Options on Two Risky Assets PDF Download

Author: Ajay Dravid
Publisher:
ISBN:
Category :
Languages : en
Pages : 54

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Book Description

Author: Peter Guangping Zhang
Publisher: World Scientific
ISBN: 9814496146
Category : Business & Economics
Languages : en
Pages : 696

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Book Description
This is the first systematic and extensive book on exotic options. The book covers essentially all popular exotic options currently trading in the Over-the-Counter (OTC) market, from digitals, quantos, spread options, lookback options, Asian options, vanilla barrier options, to various types of exotic barrier options and other options. Each type of exotic options is largely written in a separate chapter, beginning with the basic concepts of the products and then moving on to how to price them in closed-form solutions. Many pricing formulae and analyses which have not previously appeared in the literature are included and illustrated with detailed examples. It will be of great interest to traders, marketers, analysts, risk managers, professors, graduate students, and anyone who is interested in what is going on in the rapidly changing financial market.

Author: Robert E. Whaley
Publisher: John Wiley & Sons
ISBN: 0470086386
Category : Business & Economics
Languages : en
Pages : 962

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Book Description
Robert Whaley has more than twenty-five years of experience in the world of finance, and with this book he shares his hard-won knowledge in the field of derivatives with you. Divided into ten information-packed parts, Derivatives shows you how this financial tool can be used in practice to create risk management, valuation, and investment solutions that are appropriate for a variety of market situations.

Author: Lishang Jiang
Publisher: World Scientific Publishing Company
ISBN: 9813106557
Category : Business & Economics
Languages : en
Pages : 343

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Book Description
From the unique perspective of partial differential equations (PDE), this self-contained book presents a systematic, advanced introduction to the Black-Scholes-Merton's option pricing theory.A unified approach is used to model various types of option pricing as PDE problems, to derive pricing formulas as their solutions, and to design efficient algorithms from the numerical calculation of PDEs. In particular, the qualitative and quantitative analysis of American option pricing is treated based on free boundary problems, and the implied volatility as an inverse problem is solved in the optimal control framework of parabolic equations.

Author: Peter Ryan
Publisher:
ISBN:
Category :
Languages : en
Pages : 35

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Book Description
This study presents an alternative option pricing theory to the Black-Scholes model in which the balance sheet is composed of both short-term and fixed assets and by both long-term debt and equity. The resulting model is used to examine the volatility smile. It is demonstrated that the smile characteristics can be produced by choices of the parameters of the model. Hang Seng Index data is then used to investigate whether actual index and option prices can be compatible with the model's specifications.

Author: Mondher Bellalah
Publisher: World Scientific
ISBN: 9812797475
Category : Business & Economics
Languages : en
Pages : 617

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Book Description
This book discusses in detail the workings of financial markets and over-the-counter (OTC) markets, focusing specifically on standard and complex derivatives. The subjects covered range from the fundamental products in OTC markets, standard and exotic options, the concepts of value at risk, credit derivatives and risk management, to the applications of option pricing theory to real assets.To further elucidate these complex concepts and formulas, this book also explains in each chapter how theory and practice go hand-in-hand. This volume, a culmination of the author's 12 years of professional experience in the field of finance, derivative analysis and risk management, is a valuable guide for postgraduate students, academics and practitioners in the field of finance.

Author: Stewart Hodges
Publisher: Manchester University Press
ISBN: 9780719036354
Category : Art
Languages : en
Pages : 344

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Book Description

Author: Yuh-Dauh Lyuu
Publisher: Cambridge University Press
ISBN: 9780521781718
Category : Business & Economics
Languages : en
Pages : 654

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Book Description
A comprehensive text and reference, first published in 2002, on the theory of financial engineering with numerous algorithms for pricing, risk management, and portfolio management.

Author: Mohamed Bouzoubaa
Publisher: John Wiley & Sons
ISBN: 0470688033
Category : Business & Economics
Languages : en
Pages : 405

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Book Description
The recent financial crisis brought to light many of the misunderstandings and misuses of exotic derivatives. With market participants on both the buy and sell-side having been found guilty of not understanding the products they were dealing with, never before has there been a greater need for clarification and explanation. Exotic Options and Hybrids is a practical guide to structuring, pricing and hedging complex exotic options and hybrid derivatives that will serve readers through the recent crisis, the road to recovery, the next bull market and beyond. Written by experienced practitioners, it focuses on the three main parts of a derivative’s life: the structuring of a product, its pricing and its hedging. Divided into four parts, the book covers a multitude of structures, encompassing many of the most up-to-date and promising products from exotic equity derivatives and structured notes to hybrid derivatives and dynamic strategies. Based on a realistic setting from the heart of the business, inside a derivatives operation, the practical and intuitive discussions of these aspects make these exotic concepts truly accessible. Adoptions of real trades are examined in detail, and all of the numerous examples are carefully selected so as to highlight interesting and significant aspects of the business. The introduction of payoff structures is accompanied by scenario analysis, diagrams and lifelike sample term sheets. Readers learn how to spot where the risks lie to pave the way for sound valuation and hedging of such products. There are also questions and accompanying discussions dispersed in the text, each exploited to illustrate one or more concepts from the context in which they are set. The applications, the strengths and the limitations of various models are highlighted, in relevance to the products and their risks, rather than the model implementations. Models are de-mystified in separately dedicated sections, but their implications are alluded to throughout the book in an intuitive and non-mathematical manner. By discussing exotic options and hybrids in a practical, non-mathematical and highly intuitive setting, this book will blast through the misunderstanding of exotic derivatives, enabling practitioners to fully understand and correctly structure, price and hedge theses products effectively, and stand strong as the only book in its class to make these “exotic” concepts truly accessible.

Author: Gunter Meissner
Publisher: John Wiley & Sons
ISBN: 1405137460
Category : Business & Economics
Languages : en
Pages : 248

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Book Description
The market for credit derivatives--financial instruments designedto transfer credit risk from one party to another--has grownexponentially in recent years, with volume expected to reach morethan $4.8 trillion by 2004. With demand increasing from the privatesector for finance professionals trained in the opportunities--anddangers--inherent in this fast-changing market, finance courses arealready springing up to meet this need. Credit Derivatives: Explains the field of credit derivatives to business studentswith a background in finance Cites real-world examples throughout, reinforced byend-of-chapter questions and internet links to pricing models Provides a concise overview of the field that is ideal forinstructors seeking to supplement traditional derivatives coursematerial, as well as those looking to offer a stand-alone course oncredit derivatives.