Dynamic Hedging

Download Dynamic Hedging PDF Online Free

Author :
Publisher : John Wiley & Sons
ISBN 13 : 9780471152804
Total Pages : 536 pages
Book Rating : 4.1/5 (528 download)

DOWNLOAD NOW!


Book Synopsis Dynamic Hedging by : Nassim Nicholas Taleb

Download or read book Dynamic Hedging written by Nassim Nicholas Taleb and published by John Wiley & Sons. This book was released on 1997-01-14 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management. Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.

Robust Static Super-Replication of Barrier Options

Download Robust Static Super-Replication of Barrier Options PDF Online Free

Author :
Publisher : Walter de Gruyter
ISBN 13 : 3110208512
Total Pages : 210 pages
Book Rating : 4.1/5 (12 download)

DOWNLOAD NOW!


Book Synopsis Robust Static Super-Replication of Barrier Options by : Jan H. Maruhn

Download or read book Robust Static Super-Replication of Barrier Options written by Jan H. Maruhn and published by Walter de Gruyter. This book was released on 2009-07-14 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt: Static hedge portfolios for barrier options are very sensitive with respect to changes of the volatility surface. To prevent potentially significant hedging losses this book develops a static super-replication strategy with market-typical robustness against volatility, skew and liquidity risk as well as model errors. Empirical results and various numerical examples confirm that the static superhedge successfully eliminates the risk of a changing volatility surface. Combined with associated sub-replication strategies this leads to robust price bounds for barrier options which are also relevant in the context of dynamic hedging. The mathematical techniques used to prove appropriate existence, duality and convergence results range from financial mathematics, stochastic and semi-infinite optimization, convex analysis and partial differential equations to semidefinite programming.

Quantitative Analysis in Financial Markets

Download Quantitative Analysis in Financial Markets PDF Online Free

Author :
Publisher : World Scientific
ISBN 13 : 9789810246938
Total Pages : 372 pages
Book Rating : 4.2/5 (469 download)

DOWNLOAD NOW!


Book Synopsis Quantitative Analysis in Financial Markets by : Marco Avellaneda

Download or read book Quantitative Analysis in Financial Markets written by Marco Avellaneda and published by World Scientific. This book was released on 1999 with total page 372 pages. Available in PDF, EPUB and Kindle. Book excerpt: Contains lectures presented at the Courant Institute's Mathematical Finance Seminar.

Quantitative Analysis in Financial Markets

Download Quantitative Analysis in Financial Markets PDF Online Free

Author :
Publisher : World Scientific
ISBN 13 : 9789810237899
Total Pages : 390 pages
Book Rating : 4.2/5 (378 download)

DOWNLOAD NOW!


Book Synopsis Quantitative Analysis in Financial Markets by : Marco Avellaneda

Download or read book Quantitative Analysis in Financial Markets written by Marco Avellaneda and published by World Scientific. This book was released on 1999 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains lectures delivered at the Seminar in Mathematical Finance at the Courant Institute, New York University. Subjects covered include: the emerging science of pricing and hedging derivative securities, managing financial risk, and price forecasting using statistics.

Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes)

Download Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) PDF Online Free

Author :
Publisher : World Scientific
ISBN 13 : 9811202400
Total Pages : 5053 pages
Book Rating : 4.8/5 (112 download)

DOWNLOAD NOW!


Book Synopsis Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) by : Cheng Few Lee

Download or read book Handbook Of Financial Econometrics, Mathematics, Statistics, And Machine Learning (In 4 Volumes) written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Advances in Pacific Basin Business, Economics and Finance

Download Advances in Pacific Basin Business, Economics and Finance PDF Online Free

Author :
Publisher : Emerald Group Publishing
ISBN 13 : 1801173125
Total Pages : 240 pages
Book Rating : 4.8/5 (11 download)

DOWNLOAD NOW!


Book Synopsis Advances in Pacific Basin Business, Economics and Finance by : Cheng-Few Lee

Download or read book Advances in Pacific Basin Business, Economics and Finance written by Cheng-Few Lee and published by Emerald Group Publishing. This book was released on 2022-03-15 with total page 240 pages. Available in PDF, EPUB and Kindle. Book excerpt: Advances in Pacific Basin Business, Economics and Finance (APBBEF) is an annual series designed to focus on interdisciplinary research in finance, economics, and management among Pacific Rim countries. All articles published are reviewed and recommended by at least two members of the editorial board.

