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Theory Of Financial Risk And Derivative Pricing
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Book Synopsis Theory of Financial Risk and Derivative Pricing by : Jean-Philippe Bouchaud
Download or read book Theory of Financial Risk and Derivative Pricing written by Jean-Philippe Bouchaud and published by Cambridge University Press. This book was released on 2003-12-11 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.
Book Synopsis Theory of Financial Risk and Derivative Pricing by : Jean-Philippe Bouchaud
Download or read book Theory of Financial Risk and Derivative Pricing written by Jean-Philippe Bouchaud and published by Cambridge University Press. This book was released on 2003-12-11 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.
Book Synopsis Financial Calculus by : Martin Baxter
Download or read book Financial Calculus written by Martin Baxter and published by Cambridge University Press. This book was released on 1996-09-19 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: A rigorous introduction to the mathematics of pricing, construction and hedging of derivative securities.
Book Synopsis Advanced Derivatives Pricing and Risk Management by : Claudio Albanese
Download or read book Advanced Derivatives Pricing and Risk Management written by Claudio Albanese and published by Academic Press. This book was released on 2006 with total page 436 pages. Available in PDF, EPUB and Kindle. Book excerpt: Book and CDROM include the important topics and cutting-edge research in financial derivatives and risk management.
Book Synopsis Risk Management and Financial Derivatives by : Satyajit Das
Download or read book Risk Management and Financial Derivatives written by Satyajit Das and published by McGraw-Hill Companies. This book was released on 1998 with total page 888 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Risk Management and Financial Derivatives: A Guide to the Mathematics meets the demand for a simple, nontechnical explanation of the methodology of risk management and financial derivatives." "Risk Management and Financial Derivatives provides clear, concise explanations of the mathematics behind today's complex financial risk management topics. An ideal introduction for those new to the subject, it will also serve as an indispensable reference for those already experienced in the field."--BOOK JACKET.Title Summary field provided by Blackwell North America, Inc. All Rights Reserved
Book Synopsis Theory of Financial Risks by : Jean-Philippe Bouchaud
Download or read book Theory of Financial Risks written by Jean-Philippe Bouchaud and published by . This book was released on 2000 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This book summarizes recent theoretical developments inspired by statistical physics in the description of the potential moves in financial markets, and its application to derivative pricing and risk control. The possibility of accessing and processing huge quantities of data on financial markets opens the path to new methodologies where systematic comparison between theories and real data not only becomes possible, but mandatory. This book takes a physicist's point of view of financial risk by comparing theory with experiment. Starting with important results in probability theory the authors discuss the statistical analysis of real data, the empirical determination of statistical laws, the definition of risk, the theory of optimal portfolio and the problem of derivatives (forward contracts, options). This book will be of interest to physicists interested in finance, quantitative analysts in financial institutions, risk managers and graduate students in mathematical finance."--Publisher's description.
Book Synopsis Risk-Neutral Valuation by : Nicholas H. Bingham
Download or read book Risk-Neutral Valuation written by Nicholas H. Bingham and published by Springer Science & Business Media. This book was released on 2013-06-29 with total page 447 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition - completely up to date with new exercises - provides a comprehensive and self-contained treatment of the probabilistic theory behind the risk-neutral valuation principle and its application to the pricing and hedging of financial derivatives. On the probabilistic side, both discrete- and continuous-time stochastic processes are treated, with special emphasis on martingale theory, stochastic integration and change-of-measure techniques. Based on firm probabilistic foundations, general properties of discrete- and continuous-time financial market models are discussed.
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.
Download or read book Financial Derivatives Pricing written by and published by . This book was released on with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Derivatives in Theory and Practice by : Philip Hunt
Download or read book Financial Derivatives in Theory and Practice written by Philip Hunt and published by John Wiley and Sons. This book was released on 2004-07-02 with total page 476 pages. Available in PDF, EPUB and Kindle. Book excerpt: The term Financial Derivative is a very broad term which has come to mean any financial transaction whose value depends on the underlying value of the asset concerned. Sophisticated statistical modelling of derivatives enables practitioners in the banking industry to reduce financial risk and ultimately increase profits made from these transactions. The book originally published in March 2000 to widespread acclaim. This revised edition has been updated with minor corrections and new references, and now includes a chapter of exercises and solutions, enabling use as a course text. Comprehensive introduction to the theory and practice of financial derivatives. Discusses and elaborates on the theory of interest rate derivatives, an area of increasing interest. Divided into two self-contained parts ? the first concentrating on the theory of stochastic calculus, and the second describes in detail the pricing of a number of different derivatives in practice. Written by well respected academics with experience in the banking industry. A valuable text for practitioners in research departments of all banking and finance sectors. Academic researchers and graduate students working in mathematical finance.
Book Synopsis Financial Derivatives and the Globalization of Risk by : Edward LiPuma
Download or read book Financial Derivatives and the Globalization of Risk written by Edward LiPuma and published by Duke University Press. This book was released on 2004-09-08 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: The market for financial derivatives is far and away the largest and most powerful market in the world, and it is growing exponentially. In 1970 the yearly valuation of financial derivatives was only a few million dollars. By 1980 the sum had swollen to nearly one hundred million dollars. By 1990 it had climbed to almost one hundred billion dollars, and in 2000 it approached one hundred trillion. Created and sustained by a small number of European and American banks, corporations, and hedge funds, the derivatives market has an enormous impact on the economies of nations—particularly poorer nations—because it controls the price of money. Derivatives bought and sold by means of computer keystrokes in London and New York affect the price of food, clothing, and housing in Johannesburg, Kuala Lumpur, and Buenos Aires. Arguing that social theorists concerned with globalization must familiarize themselves with the mechanisms of a world economy based on the rapid circulation of capital, Edward LiPuma and Benjamin Lee offer a concise introduction to financial derivatives. LiPuma and Lee explain how derivatives are essentially wagers—often on the fluctuations of national currencies—based on models that aggregate and price risk. They describe how these financial instruments are changing the face of capitalism, undermining the power of nations and perpetrating a new and less visible form of domination on postcolonial societies. As they ask: How does one know about, let alone demonstrate against, an unlisted, virtual, offshore corporation that operates in an unregulated electronic space using a secret proprietary trading strategy to buy and sell arcane financial instruments? LiPuma and Lee provide a necessary look at the obscure but consequential role of financial derivatives in the global economy.
