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On The Information Content Of Index Derivatives
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Book Synopsis An Introduction to the Mathematics of Financial Derivatives by : Salih N. Neftci
Download or read book An Introduction to the Mathematics of Financial Derivatives written by Salih N. Neftci and published by Academic Press. This book was released on 2000-05-19 with total page 550 pages. Available in PDF, EPUB and Kindle. Book excerpt: A step-by-step explanation of the mathematical models used to price derivatives. For this second edition, Salih Neftci has expanded one chapter, added six new ones, and inserted chapter-concluding exercises. He does not assume that the reader has a thorough mathematical background. His explanations of financial calculus seek to be simple and perceptive.
Book Synopsis Derivatives and Hedge Funds by : Stephen Satchell
Download or read book Derivatives and Hedge Funds written by Stephen Satchell and published by Springer. This book was released on 2016-05-18 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the last 20 years hedge funds and derivatives have fluctuated in reputational terms; they have been blamed for the global financial crisis and been praised for the provision of liquidity in troubled times. Both topics are rather under-researched due to a combination of data and secrecy issues. This book is a collection of papers celebrating 20 years of the Journal of Derivatives and Hedge Funds (JDHF). The 18 papers included in this volume represent a small sample of influential papers included during the life of the Journal, representing industry-orientated research in these areas. With a Preface from co-editor of the journal Stephen Satchell, the first part of the collection focuses on hedge funds and the second on markets, prices and products.
Book Synopsis Stock Index Futures by : Charles M.S. Sutcliffe
Download or read book Stock Index Futures written by Charles M.S. Sutcliffe and published by Routledge. This book was released on 2018-01-18 with total page 844 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global value of trading in index futures is about $20 trillion per year and rising and for many countries the value traded is similar to that traded on their stock markets. This book describes how index futures markets work and clearly summarises the substantial body of international empirical evidence relating to these markets. Using the concepts and tools of finance, the book also provides a comprehensive description of the economic forces that underlie trading in index futures. Stock Index Futures 3/e contains many teaching and learning aids including numerous examples, a glossary, essay questions, comprehensive references, and a detailed subject index. Written primarily for advanced undergraduate and postgraduate students, this text will also be useful to researchers and market participants who want to gain a better understanding of these markets.
Book Synopsis S&P 500 Cash Stock Price Volatilities by : Lawrence Harris
Download or read book S&P 500 Cash Stock Price Volatilities written by Lawrence Harris and published by . This book was released on 1989 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Derivatives Sourcebook by : Terence Lim
Download or read book The Derivatives Sourcebook written by Terence Lim and published by Now Publishers Inc. This book was released on 2006 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Derivatives Sourcebook is a citation study and classification system that organizes the many strands of the derivatives literature and assigns each citation to a category. Over 1800 research articles are collected and organized into a simple web-based searchable database. We have also included the 1997 Nobel lectures of Robert Merton and Myron Scholes as a backdrop to this literature.
Book Synopsis Derivatives Analytics with Python by : Yves Hilpisch
Download or read book Derivatives Analytics with Python written by Yves Hilpisch and published by John Wiley & Sons. This book was released on 2015-08-03 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Derivatives written by Keith Cuthbertson and published by John Wiley & Sons. This book was released on 2019-12-16 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt: Three experts provide an authoritative guide to the theory and practice of derivatives Derivatives: Theory and Practice and its companion website explore the practical uses of derivatives and offer a guide to the key results on pricing, hedging and speculation using derivative securities. The book links the theoretical and practical aspects of derivatives in one volume whilst keeping mathematics and statistics to a minimum. Throughout the book, the authors put the focus on explanations and applications. Designed as an engaging resource, the book contains commentaries that make serious points in a lighthearted manner. The authors examine the real world of derivatives finance and include discussions on a wide range of topics such as the use of derivatives by hedge funds and the application of strip and stack hedges by corporates, while providing an analysis of how risky the stock market can be for long-term investors, and more. To enhance learning, each chapter contains learning objectives, worked examples, details of relevant finance blogs technical appendices and exercises.
