ISBN: 9780470065471
ID: 9780470065471
InhaltsangabeAuthor& #8217 s & #8220 Disclaimer& #8221 .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 J& #248 rgen 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& #8211 Call Symmetry.2 Barrier Put& #8211 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 J& #248 rgen Haug.1 Margrabe Options.2 Knock-in/out Margrabe Options.3 Applications.Stephen Ross on APT.Chapter 7 Resetting Strikes, Barriers and Time with J& #248 rgen Haug.1 Introduction.2 Reset Strike Barrier Options.3 Reset Barrier Options.4 Resetting Time.5 Conclusion.Bruno Dupire the Stochastic Wall Street Quant.Chapter 8 Asian Pyramid Power with J& #248 rgen 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 & #8211 A Direct Approach.3 The Value of a European Call Option for any Value & #8211 Positive or Negative & #8211 of the Volatility.4 Negative Volatility & #8211 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& #8217 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 Possible 6 Black-Scholes in Special Relativity.7 Relativity and Fat-Tailed Distributions.8 General Relativity and Space-time Finance.9 Was Einstein Right 10 Traveling Back in Time Using Wormholes.11 Conclusion.Andrei Khrennikov on Negative Probabilities. Derivatives Models on Models: InhaltsangabeAuthor& #8217 s & #8220 Disclaimer& #8221 .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 J& #248 rgen 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& #8211 Call Symmetry.2 Barrier Put& #8211 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 J& #248 rgen Haug.1 Margrabe Options.2 Knock-in/out Margrabe Options.3 Applications.Stephen Ross on APT.Chapter 7 Resetting Strikes, Barriers and Time with J& #248 rgen Haug.1 Introduction.2 Reset Strike Barrier Options.3 Reset Barrier Options.4 Resetting Time.5 Conclusion.Bruno Dupire the Stochastic Wall Street Quant.Chapter 8 Asian Pyramid Power with J& #248 rgen 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 & #8211 A Direct Approach.3 The Value of a European Call Option for any Value & #8211 Positive or Negative & #8211 of the Volatility.4 Negative Volatility & #8211 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& #8217 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 Possible 6 Black-Scholes in Special Relativity.7 Relativity and Fat-Tailed Distributions.8 General Relativity and Space-time Finance.9 Was Einstein Right 10 Traveling Back in Time Using Wormholes.11 Conclusion.Andrei Khrennikov on Negative Probabilities. Finance & Investments Derivat (Wertpapier) Finanz- u. Anlagewesen, John Wiley & Sons
Rheinberg-Buch.de
Ebook, Englisch, Neuware Shipping costs:Ab 20¤ Versandkostenfrei in Deutschland, Sofort lieferbar, DE. (EUR 0.00)
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ISBN: 9780470065471
ID: 9780470065471
InhaltsangabeAuthor’ 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 Jø rgen 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 Jø rgen Haug.1 Margrabe Options.2 Knock-in/out Margrabe Options.3 Applications.Stephen Ross on APT.Chapter 7 Resetting Strikes, Barriers and Time with Jø rgen Haug.1 Introduction.2 Reset Strike Barrier Options.3 Reset Barrier Options.4 Resetting Time.5 Conclusion.Bruno Dupire the Stochastic Wall Street Quant.Chapter 8 Asian Pyramid Power with Jø rgen 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 Possible 6 Black-Scholes in Special Relativity.7 Relativity and Fat-Tailed Distributions.8 General Relativity and Space-time Finance.9 Was Einstein Right 10 Traveling Back in Time Using Wormholes.11 Conclusion.Andrei Khrennikov on Negative Probabilities. Derivatives Models on Models: InhaltsangabeAuthor’ 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 Jø rgen 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 Jø rgen Haug.1 Margrabe Options.2 Knock-in/out Margrabe Options.3 Applications.Stephen Ross on APT.Chapter 7 Resetting Strikes, Barriers and Time with Jø rgen Haug.1 Introduction.2 Reset Strike Barrier Options.3 Reset Barrier Options.4 Resetting Time.5 Conclusion.Bruno Dupire the Stochastic Wall Street Quant.Chapter 8 Asian Pyramid Power with Jø rgen 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 Possible 6 Black-Scholes in Special Relativity.7 Relativity and Fat-Tailed Distributions.8 General Relativity and Space-time Finance.9 Was Einstein Right 10 Traveling Back in Time Using Wormholes.11 Conclusion.Andrei Khrennikov on Negative Probabilities. Derivat (Wertpapier) Finance & Investments Finanz- u. Anlagewesen, John Wiley & Sons
Rheinberg-Buch.de
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2008
ISBN: 9780470065471
ID: 5575488
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. 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 eBooks, , Derivatives Models On Models~~EBook~~9780470065471~~Espen Gaarder Haug, , Derivatives Models On Models, Espen Gaarder Haug, 9780470065471, Wiley, 05/23/2008, , , , Wiley
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2008, ISBN: 0470065478
ID: 9780470065471
In englischer Sprache. Verlag: John Wiley & Sons, Dr Espen Gaarder Haug has more than 15 years of experiencein Derivatives research and trading, and has worked for more than20 years as a trader. Until recently he worked as a proprietarytrader in J.P. Morgan New York, and as a derivatives trader for twomulti-billion dollar hedge funds; Amaranth Investor and PalomaPartners, located in Greenwich Connecticut. Before that he workedfor 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 PricingFormulas, which has become a reference manual among Wall Streetprofessionals. He has a PhD from the Norwegian University ofScience and Technology where he specialized in Option Valuation andTrading and has published extensively in practitioner and academicjournals. He is currently considering setting up his own investmentcompany - possibly the first Anti-Hedge fund!, PC-PDF, 384 Seiten, 384 Seiten, 1., Auflage, [GR: 9783 - Nonbooks, PBS / Wirtschaft/Betriebswirtschaft], [SW: - Betriebswirtschaft und Management], [Ausgabe: 1][PU:John Wiley & Sons], [PU: Wiley]
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2008, ISBN: 9780470065471
ID: 25452687
[ED: 1], 1. Auflage, eBook Download (PDF), eBooks, [PU: John Wiley & Sons]
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Title: | Derivatives Models on Models |
ISBN: | 9780470065471 |
Details of the book - Derivatives Models on Models
EAN (ISBN-13): 9780470065471
ISBN (ISBN-10): 0470065478
Publishing year: 2008
Publisher: Wiley, J
384 Pages
Language: eng/Englisch
Book in our database since 20.06.2011 14:24:31
Book found last time on 17.08.2016 18:15:28
ISBN/EAN: 9780470065471
ISBN - alternate spelling:
0-470-06547-8, 978-0-470-06547-1
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