Download or read book Derivative Pricing written by Ambrose Lo and published by CRC Press. This book was released on 2018-07-04 with total page 432 pages. Available in PDF, EPUB and Kindle. Book excerpt: The proliferation of financial derivatives over the past decades, options in particular, has underscored the increasing importance of derivative pricing literacy among students, researchers, and practitioners. Derivative Pricing: A Problem-Based Primer demystifies the essential derivative pricing theory by adopting a mathematically rigorous yet widely accessible pedagogical approach that will appeal to a wide variety of audience. Abandoning the traditional "black-box" approach or theorists’ "pedantic" approach, this textbook provides readers with a solid understanding of the fundamental mechanism of derivative pricing methodologies and their underlying theory through a diversity of illustrative examples. The abundance of exercises and problems makes the book well-suited as a text for advanced undergraduates, beginning graduates as well as a reference for professionals and researchers who need a thorough understanding of not only "how," but also "why" derivative pricing works. It is especially ideal for students who need to prepare for the derivatives portion of the Society of Actuaries Investment and Financial Markets Exam. Features Lucid explanations of the theory and assumptions behind various derivative pricing models. Emphasis on intuitions, mnemonics as well as common fallacies. Interspersed with illustrative examples and end-of-chapter problems that aid a deep understanding of concepts in derivative pricing. Mathematical derivations, while not eschewed, are made maximally accessible. A solutions manual is available for qualified instructors. The Author Ambrose Lo is currently Assistant Professor of Actuarial Science at the Department of Statistics and Actuarial Science at the University of Iowa. He received his Ph.D. in Actuarial Science from the University of Hong Kong in 2014, with dependence structures, risk measures, and optimal reinsurance being his research interests. He is a Fellow of the Society of Actuaries (FSA) and a Chartered Enterprise Risk Analyst (CERA). His research papers have been published in top-tier actuarial journals, such as ASTIN Bulletin: The Journal of the International Actuarial Association, Insurance: Mathematics and Economics, and Scandinavian Actuarial Journal.
Book Synopsis Derivative Pricing in Discrete Time by : Nigel J. Cutland
Download or read book Derivative Pricing in Discrete Time written by Nigel J. Cutland and published by Springer Science & Business Media. This book was released on 2012-09-13 with total page 325 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an introduction to the mathematical modelling of real world financial markets and the rational pricing of derivatives, which is part of the theory that not only underpins modern financial practice but is a thriving area of mathematical research. The central theme is the question of how to find a fair price for a derivative; defined to be a price at which it is not possible for any trader to make a risk free profit by trading in the derivative. To keep the mathematics as simple as possible, while explaining the basic principles, only discrete time models with a finite number of possible future scenarios are considered. The theory examines the simplest possible financial model having only one time step, where many of the fundamental ideas occur, and are easily understood. Proceeding slowly, the theory progresses to more realistic models with several stocks and multiple time steps, and includes a comprehensive treatment of incomplete models. The emphasis throughout is on clarity combined with full rigour. The later chapters deal with more advanced topics, including how the discrete time theory is related to the famous continuous time Black-Scholes theory, and a uniquely thorough treatment of American options. The book assumes no prior knowledge of financial markets, and the mathematical prerequisites are limited to elementary linear algebra and probability. This makes it accessible to undergraduates in mathematics as well as students of other disciplines with a mathematical component. It includes numerous worked examples and exercises, making it suitable for self-study.
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.
Book Synopsis Derivative Markets by : Peter Ritchken
Download or read book Derivative Markets written by Peter Ritchken and published by Addison-Wesley Educational Publishers. This book was released on 1996 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This text explains how to manage portfolios using options in financial markets. Covering all products traded in the derivative markets (options, futures, futures on options), the text shows how to use contracts as risk-transferring devices and how to value options in financial markets. Int eresting applications include how to value treasury and corporate bonds, convertibles, warrants and operating leases. Ritchken also acknowledges the need to ease readers into the mathematical expressions through more practical inclinations in the business world and also from the students perspective. The author uses a consistent five-step method of introducing new concepts. Much like a geometry textbook, this book builds upon properties, followed by proofs of the property, sometimes with possible trading strategies, tabular or graphical exhibits and applied examples. This accessible presentation provides students with practical examples, presents the underlying corporate institution and overviews derivatives engineering processes. Coverage of the various pricing relationship is backed by arbitrage proofs where needed and all the models are carefully derived, and easy to follow.
Book Synopsis Pricing and Hedging Financial Derivatives by : Leonardo Marroni
Download or read book Pricing and Hedging Financial Derivatives written by Leonardo Marroni and published by John Wiley & Sons. This book was released on 2014-06-19 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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
Book Synopsis Modern Derivatives Pricing and Credit Exposure Analysis by : Roland Lichters
Download or read book Modern Derivatives Pricing and Credit Exposure Analysis written by Roland Lichters and published by Springer. This book was released on 2015-11-15 with total page 573 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive guide for modern derivatives pricing and credit analysis. Written to provide sound theoretical detail but practical implication, it provides readers with everything they need to know to price modern financial derivatives and analyze the credit exposure of a financial instrument in today's markets.
