Derivatives
eBook - PDF

Derivatives

Models on Models

  1. English
  2. PDF
  3. Available on iOS & Android
eBook - PDF

Derivatives

Models on Models

About this book

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 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-ROM 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:

  • Clive Granger, Nobel Prize winner in Economics 2003, on Cointegration
  • 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 and Volatility
  • 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

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Yes, you can access Derivatives by Espen Gaarder Haug in PDF and/or ePUB format, as well as other popular books in Business & Finance. We have over one million books available in our catalogue for you to explore.

Information

Publisher
Wiley
Year
2008
Print ISBN
9780470013229
eBook ISBN
9780470065471
Edition
1
Topic
Business
Subtopic
Finance
Index
Business

Table of contents

  1. Cover
  2. Title Page
  3. Copyright Page
  4. Contents
  5. Author’s “Disclaimer”
  6. Introduction
  7. Derivatives Models on Models
  8. Nassim Taleb on Black Swans
  9. Chapter 1 The Discovery of Fat-Tails in Price Data
  10. Edward Thorp on Gambling and Trading
  11. Chapter 2 Option Pricing and Hedging from Theory to Practice: Know Your Weapon III
  12. Alan Lewis on Stochastic Volatility and Jumps
  13. Chapter 3 Back to Basics: A New Approach to the Discrete Dividend Problem
  14. Emanuel Derman the Wall Street Quant
  15. Chapter 4 Closed Form Valuation of American Barrier Options
  16. Peter Carr, The Wall Street Wizard of Option Symmetry and Volatility
  17. Chapter 5 Valuation of Complex Barrier Options Using Barrier Symmetry
  18. Granger on Cointegration
  19. Chapter 6 Knock-in/out Margrabe
  20. Stephen Ross on APT
  21. Chapter 7 Resetting Strikes, Barriers and Time
  22. Bruno Dupire the Stochastic Wall Street Quant
  23. Chapter 8 Asian Pyramid Power
  24. Eduardo Schwartz: the Yoga Master of Mathematical Finance
  25. Chapter 9 Practical Valuation of Power Derivatives
  26. Aaron Brown on Gambling, Poker and Trading
  27. Chapter 10 A Look in the Antimatter Mirror
  28. Knut Aase on Catastrophes and Financial Economics
  29. Chapter 11 Negative Volatility and the Survival of the Western Financial Markets
  30. Elie Ayache on Option Trading and Modeling
  31. Chapter 12 Frozen Time Arbitrage
  32. Haug on Wilmott and Wilmott on Wilmott
  33. Chapter 13 Space-time Finance The Relativity Theory’s Implications for Mathematical Finance
  34. Andrei Khrennikov on Negative Probabilities
  35. Chapter 14 Why so Negative about Negative Probabilities?
  36. David Bates on Crash and Jumps
  37. Chapter 15 Hidden Conditions and Coin Flip Blow Up’s
  38. Peter J¨ackel on Monte Carlo Simulation
  39. Index
  40. EULA