Coverart for item
The Resource Equity derivatives and hybrids : markets, models and methods, Oliver Brockhaus

Equity derivatives and hybrids : markets, models and methods, Oliver Brockhaus

Label
Equity derivatives and hybrids : markets, models and methods
Title
Equity derivatives and hybrids
Title remainder
markets, models and methods
Statement of responsibility
Oliver Brockhaus
Creator
Subject
Language
eng
Summary
Since the development of the Black Scholes model, research on equity derivatives has evolved rapidly - to the point where it is now difficult to cut through the myriad of literature to find relevant material. Written by an experienced practitioner and acknowledged authority on quantitative equity research, this book provides an up-to-date account of equity and equity-hybrid (equity-rates, equity-credit, equity-foreign exchange) derivatives modeling from a practitioner's perspective. The content reflects the requirements of practitioners in financial institutions: Quants will find a survey of state of the art models and guidance on how to efficiently implement them with regards to market data representation, calibration and sensitivity computation. Traders and structurers will learn about structured products, selection of most appropriate models as well as efficient hedging methods while risk managers will better understand market, credit and model risk and find valuable information on advanced correlation concepts.Equity Derivatives and Hybrids provides exhaustive coverage of both market standard and new approaches, including: Empirical properties of stock returns including autocorrelation and jumpsDividend discount modelsNon-Markovian and discrete time volatility processesCorrelation skew modeling via copula as well as local and stochastic correlation factorsHybrid modeling covering local and stochastic processes for interest rate, hazard rate and volatility as well as closed form solutions Credit, debt and funding valuation adjustment (CVA, DVA, FVA) Monte Carlo techniques for sensitivities including algorithmic differentiation, path recycling as well as multilevelWritten in a highly accessible manner with examples, applications, research and ideas throughout it, this book provides a valuable resource for quantitative-minded practitioners and researchers everywhere.--
Member of
Assigning source
Provided by publisher
Cataloging source
DLC
http://library.link/vocab/creatorName
Brockhaus, Oliver
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
bibliography
Series statement
Applied quantitative finance
http://library.link/vocab/subjectName
  • Derivative securities
  • Corporations
Label
Equity derivatives and hybrids : markets, models and methods, Oliver Brockhaus
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 273-280) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb17794584
Dimensions
24 cm.
Extent
xvi, 287 pages
Isbn
9781137349484
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)936540142
Label
Equity derivatives and hybrids : markets, models and methods, Oliver Brockhaus
Publication
Bibliography note
Includes bibliographical references (pages 273-280) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Control code
FIEb17794584
Dimensions
24 cm.
Extent
xvi, 287 pages
Isbn
9781137349484
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)936540142

Library Locations

    • Badia FiesolanaBorrow it
      Via dei Roccettini 9, San Domenico di Fiesole, 50014, IT
      43.803074 11.283055
Processing Feedback ...