Pricing and Hedging Financial Derivatives
Pricing and Hedging Financial Derivatives

Author: Leonardo Marroni

Publisher: John Wiley & Sons

Published: 2014-06-19

Total Pages: 277

ISBN-13: 1119954584

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The only guide focusing entirely on practical approaches to pricing and hedging derivatives One valuable lesson of the financial crisis was that derivatives and risk practitioners don't really understand the products they're dealing with. Written by a practitioner for practitioners, this book delivers the kind of knowledge and skills traders and finance professionals need to fully understand derivatives and price and hedge them effectively. Most derivatives books are written by academics and are long on theory and short on the day-to-day realities of derivatives trading. Of the few practical guides available, very few of those cover pricing and hedging—two critical topics for traders. What matters to practitioners is what happens on the trading floor—information only seasoned practitioners such as authors Marroni and Perdomo can impart. Lays out proven derivatives pricing and hedging strategies and techniques for equities, FX, fixed income and commodities, as well as multi-assets and cross-assets Provides expert guidance on the development of structured products, supplemented with a range of practical examples Packed with real-life examples covering everything from option payout with delta hedging, to Monte Carlo procedures to common structured products payoffs The Companion Website features all of the examples from the book in Excel complete with source code

Pricing and Hedging Financial Derivatives
Pricing and Hedging Financial Derivatives

Author: Irene Perdomo

Publisher:

Published: 2013

Total Pages: 264

ISBN-13:

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The only guide focusing entirely on practical approaches to pricing and hedging derivatives One valuable lesson of the financial crisis was that derivatives and risk practitioners don't really understand the products they're dealing with. Written by a practitioner for practitioners, this book delivers the kind of knowledge and skills traders and finance professionals need to fully understand derivatives and price and hedge them effectively. Most derivatives books are written by academics and are long on theory and short on the day-to-day realities of derivatives trading. Of the few practical guides available, very few of those cover pricing and hedging-two critical topics for traders. What matters to practitioners is what happens on the trading floor-information only seasoned practitioners such as authors Marroni and Perdomo can impart. Lays out proven derivatives pricing and hedging strategies and techniques for equities, FX, fixed income and commodities, as well as multi-assets and cross-assets Provides expert guidance on the development of structured products, supplemented with a range of practical examples Packed with real-life examples covering everything from option payout with delta hedging, to Monte Carlo procedures to common structured products payoffs The Companion Website features all of the examples from the book in Excel complete with source code.

Risk-Neutral Valuation
Risk-Neutral Valuation

Author: Nicholas H. Bingham

Publisher: Springer Science & Business Media

Published: 2013-06-29

Total Pages: 306

ISBN-13: 1447136195

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With a simple approach accessible to a wide audience, this book aims for the heart of mathematical finance: the fundamental formula of arbitrage pricing theory. This method of pricing discounts everything and takes expected values under the equivalent martingale measure. The authors approach is simple and excludes unnecessary proofs of measure-theoretic probability, instead, it favors techniques and examples of proven interest to financial practitioners.

Financial Derivatives
Financial Derivatives

Author: Rob Quail

Publisher: John Wiley & Sons

Published: 2003-03-20

Total Pages: 337

ISBN-13: 0471467669

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"Financial Derivatives" - Jetzt neu in der 3. komplett überarbeiteten Auflage! Dieses umfassende Nachschlagewerk bietet eine gründliche Einführung in das Thema Finanzderivate und ihre Bedeutung für das Risikomanagement im Unternehmensumfeld. Es vermittelt fundierte Kenntnisse zum Thema Finanzderivate, und zwar mit einem verständlich gehaltenen Minimum an Finanzmathematik, was Preisbildung und Bewertung angeht. Mit einer breitgefächerten Übersicht über die verschiedenen Arten von Finanzderivaten. Mit neuem Material zu Kreditderivaten und zur Kreditrisikobewertung bei Derivaten. Mit neuen und ausführlicheren Informationen zu den Themen Finanztechnik und strukturierte Finanzprodukte. "Financial Derivatives" - Ein unverzichtbarer Ratgeber für alle Finanzexperten im Bereich Risikomanagement.

