Applied Quantitative Finance for Equity Derivatives: Fifth Edition Baixar grátis

Isbn 13: 9798289924087

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Descrição do livro

In its fifth edition, this book presents the most significant equity derivatives models used these days. It is not a book around esoteric or cutting-edge models, but rather a book on relatively simple and standard models, viewed from the angle of a practitioner.
A few key subjects explained in this book are:

  • cash dividends for European, American, or exotic options
  • advanced finite difference techniques: grid stretching, payoff smoothing, the solution of the linear complementary problem under negative rates, and explicit super-time-stepping schemes.
  • issues of the Dupire local volatility model and possible fixes
  • Non-parametric regression for American options in Monte-Carlo, randomized simulations
  • the particle method for stochastic-local-volatility model with quasi-random numbers
  • Numerical methods for the variance and volatility swaps, including some popular variations around those.
  • quadratures for options under stochastic volatility models
  • VIX options and dividend derivatives
  • backward/forward representation of exotics.
  • arbitrage-free representations for implied volatilities.
The January 2025 fifth edition all in color brings the following minor updates:
  • vanilla option pricing under the spot piecewise-lognormal model has been reworked and now include newer approximations.
  • Asian option pricing also includes newer approximations.
  • Time-dependent piecewise-constant stochastic volatility vanilla pricing, calibration and simulation.
  • a small section on forward variance model calibration.

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Isbn 13 :9798289924087
Encadernação Applied Quantitative Finance for Equity Derivatives: Fifth Edition:Capa dura
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