Book Synopsis Trading and Pricing Financial Derivatives by : Patrick Boyle
Download or read book Trading and Pricing Financial Derivatives written by Patrick Boyle and published by Walter de Gruyter GmbH & Co KG. This book was released on 2018-12-17 with total page 273 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Stock Index Futures & Options by : Susan Abbott Gidel
Download or read book Stock Index Futures & Options written by Susan Abbott Gidel and published by Wiley. This book was released on 1999-11-02 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Stock Index Futures & Options "Everything you wanted to know about global stock indexes in one place." -Tom Basso CEO, Trendstat Capital Management "With twenty years of professional experience behind her, Susan Abbott Gidel is the perfect person to present this intricate overview of today's futures and options markets. Included is everything a beginner needs to know to understand the world of derivatives." -Robert R. Prechter Jr. President, Elliott Wave International
Book Synopsis Understanding Credit Derivatives and Related Instruments by : Antulio N. Bomfim
Download or read book Understanding Credit Derivatives and Related Instruments written by Antulio N. Bomfim and published by Academic Press. This book was released on 2015-11-23 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding Credit Derivatives and Related Instruments, Second Edition is an intuitive, rigorous overview that links the practices of valuing and trading credit derivatives with academic theory. Rather than presenting highly technical explorations, the book offers summaries of major subjects and the principal perspectives associated with them. The book's centerpiece is pricing and valuation issues, especially valuation tools and their uses in credit models. Five new chapters cover practices that have become commonplace as a result of the 2008 financial crisis, including standardized premiums and upfront payments. Analyses of regulatory responses to the crisis for the credit derivatives market (Basel III, Dodd-Frank, etc.) include all the necessary statistical and mathematical background for readers to easily follow the pricing topics. Every reader familiar with mid-level mathematics who wants to understand the functioning of the derivatives markets (in both practical and academic contexts) can fully satisfy his or her interests with the comprehensive assessments in this book. - Explores the role that credit derivatives played during the economic crisis, both as hedging instruments and as vehicles that potentially magnified losses for some investors - Comprehensive overview of single-name and multi-name credit derivatives in terms of market specifications, pricing techniques, and regulatory treatment - Updated edition uses current market statistics (market size, market participants, and uses of credit derivatives), covers the application of CDS technology to other asset classes (CMBX, ABX, etc.), and expands the treatment of individual instruments to cover index products, and more
Book Synopsis Following the Money by : National Research Council
Download or read book Following the Money written by National Research Council and published by National Academies Press. This book was released on 1995-11-12 with total page 225 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many questions have been raised about America's status in the increasingly interconnected global economy. Yet key factsâ€"such as the amount of foreign assets abroad owned by U.S. citizensâ€"are not known. The crucial data needed to assess the U.S. position are unavailable. This volume explores significant shortcomings in U.S. data on international capital transactions and their implications for policymakers. The volume offers clearcut recommendations for U.S. agencies to bring data collection and analyses of the global economy into the twenty-first century. The volume explores: How factors emerging since the early 1980s have shaped world financial markets and revealed shortcomings in data collection and analysis. How the existing U.S. data system works and where it fails how measurements of international financial transactions are recorded; and how swaps, options, and futures present special reporting problems. How alternative methods, such as collecting data, from sources such as global custodians and international clearinghouses, might improve coverage and accuracy.
