Derivatives / Wiley Finance Series (PDF)
Models on Models
(Sprache: Englisch)
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...
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...
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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
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
Autoren-Porträt von Espen Gaarder Haug
Dr Espen Gaarder Haug has more than 15 years of experiencein Derivatives research and trading, and has worked for more than
20 years as a trader. Until recently he worked as a proprietary
trader in J.P. Morgan New York, and as a derivatives trader for two
multi-billion dollar hedge funds; Amaranth Investor and Paloma
Partners, located in Greenwich Connecticut. Before that he worked
for Tempus Financial Engineering, Chase Manhattan Bank (now J.P.
Morgan Chase) and Den Norske Bank.
He is the author of The Complete Guide of Option Pricing
Formulas, which has become a reference manual among Wall Street
professionals. He has a PhD from the Norwegian University of
Science and Technology where he specialized in Option Valuation and
Trading and has published extensively in practitioner and academic
journals. He is currently considering setting up his own investment
company - possibly the first Anti-Hedge fund!
Bibliographische Angaben
- Autor: Espen Gaarder Haug
- 2008, 1. Auflage, 384 Seiten, Englisch
- Verlag: John Wiley & Sons
- ISBN-10: 0470065478
- ISBN-13: 9780470065471
- Erscheinungsdatum: 02.08.2008
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- Größe: 3.39 MB
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Sprache:
Englisch
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