridge the gap between advanced theoretical models and real-life trading applications, the pragmatic, yet rigorous, approach taken in this book will appeal to students, academics, and professionals working in quantitative finance. The first half of Volume III contains a detailed study of several classes of fixed income securities, ranging from simple vanilla options to highly exotic cancelable and path-dependent derivatives. The analysis is done in product-specific fashion covering, among other subjects, risk characterization, calibration strategies, and valuation methods. In its second half, Volume III studies the general topic of derivative portfolio risk management, with a particular emphasis on the challenging problem of computing smooth price sensitivities to market input perturbations.

Anbieter: Orell Fuessli CH
Stand: 04.08.2020
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Handbook of High-Frequency Tra
202,00 CHF *
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Reflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of High-Frequency Trading and Modeling in Finance details how high-frequency analysis presents new systematic approaches to implementing quantitative activities with high-frequency financial data. Introducing new and established mathematical foundations necessary to analyze realistic market models and scenarios, the handbook begins with a presentation of the dynamics and complexity of futures and derivatives markets as well as a portfolio optimization problem using quantum computers. Subsequently, the handbook addresses estimating complex model parameters using high-frequency data. Finally, the handbook focuses on the links between models used in financial markets and models used in other research areas such as geophysics, fossil records, and earthquake studies. The Handbook of High-Frequency Trading and Modeling in Finance also features: * Contributions by well-known experts within the academic, industrial, and regulatory fields * A well-structured outline on the various data analysis methodologies used to identify new trading opportunities * Newly emerging quantitative tools that address growing concerns relating to high-frequency data such as stochastic volatility and volatility tracking; stochastic jump processes for limit-order books and broader market indicators; and options markets * Practical applications using real-world data to help readers better understand the presented material The Handbook of High-Frequency Trading and Modeling in Finance is an excellent reference for professionals in the fields of business, applied statistics, econometrics, and financial engineering. The handbook is also a good supplement for graduate and MBA-level courses on quantitative finance, volatility, and financial econometrics. Ionut Florescu, PhD, is Research Associate Professor in Financial Engineering and Director of the Hanlon Financial Systems Laboratory at Stevens Institute of Technology. His research interests include stochastic volatility, stochastic partial differential equations, Monte Carlo Methods, and numerical methods for stochastic processes. Dr. Florescu is the author of Probability and Stochastic Processes, the coauthor of Handbook of Probability, and the coeditor of Handbook of Modeling High-Frequency Data in Finance, all published by Wiley. Maria C. Mariani, PhD, is Shigeko K. Chan Distinguished Professor in Mathematical Sciences and Chair of the Department of Mathematical Sciences at The University of Texas at El Paso. Her research interests include mathematical finance, applied mathematics, geophysics, nonlinear and stochastic partial differential equations and numerical methods. Dr. Mariani is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley. H. Eugene Stanley, PhD, is William Fairfield Warren Distinguished Professor at Boston University. Stanley is one of the key founders of the new interdisciplinary field of econophysics, and has an ISI Hirsch index H=128 based on more than 1200 papers. In 2004 he was elected to the National Academy of Sciences. Frederi G. Viens, PhD, is Professor of Statistics and Mathematics and Director of the Computational Finance Program at Purdue University. He holds more than two dozen local, regional, and national awards and he travels extensively on a world-wide basis to deliver lectures on his research interests, which range from quantitative finance to climate science and agricultural economics. A Fellow of the Institute of Mathematics Statistics, Dr. Viens is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley.

Anbieter: Orell Fuessli CH
Stand: 04.08.2020
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Finance with Monte Carlo
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–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
Stand: 04.08.2020
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Derivatives Models on Models
115,00 CHF *
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This book 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 is covered, including valuation methods on stocks paying discrete dividend, Asian options, American barrier options, Complex barrier options, reset options, and electricity derivatives. The book also discusses the latest ideas surrounding finance like the robustness of dynamic delta hedging, option hedging, negative probabilities and space-time finance. The accompanying CD with additional Excel sheets includes the mathematical models covered in the book. The book also includes interviews with some of the world's top names in the industry, and an insight into the history behind some of the greatest discoveries in quantitative finance. Interviewees include: Nassim Taleb on Black Swans Edward Thorp on Gambling and Trading Alan Lewis on Stochastic Volatility and Jumps Emanuel Derman, the Wall Street Quant Peter Carr, the Wall Street Wizard of Option Symmetry and Volatility Clive Granger, Nobel Prize winner in Economics 2003, on Cointegration Stephen Ross on Arbitrage Pricing Theory Bruno Dupire on Local and Stochastic Volatility Models Eduardo Schwartz the Yoga Master of Quantitative Finance Aaron Brown on Gambling, Poker and Trading Knut Aase on Catastrophes and Financial Economics Elie Ayache on Modeling Paul Wilmott on Paul Wilmott Andrei Khrennikov on Negative Probabilities David Bates on Crash and Jumps Peter Jäckel on Monte Carlo Simulation