The Journal of Financial Engineering

Download The Journal of Financial Engineering PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 418 pages
Book Rating : 4.3/5 (91 download)

DOWNLOAD NOW!


Book Synopsis The Journal of Financial Engineering by :

Download or read book The Journal of Financial Engineering written by and published by . This book was released on 1998 with total page 418 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Financial Risk Management

Download Financial Risk Management PDF Online Free

Author :
Publisher : John Wiley & Sons
ISBN 13 : 111817545X
Total Pages : 612 pages
Book Rating : 4.1/5 (181 download)

DOWNLOAD NOW!


Book Synopsis Financial Risk Management by : Steve L. Allen

Download or read book Financial Risk Management written by Steve L. Allen and published by John Wiley & Sons. This book was released on 2012-12-26 with total page 612 pages. Available in PDF, EPUB and Kindle. Book excerpt: A top risk management practitioner addresses the essential aspects of modern financial risk management In the Second Edition of Financial Risk Management + Website, market risk expert Steve Allen offers an insider's view of this discipline and covers the strategies, principles, and measurement techniques necessary to manage and measure financial risk. Fully revised to reflect today's dynamic environment and the lessons to be learned from the 2008 global financial crisis, this reliable resource provides a comprehensive overview of the entire field of risk management. Allen explores real-world issues such as proper mark-to-market valuation of trading positions and determination of needed reserves against valuation uncertainty, the structuring of limits to control risk taking, and a review of mathematical models and how they can contribute to risk control. Along the way, he shares valuable lessons that will help to develop an intuitive feel for market risk measurement and reporting. Presents key insights on how risks can be isolated, quantified, and managed from a top risk management practitioner Offers up-to-date examples of managing market and credit risk Provides an overview and comparison of the various derivative instruments and their use in risk hedging Companion Website contains supplementary materials that allow you to continue to learn in a hands-on fashion long after closing the book Focusing on the management of those risks that can be successfully quantified, the Second Edition of Financial Risk Management + Websiteis the definitive source for managing market and credit risk.

Exotic Derivatives and Risk

Download Exotic Derivatives and Risk PDF Online Free

Author :
Publisher : World Scientific
ISBN 13 : 9812797475
Total Pages : 617 pages
Book Rating : 4.8/5 (127 download)

DOWNLOAD NOW!


Book Synopsis Exotic Derivatives and Risk by : Mondher Bellalah

Download or read book Exotic Derivatives and Risk written by Mondher Bellalah and published by World Scientific. This book was released on 2009 with total page 617 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses in detail the workings of financial markets and over-the-counter (OTC) markets, focusing specifically on standard and complex derivatives. The subjects covered range from the fundamental products in OTC markets, standard and exotic options, the concepts of value at risk, credit derivatives and risk management, to the applications of option pricing theory to real assets.To further elucidate these complex concepts and formulas, this book also explains in each chapter how theory and practice go hand-in-hand. This volume, a culmination of the author's 12 years of professional experience in the field of finance, derivative analysis and risk management, is a valuable guide for postgraduate students, academics and practitioners in the field of finance.

Derivatives

Download Derivatives PDF Online Free

Author :
Publisher : John Wiley & Sons
ISBN 13 : 1118836820
Total Pages : 400 pages
Book Rating : 4.1/5 (188 download)

DOWNLOAD NOW!


Book Synopsis Derivatives by : Espen Gaarder Haug

Download or read book Derivatives written by Espen Gaarder Haug and published by John Wiley & Sons. This book was released on 2013-10-18 with total page 400 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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

FX Options and Structured Products

Download FX Options and Structured Products PDF Online Free

Author :
Publisher : John Wiley & Sons
ISBN 13 : 0470057920
Total Pages : 343 pages
Book Rating : 4.4/5 (7 download)

DOWNLOAD NOW!


Book Synopsis FX Options and Structured Products by : Uwe Wystup

Download or read book FX Options and Structured Products written by Uwe Wystup and published by John Wiley & Sons. This book was released on 2007-01-11 with total page 343 pages. Available in PDF, EPUB and Kindle. Book excerpt: There has been an explosive growth in the number of corporates,investors and financial institutions turning to structured productsto achieve cost savings, risk controls and yield enhancements.However, the exact nature, risks and applications of these productsand solutions can be complex, and problems arise if the fundamentalbuilding blocks and principles are not fully understood. This bookexplains the most popular products and strategies with a focus oneverything beyond vanilla options, dealing with these products in aliterate yet accessible manner, giving practical applications andcase studies. A special emphasis on how the client uses the products, withinterviews and descriptions of real-life deals means that it willbe possible to see how the products are applied in day-to-daysituations – the theory is translated into practice. Note: CD-ROM/DVD and other supplementary materials arenot included as part of eBook file.

