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Analytical Finance: Volume I
62,25 € *
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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: 19.01.2020
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Analytical Finance. Vol.2
76,99 € *
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Analytical Finance is a comprehensive introduction to the financial engineering of equity and interest rate instruments for financial markets. Developed from notes from the author's many years in quantitative risk management and modeling roles, and then for the Financial Engineering course at Mälardalen University, it provides exhaustive coverage of vanilla and exotic mathematical finance applications for trading and risk management, combining rigorous theory with real market application.Coverage includes: - Date arithmetic's, quote types of interest rate instruments - The interbank market and reference rates, including negative rates - Valuation and modeling of IR instruments, bonds, FRN, FRA, forwards, futures, swaps, CDS, caps/floors and others - Bootstrapping and how to create interest rate curves from prices of traded instruments - Risk measures of IR instruments - Option Adjusted Spread and embedded options - The term structure equation, martingale measures and stochastic processes of interest rates, Vasicek, Ho-Lee, Hull-While, CIR - Numerical models, Black-Derman-Toy and forward induction using Arrow-Debreu prices and Newton-Raphson in 2 dimension - The Heath-Jarrow-Morton framework - Forward measures and general option pricing models - Black log-normal and, normal model for derivatives, market models and managing exotics instruments - Pricing before and after the financial crisis, collateral discounting, multiple curve framework, cheapest-to-deliver curves, CVA, DVA and FVA

Anbieter: Dodax AT
Stand: 19.01.2020
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Analytical Finance. Vol.2
74,89 € *
ggf. zzgl. Versand

Analytical Finance is a comprehensive introduction to the financial engineering of equity and interest rate instruments for financial markets. Developed from notes from the author's many years in quantitative risk management and modeling roles, and then for the Financial Engineering course at Mälardalen University, it provides exhaustive coverage of vanilla and exotic mathematical finance applications for trading and risk management, combining rigorous theory with real market application.Coverage includes: - Date arithmetic's, quote types of interest rate instruments - The interbank market and reference rates, including negative rates - Valuation and modeling of IR instruments, bonds, FRN, FRA, forwards, futures, swaps, CDS, caps/floors and others - Bootstrapping and how to create interest rate curves from prices of traded instruments - Risk measures of IR instruments - Option Adjusted Spread and embedded options - The term structure equation, martingale measures and stochastic processes of interest rates, Vasicek, Ho-Lee, Hull-While, CIR - Numerical models, Black-Derman-Toy and forward induction using Arrow-Debreu prices and Newton-Raphson in 2 dimension - The Heath-Jarrow-Morton framework - Forward measures and general option pricing models - Black log-normal and, normal model for derivatives, market models and managing exotics instruments - Pricing before and after the financial crisis, collateral discounting, multiple curve framework, cheapest-to-deliver curves, CVA, DVA and FVA

Anbieter: Dodax
Stand: 19.01.2020
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The Emergence of ETFs in Asia-Pacific
98,83 € *
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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 AT
Stand: 19.01.2020
Zum Angebot
The Emergence of ETFs in Asia-Pacific
96,09 € *
ggf. zzgl. Versand

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: 19.01.2020
Zum Angebot