Derivative Products and Pricing
Derivative Products and Pricing

Author: Satyajit Das

Publisher: John Wiley & Sons

Published: 2005-10-06

Total Pages: 873

ISBN-13: 0470821647

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Derivative Products & Pricing consists of 4 Parts divided into 16 chapters covering the role and function of derivatives, basic derivative instruments (exchange traded products (futures and options on future contracts) and over-the-counter products (forwards, options and swaps)), the pricing and valuation of derivatives instruments, derivative trading and portfolio management.

Hedging Derivatives
Hedging Derivatives

Author: Thorsten Rheinlander

Publisher: World Scientific

Published: 2011

Total Pages: 244

ISBN-13: 981433880X

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Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropriate hedging techniques depends on both the type of derivative and assumptions placed on the underlying stochastic process. This volume provides a systematic treatment of hedging in incomplete markets. Mean-variance hedging under the risk-neutral measure is applied in the framework of exponential L(r)vy processes and for derivatives written on defaultable assets. It is discussed how to complete markets based upon stochastic volatility models via trading in both stocks and vanilla options. Exponential utility indifference pricing is explored via a duality with entropy minimization. Backward stochastic differential equations offer an alternative approach and are moreover applied to study markets with trading constraints including basis risk. A range of optimal martingale measures are discussed including the entropy, Esscher and minimal martingale measures. Quasi-symmetry properties of stochastic processes are deployed in the semi-static hedging of barrier options. This book is directed towards both graduate students and researchers in mathematical finance, and will also provide an orientation to applied mathematicians, financial economists and practitioners wishing to explore recent progress in this field."

Trading and Pricing Financial Derivatives
Trading and Pricing Financial Derivatives

Author: Patrick Boyle

Publisher: Walter de Gruyter GmbH & Co KG

Published: 2018-12-17

Total Pages: 298

ISBN-13: 1547401214

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Trading and Pricing Financial Derivatives is an introduction to the world of futures, options, and swaps. Investors who are interested in deepening their knowledge of derivatives of all kinds will find this book to be an invaluable resource. The book is also useful in a very applied course on derivative trading. The authors delve into the history of options pricing; simple strategies of options trading; binomial tree valuation; Black-Scholes option valuation; option sensitivities; risk management and interest rate swaps in this immensely informative yet easy to comprehend work. Using their vast working experience in the financial markets at international investment banks and hedge funds since the late 1990s and teaching derivatives and investment courses at the Master's level, Patrick Boyle and Jesse McDougall put forth their knowledge and expertise in clearly explained concepts. This book does not presuppose advanced mathematical knowledge, though it is presented for completeness for those that may benefit from it, and is designed for a general audience, suitable for beginners through to those with intermediate knowledge of the subject.

Financial Derivatives Pricing: Selected Works Of Robert Jarrow
Financial Derivatives Pricing: Selected Works Of Robert Jarrow

Author: Robert A Jarrow

Publisher: World Scientific

Published: 2008-10-08

Total Pages: 609

ISBN-13: 9814470635

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This book is a collection of original papers by Robert Jarrow that contributed to significant advances in financial economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage pricing theory to market manipulation and liquidity risk.Part II relates to pricing derivatives under stochastic interest rates. Included is the paper introducing the famous Heath-Jarrow-Morton (HJM) model, together with papers on topics like the characterization of the difference between forward and futures prices, the forward price martingale measure, and applications of the HJM model to foreign currencies and commodities.Part III deals with the pricing of financial derivatives considering both stochastic interest rates and the likelihood of default. Papers cover the reduced form credit risk model, in particular the original Jarrow and Turnbull model, the Markov model for credit rating transitions, counterparty risk, and diversifiable default risk.

Pricing and Hedging of Derivative Securities
Pricing and Hedging of Derivative Securities

Author: Lars Tyge Nielsen

Publisher: Oxford University Press, USA

Published: 1999

Total Pages: 444

ISBN-13: 9780198776192

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The theory of pricing and hedging of derivative securities is mathematically sophisticated. This book is an introduction to the use of advanced probability theory in financial economics, presenting the necessary mathematics in a precise and rigorous manner. Professor Nielsen concentrates onthree main areas: the theory of continuous-time stochastic processes, a notorious barrier to the understanding of probability theory in finance; the general theory of trading, pricing, and hedging in continuous time, using the martingale approach; and a detailed look at the BlackScholes and theGaussian one-factor models of the term structure of interest rates. His book enables the reader to read the journal literature with confidence, apply the methods to new problems, or to do original research in the field.