Exotic Options: A Guide To Second Generation Options

Download Exotic Options: A Guide To Second Generation Options PDF Online Free

Author :
Publisher : World Scientific
ISBN 13 : 9814549401
Total Pages : 698 pages
Book Rating : 4.8/5 (145 download)

DOWNLOAD NOW!


Book Synopsis Exotic Options: A Guide To Second Generation Options by : Peter Guangping Zhang

Download or read book Exotic Options: A Guide To Second Generation Options written by Peter Guangping Zhang and published by World Scientific. This book was released on 1997-01-03 with total page 698 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides the first systematic classification and treatment to essentially all exotic options currently trading at the Over-the-Counter (OTC) market. It contains exact closed-form pricing formulae and approximated closed-form pricing formulae for all popular exotic options. It includes arguments for and pricing formulae of exotic options with more flexibility than most popular exotic options such as flexible Asian options with flexible weights to various observations in the average, Asian barrier options, correlation digital options, etc. Most of the analyses in this book are within the Black-Scholes environment so that comparisons of each type of exotic options with the Black-Scholes model can be made readily. Emphases have been paid to illustrate the ideas of products clearly and show how to use the pricing expressions conveniently. The book contains many pricing formulae and analyses which do not exist in the literature.The book is suitable for traders, analysts, risk managers, marketers, sales people, professionals in the derivatives industry, and financial professionals in general who have an interest in the concurrent status of the exotic derivatives market. It is also of great interest to professors and graduate students who want to catch up with the ever growing innovation process in the derivatives industry. Scientists, engineers, computer programers, and other professionals may also find the book an efficient way to grasp some financial ideas and connect financial products with mathematical tools.ORThis is the first systematic and extensive book on exotic options. The book covers essentially all popular exotic options currently trading in the Over-the-Counter (OTC) market, from digitals, quantos, spread options, lookback options, Asian options, vanilla barrier options, to various types of exotic barrier options and other options. Each type of exotic options is largely written in a separate chapter, beginnning with the basic concepts of the products and then moving on to how to price them in closed-form solutions. Many pricing formulae and analyses which have not previously appeared in the literature are included and illustrated with detailed examples. It will be of great interest to traders, marketers, analysts, risk managers, professors, graduate students, and anyone who is interested in what is going on in the rapidly changing financial market.

Employee Stock Options: Exercise Timing, Hedging, And Valuation

Download Employee Stock Options: Exercise Timing, Hedging, And Valuation PDF Online Free

Author :
Publisher : World Scientific
ISBN 13 : 9813209658
Total Pages : 228 pages
Book Rating : 4.8/5 (132 download)

DOWNLOAD NOW!


Book Synopsis Employee Stock Options: Exercise Timing, Hedging, And Valuation by : Tim Siu-tang Leung

Download or read book Employee Stock Options: Exercise Timing, Hedging, And Valuation written by Tim Siu-tang Leung and published by World Scientific. This book was released on 2021-07-29 with total page 228 pages. Available in PDF, EPUB and Kindle. Book excerpt: Employee stock options (ESOs) are an integral component of compensation in the US. In fact, almost all S&P 500 companies grant options to their top executives, and the total value accounts for almost half of the total pay for their CEOs. In view of the extensive use and significant cost of ESOs to firms, the Financial Accounting Standards Board (FASB) has mandated expensing ESOs since 2004. This gives rise to the need to create a reasonable valuation method for these options for most firms that grant ESOs to their employees. The valuation of ESOs involves a number of challenging issues, and is thus an important active research area in Accounting, Corporate Finance, and Financial Mathematics.In this exciting book, the author discusses the practical and challenging problems surrounding ESOs from a financial mathematician's perspective. This book provides a systematic overview of the contractual features of ESOs and thoughtful discussions of different valuation approaches, with emphasis on three major aspects: (i) hedging strategies; (ii) exercise timing; and (iii) valuation methodologies. In addition to addressing each of these categories, this book also highlights their connections and combined effects of the cost of ESOs to firms, as well as examines the implications to modeling and valuation approaches. The book features a unique approach that combines stochastic modeling and control techniques with option pricing theory, and provides formulas and numerical schemes for fast implementation and clear illustration.