Anbieter: Orell Fuessli CH
Stand: 04.08.2020
Zum Angebot
Handbook of High-Frequency Trading and Modeling...
125,00 CHF *
ggf. zzgl. Versand

Reflecting the fast pace and ever-evolving nature of the financial industry, the Handbook of High-Frequency Trading and Modeling in Finance details how high-frequency analysis presents new systematic approaches to implementing quantitative activities with high-frequency financial data. Introducing new and established mathematical foundations necessary to analyze realistic market models and scenarios, the handbook begins with a presentation of the dynamics and complexity of futures and derivatives markets as well as a portfolio optimization problem using quantum computers. Subsequently, the handbook addresses estimating complex model parameters using high-frequency data. Finally, the handbook focuses on the links between models used in financial markets and models used in other research areas such as geophysics, fossil records, and earthquake studies. The Handbook of High-Frequency Trading and Modeling in Finance also features: Contributions by well-known experts within the academic, industrial, and regulatory fields A well-structured outline on the various data analysis methodologies used to identify new trading opportunities Newly emerging quantitative tools that address growing concerns relating to high-frequency data such as stochastic volatility and volatility tracking; stochastic jump processes for limit-order books and broader market indicators; and options markets Practical applications using real-world data to help readers better understand the presented material The Handbook of High-Frequency Trading and Modeling in Finance is an excellent reference for professionals in the fields of business, applied statistics, econometrics, and financial engineering. The handbook is also a good supplement for graduate and MBA-level courses on quantitative finance, volatility, and financial econometrics. Ionut Florescu, PhD, is Research Associate Professor in Financial Engineering and Director of the Hanlon Financial Systems Laboratory at Stevens Institute of Technology. His research interests include stochastic volatility, stochastic partial differential equations, Monte Carlo Methods, and numerical methods for stochastic processes. Dr. Florescu is the author of Probability and Stochastic Processes, the coauthor of Handbook of Probability, and the coeditor of Handbook of Modeling High-Frequency Data in Finance, all published by Wiley. Maria C. Mariani, PhD, is Shigeko K. Chan Distinguished Professor in Mathematical Sciences and Chair of the Department of Mathematical Sciences at The University of Texas at El Paso. Her research interests include mathematical finance, applied mathematics, geophysics, nonlinear and stochastic partial differential equations and numerical methods. Dr. Mariani is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley. H. Eugene Stanley, PhD, is William Fairfield Warren Distinguished Professor at Boston University. Stanley is one of the key founders of the new interdisciplinary field of econophysics, and has an ISI Hirsch index H=128 based on more than 1200 papers. In 2004 he was elected to the National Academy of Sciences. Frederi G. Viens, PhD, is Professor of Statistics and Mathematics and Director of the Computational Finance Program at Purdue University. He holds more than two dozen local, regional, and national awards and he travels extensively on a world-wide basis to deliver lectures on his research interests, which range from quantitative finance to climate science and agricultural economics. A Fellow of the Institute of Mathematics Statistics, Dr. Viens is the coeditor of Handbook of Modeling High-Frequency Data in Finance, also published by Wiley.

Anbieter: Orell Fuessli CH
Stand: 04.08.2020
Zum Angebot
Derivatives Models on Models
58,00 CHF *
ggf. zzgl. Versand

Derivatives Models on Models takes a theoretical andpractical look at some of the latest and most important ideasbehind derivatives pricing models. In each chapter the authorhighlights the latest thinking and trends in the area. A wide rangeof topics are covered, including valuation methods on stocks payingdiscrete dividend, Asian options, American barrier options, Complexbarrier options, reset options, and electricity derivatives. The book also discusses the latest ideas surrounding financelike the robustness of dynamic delta hedging, option hedging,negative probabilities and space-time finance. The accompanyingCD-ROM with additional Excel sheets includes the mathematicalmodels covered in the book. The book also includes interviews with some of the world'stop names in the industry, and an insight into the history behindsome of the greatest discoveries in quantitative finance.Interviewees include: * Clive Granger, Nobel Prize winner in Economics 2003, onCointegration * Nassim Taleb on Black Swans * Stephen Ross on Arbitrage Pricing Theory * Emanuel Derman the Wall Street Quant * Edward Thorp on Gambling and Trading * Peter Carr the Wall Street Wizard of Option Symmetry andVolatility * Aaron Brown on Gambling, Poker and Trading * David Bates on Crash and Jumps * Andrei Khrennikov on Negative Probabilities * Elie Ayache on Option Trading and Modeling * Peter Jaeckel on Monte Carlo Simulation * Alan Lewis on Stochastic Volatility and Jumps * Paul Wilmott on Paul Wilmott * Knut Aase on Catastrophes and Financial Economics * Eduardo Schwartz the Yoga Master of Quantitative Finance * Bruno Dupire on Local and Stochastic Volatility Models

Anbieter: Orell Fuessli CH
Stand: 04.08.2020
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Handbook of Risk Management in Energy Productio...
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.

Anbieter: Orell Fuessli CH
Stand: 04.08.2020
Zum Angebot