Derivatives Models on Models, w. CD-ROM
(Sprache: Englisch)
A high level, theoretical and practical look at the latest and most important derivatives pricing models which will include illustrative comic strips and interviews with top traders. Haug aims to bring (an often dry) subject to life through entertaining cartoons and interviews with practitioners.
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A high level, theoretical and practical look at the latest and most important derivatives pricing models which will include illustrative comic strips and interviews with top traders. Haug aims to bring (an often dry) subject to life through entertaining cartoons and interviews with practitioners.
Klappentext zu „Derivatives Models on Models, w. CD-ROM “
This book 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 is 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 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:
Nassim Taleb on Black Swans
Edward Thorp on Gambling and Trading
Alan Lewis on Stochastic Volatility and Jumps
Emanuel Derman, the Wall Street Quant
Peter Carr, the Wall Street Wizard of Option Symmetry and Volatility
Clive Granger, Nobel Prize winner in Economics 2003, on Cointegration
Stephen Ross on Arbitrage Pricing Theory
Bruno Dupire on Local and Stochastic Volatility Models
Eduardo Schwartz the Yoga Master of Quantitative Finance
Aaron Brown on Gambling, Poker and Trading
Knut Aase on Catastrophes and Financial Economics
Elie Ayache on Modeling
Paul Wilmott on Paul Wilmott
Andrei Khrennikov on Negative Probabilities
David Bates on Crash and Jumps
Peter Jäckel on Monte Carlo Simulation
Inhaltsverzeichnis zu „Derivatives Models on Models, w. CD-ROM “
Author's "Disclaimer".Introduction.
Derivatives Models on Models.
Nassim Taleb on Black Swans.
Chapter 1 The Discovery of Fat-Tails in Price Data.
Edward Thorp on Gambling and Trading.
Chapter 2 Option Pricing and Hedging from Theory to Practice: Know Your Weapon III.
1 The Partly Ignored and Forgotten History.
2 Discrete Dynamic Delta Hedging under Geometric Brownian Motion.
3 Dynamic Delta Hedging Under Jump-Diffusion.
4 Equilibrium Models.
5 Portfolio Construction and Options Against Options.
6 Conclusions.
Alan Lewis on Stochastic Volatility and Jumps.
Chapter 3 Back to Basics: A New Approach to the Discrete Dividend Problem Together with Jørgen Haug and Alan Lewis.
1 Introduction.
2 General Solution.
3 Dividend Models.
4 Applications.
Emanuel Derman the Wall Street Quant.
Chapter 4 Closed Form Valuation of American Barrier Options.
1 Analytical Valuation of American Barrier Options.
2 Numerical Comparison.
3 Conclusion.
Peter Carr, The Wall Street Wizard of Option Symmetry and Volatility.
Chapter 5 Valuation of Complex Barrier Options Using Barrier Symmetry.
1 Plain Vanilla Put-Call Symmetry.
2 Barrier Put-Call Symmetry.
3 Simple, Intuitive and Accurate Valuation of Double Barrier Options.
4 Static Hedging in the Real World.
5 Conclusion.
Granger on Cointegration.
Chapter 6 Knock-in/out Margrabe with Jørgen Haug.
1 Margrabe Options.
2 Knock-in/out Margrabe Options.
3 Applications.
Stephen Ross on APT.
Chapter 7 Resetting Strikes, Barriers and Time with Jørgen Haug.
1 Introduction.
2 Reset Strike Barrier Options.
3 Reset Barrier Options.
4 Resetting Time.
5 Conclusion.
Bruno Dupire
... mehr
the Stochastic Wall Street Quant.
Chapter 8 Asian Pyramid Power with Jørgen Haug and William Margrabe.
1 Celia in Derivativesland.
2 Calibrating to the Term Structure of Volatility.
3 From Geometric to Arithmetic.
4 The Dollars.
Eduardo Schwartz: the Yoga Master of Mathematical Finance.
Chapter 9 Practical Valuation of Power Derivatives.
1 Introduction.
2 Energy Swaps/Forwards.
3 Power Options.
4 Still, What About Fat-Tails?
Aaron Brown on Gambling, Poker and Trading.
Chapter 10 A Look in the Antimatter Mirror.
1 Garbage in, Garbage Out?
2 Conclusion.
Knut Aase on Catastrophes and Financial Economics.
Chapter 11 Negative Volatility and the Survival of the Western Financial Markets Knut K. Aase.
1 Introduction.
2 Negative Volatility - A Direct Approach.
3 The Value of a European Call Option for any Value - Positive or Negative - of the Volatility.
4 Negative Volatility - The Haug interpretation.
5 Chaotic Behavior from Deterministic Dynamics.
6 Conclusions.
Elie Ayache on Option Trading and Modeling.
Chapter 12 Frozen Time Arbitrage.
1 Time Measure Arbitrage.
2 Time Travel Arbitrage.
3 Conclusion.
Haug on Wilmott and Wilmott on Wilmott.
Chapter 13 Space-time Finance The Relativity Theory's Implications for Mathematical Finance.
1 Introduction.
2 Time dilation.
3 Advanced stage of Space-time Finance.
4 Space-time Uncertainty.
5 Is High Speed Velocity P
Chapter 8 Asian Pyramid Power with Jørgen Haug and William Margrabe.
1 Celia in Derivativesland.
2 Calibrating to the Term Structure of Volatility.
3 From Geometric to Arithmetic.
4 The Dollars.
Eduardo Schwartz: the Yoga Master of Mathematical Finance.
Chapter 9 Practical Valuation of Power Derivatives.
1 Introduction.
2 Energy Swaps/Forwards.
3 Power Options.
4 Still, What About Fat-Tails?
Aaron Brown on Gambling, Poker and Trading.
Chapter 10 A Look in the Antimatter Mirror.
1 Garbage in, Garbage Out?
2 Conclusion.
Knut Aase on Catastrophes and Financial Economics.
Chapter 11 Negative Volatility and the Survival of the Western Financial Markets Knut K. Aase.
1 Introduction.
2 Negative Volatility - A Direct Approach.
3 The Value of a European Call Option for any Value - Positive or Negative - of the Volatility.
4 Negative Volatility - The Haug interpretation.
5 Chaotic Behavior from Deterministic Dynamics.
6 Conclusions.
Elie Ayache on Option Trading and Modeling.
Chapter 12 Frozen Time Arbitrage.
1 Time Measure Arbitrage.
2 Time Travel Arbitrage.
3 Conclusion.
Haug on Wilmott and Wilmott on Wilmott.
Chapter 13 Space-time Finance The Relativity Theory's Implications for Mathematical Finance.
1 Introduction.
2 Time dilation.
3 Advanced stage of Space-time Finance.
4 Space-time Uncertainty.
5 Is High Speed Velocity P
... weniger
Autoren-Porträt von Espen Gaarder Haug, J. P. Morgan, Uwe Wystup
Dr Espen Gaarder Haug has more than 15 years of experience in 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
- Autoren: Espen Gaarder Haug , J. P. Morgan , Uwe Wystup
- 2006, 1. Auflage, 224 Seiten, Maße: 19,3 x 25,1 cm, Gebunden, Englisch
- Verlag: Wiley & Sons
- ISBN-10: 0470013222
- ISBN-13: 9780470013229
Sprache:
Englisch
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