Alternative Investments And Strategies

Download Alternative Investments And Strategies PDF Online Free

Author :
Publisher : World Scientific
ISBN 13 : 9814467332
Total Pages : 414 pages
Book Rating : 4.8/5 (144 download)

DOWNLOAD NOW!


Book Synopsis Alternative Investments And Strategies by : Rudiger Kiesel

Download or read book Alternative Investments And Strategies written by Rudiger Kiesel and published by World Scientific. This book was released on 2010-06-18 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book combines academic research and practical expertise on alternative assets and trading strategies in a unique way. The asset classes that are discussed include: credit risk, cross-asset derivatives, energy, private equity, freight agreements, alternative real assets (ARA), and socially responsible investments (SRI). The coverage on trading and investment strategies are directed at portfolio insurance, especially constant proportion portfolio insurance (CPPI) and constant proportion debt obligation (CPDO) strategies, robust portfolio optimization, and hedging strategies for exotic options.

Exotic Option Pricing and Advanced Lévy Models

Download Exotic Option Pricing and Advanced Lévy Models PDF Online Free

Author :
Publisher : John Wiley & Sons
ISBN 13 : 0470017201
Total Pages : 344 pages
Book Rating : 4.4/5 (7 download)

DOWNLOAD NOW!


Book Synopsis Exotic Option Pricing and Advanced Lévy Models by : Andreas Kyprianou

Download or read book Exotic Option Pricing and Advanced Lévy Models written by Andreas Kyprianou and published by John Wiley & Sons. This book was released on 2006-06-14 with total page 344 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since around the turn of the millennium there has been a general acceptance that one of the more practical improvements one may make in the light of the shortfalls of the classical Black-Scholes model is to replace the underlying source of randomness, a Brownian motion, by a Lévy process. Working with Lévy processes allows one to capture desirable distributional characteristics in the stock returns. In addition, recent work on Lévy processes has led to the understanding of many probabilistic and analytical properties, which make the processes attractive as mathematical tools. At the same time, exotic derivatives are gaining increasing importance as financial instruments and are traded nowadays in large quantities in OTC markets. The current volume is a compendium of chapters, each of which consists of discursive review and recent research on the topic of exotic option pricing and advanced Lévy markets, written by leading scientists in this field. In recent years, Lévy processes have leapt to the fore as a tractable mechanism for modeling asset returns. Exotic option values are especially sensitive to an accurate portrayal of these dynamics. This comprehensive volume provides a valuable service for financial researchers everywhere by assembling key contributions from the world's leading researchers in the field. Peter Carr, Head of Quantitative Finance, Bloomberg LP. This book provides a front-row seat to the hottest new field in modern finance: options pricing in turbulent markets. The old models have failed, as many a professional investor can sadly attest. So many of the brightest minds in mathematical finance across the globe are now in search of new, more accurate models. Here, in one volume, is a comprehensive selection of this cutting-edge research. Richard L. Hudson, former Managing Editor of The Wall Street Journal Europe, and co-author with Benoit B. Mandelbrot of The (Mis)Behaviour of Markets: A Fractal View of Risk, Ruin and Reward

Valuation, Empirical Analysis, and Optimal Exercise of Open-End Turbo Certificates

Download Valuation, Empirical Analysis, and Optimal Exercise of Open-End Turbo Certificates PDF Online Free

Author :
Publisher : University of Bamberg Press
ISBN 13 : 3863091787
Total Pages : 365 pages
Book Rating : 4.8/5 (63 download)

DOWNLOAD NOW!


Book Synopsis Valuation, Empirical Analysis, and Optimal Exercise of Open-End Turbo Certificates by : Sebastian Paik

Download or read book Valuation, Empirical Analysis, and Optimal Exercise of Open-End Turbo Certificates written by Sebastian Paik and published by University of Bamberg Press. This book was released on 2014 with total page 365 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Risk Minimization Hedging Methods Using Options

Download Risk Minimization Hedging Methods Using Options PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 330 pages
Book Rating : 4.E/5 ( download)

DOWNLOAD NOW!


Book Synopsis Risk Minimization Hedging Methods Using Options by : Katharyn Arabella Boyle

Download or read book Risk Minimization Hedging Methods Using Options written by Katharyn Arabella Boyle and published by . This book was released on 2005 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: