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Applied Quantitative Finance for Equity Derivatives, second edition

Applied Quantitative Finance for Equity Derivatives, second edition

Applied Quantitative Finance for Equity Derivatives, second edition

Jherek Healy

91,49 €
IVA incluido
Consulta disponibilidad
Editorial:
Lulu Press
Año de edición:
2019
Materia
Ciencia: cuestiones generales
ISBN:
9780244741587

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Sobre IBD

Revised and corrected in December 2018, 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; issues of the Dupire local volatility model and possible fixes; finite difference techniques for American options and exotics; 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; quadratures for options under stochastic volatility models; VIX options and dividend derivatives; backward/forward representation of exotics.This second edition adds new arbitrage-free implied volatility interpolations, and covers various warrants, such as CBBCs.

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