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portada Applied Quantitative Finance for Equity Derivatives, Second Edition
Type
Physical Book
Author
Publisher
Year
2019
Language
English
Pages
516
Format
Hardcover
Dimensions
22.9x15.2x3.3 cm
Weight
0.91 kg.
ISBN13
9780244741587
Categories

Applied Quantitative Finance for Equity Derivatives, Second Edition

Jherek Healy (Author) · Lulu.com · Hardcover

Applied Quantitative Finance for Equity Derivatives, Second Edition - Healy, Jherek

New Book Imported to Netherlands
Delivery: 30 Sep - 02 Oct Shipping: 6 to 7 business days.
€ 76,76
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Synopsis "Applied Quantitative Finance for Equity Derivatives, Second Edition "

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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