Global Derivatives: Products, Theory and PracticesWorld Scientific, 2007 - 384 pages This book provides a broad description of the financial derivatives business from a practitioner's point of view, with a particular emphasis on fixed income derivatives, a specific development on fixed income derivatives and a practical approach to the field. With particular emphasis on the concrete usage of mathematical models, numerical methods and the pricing methodology, this book is an essential reading for anyone considering a career in derivatives either as a trader, a quant or a structurer. |
Table des matières
1 STANDARD PRODUCTS AND MARKETS | 1 |
2 THE VANILLA PRODUCTS | 21 |
3 INTRODUCTION TO FINANCIAL MODELING | 43 |
4 THE BLACKSCHOLES MODEL | 79 |
5 FIXED INCOME BASIS | 99 |
6 SMILE MODELING | 125 |
7 YIELD CURVE MODELING | 159 |
8 INFLATION | 187 |
9 HYBRID MODELS | 221 |
10 PRODUCT CATALOG AND USAGE | 243 |
11 THIRD GENERATION TRADING SYSTEM AND ITS UNDERMINING COPERNICAN REVOLUTION | 279 |
A TECHNICAL TOOLBOX | 303 |
B MONTE CARLO | 337 |
C TREE AND PDE METHODS | 359 |
INDEX | 378 |
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Expressions et termes fréquents
9in x 6in algorithm approximation arbitrage asset barrier option Brownian motion calculate calibration call option callable caplets cash flows Chapter compute convexity adjustment correlation CPI(t currency defined deterministic diffusion dividend drift equation equity European example exchange exercise finite formula forward contract forward CPI forward FX forward rate function futures contract Gaussian given hedging hybrid implied volatility interest rate investor Itô Itô formula LIBOR local volatility lognormal Malliavin Malliavin calculus margin market model martingale mathematical maturity Monte Carlo numeraire numerical method option price parameters payoff pays portfolio Practice Trim put option replication reverse floater risk neutral risk neutral probability SABR model seasonality sell short rate smile SPI-B444 Global Derivatives standard stochastic volatility strategy strike structure swap rate swaptions TARN trading underlying vanilla vector volatility models yield curve zero-coupon bond