Book Synopsis Derivatives Markets and Analysis by : R. Stafford Johnson
Download or read book Derivatives Markets and Analysis written by R. Stafford Johnson and published by John Wiley & Sons. This book was released on 2017-08-21 with total page 1001 pages. Available in PDF, EPUB and Kindle. Book excerpt: A practical, informative guide to derivatives in the real world Derivatives is an exposition on investments, guiding you from the basic concepts, strategies, and fundamentals to a more detailed understanding of the advanced strategies and models. As part of Bloomberg Financial's three part series on securities, Derivatives focuses on derivative securities and the functionality of the Bloomberg system with regards to derivatives. You'll develop a tighter grasp of the more subtle complexities involved in the evaluation, selection, and management of derivatives, and gain the practical skillset necessary to apply your knowledge to real-world investment situations using the tools and techniques that dominate the industry. Instructions for using the widespread Bloomberg system are interwoven throughout, allowing you to directly apply the techniques and processes discussed using your own data. You'll learn the many analytical functions used to evaluate derivatives, and how these functions are applied within the context of each investment topic covered. All Bloomberg information appears in specified boxes embedded throughout the text, making it easy for you to find it quickly when you need or, or easily skip it in favor of the theory-based text. Managing securities in today's dynamic and innovative investment environment requires a strong understanding of how the increasing variety of securities, markets, strategies, and methodologies are used. This book gives you a more thorough understanding, and a practical skillset that investment managers need. Understand derivatives strategies and models from basic to advanced Apply Bloomberg information and analytical functions Learn how investment decisions are made in the real world Grasp the complexities of securities evaluation, selection, and management The financial and academic developments of the past twenty years have highlighted the challenge in acquiring a comprehensive understanding of investments and financial markets. Derivatives provides the detailed explanations you've been seeking, and the hands-on training the real world demands.
Book Synopsis The Mathematics of Financial Derivatives by : Paul Wilmott
Download or read book The Mathematics of Financial Derivatives written by Paul Wilmott and published by Cambridge University Press. This book was released on 1995-09-29 with total page 338 pages. Available in PDF, EPUB and Kindle. Book excerpt: Basic option theory - Numerical methods - Further option theory - Interest rate derivative products.
Book Synopsis Financial Derivatives by : Simon Grima
Download or read book Financial Derivatives written by Simon Grima and published by Emerald Group Publishing. This book was released on 2020-02-17 with total page 249 pages. Available in PDF, EPUB and Kindle. Book excerpt: Should we fear financial derivatives, or embrace them? Finance experts Simon Grima and Eleftherios I. Thalassinos explore what financial derivatives are, and whether the investment world should consider them useful tools, or a complete waste of time and money.
Book Synopsis The Social Life of Financial Derivatives by : Edward LiPuma
Download or read book The Social Life of Financial Derivatives written by Edward LiPuma and published by Duke University Press. This book was released on 2017-10-19 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt: In The Social Life of Financial Derivatives Edward LiPuma theorizes the profound social dimensions of derivatives markets and the processes, rituals, and belief systems that drive them. In response to the 2008 financial crisis and drawing on his experience trading derivatives, LiPuma outlines how they function as complex devices that organize speculative capital as well as the ways derivative-driven capitalism not only produces the conditions for its own existence, but also penetrates the fabric of everyday life. Framing finance as a form of social life and highlighting the intrinsically social character of financial derivatives, LiPuma deepens our understanding of derivatives so that we may someday use them to serve the public well-being.
Book Synopsis Financial Trading and Investing by : John L. Teall
Download or read book Financial Trading and Investing written by John L. Teall and published by Academic Press. This book was released on 2018-03-21 with total page 523 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Trading and Investing, Second Edition, delivers the most current information on trading and market microstructure for undergraduate and master's students. Without demanding a background in econometrics, it explores alternative markets and highlights recent regulatory developments, implementations, institutions and debates. New explanations of controversial trading tactics (and blunders), such as high-frequency trading, dark liquidity pools, fat fingers, insider trading, and flash orders emphasize links between the history of financial regulation and events in financial markets. New sections on valuation and hedging techniques, particularly with respect to fixed income and derivatives markets, accompany updated regulatory information. In addition, new case studies and additional exercises are included on a website that has been revised, expanded and updated. Combining theory and application, the book provides the only up-to-date, practical beginner's introduction to today's investment tools and markets. - Concentrates on trading, trading institutions, markets and the institutions that facilitate and regulate trading activities - Introduces foundational topics relating to trading and securities markets, including auctions, market microstructure, the roles of information and inventories, behavioral finance, market efficiency, risk, arbitrage, trading technology, trading regulation and ECNs - Covers market and technology advances and innovations, such as execution algo trading, Designated Market Makers (DMMs), Supplemental Liquidity Providers (SLPs), and the Super Display Book system (SDBK)
Download or read book Derivatives written by Robert E. Whaley and published by John Wiley & Sons. This book was released on 2007-02-26 with total page 962 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.
