Financial Mathematics, Derivatives and Structured Products, Raymond H. Chan; Yves ZY. Guo; Spike T. Lee; Xun L
Автор: Satyajit Das Название: Derivative Products and Pricing: The Swaps & Financial Derivatives Library, 3rd Edition Revised ISBN: 0470821647 ISBN-13(EAN): 9780470821640 Издательство: Wiley Рейтинг: Цена: 116160.00 T Наличие на складе: Поставка под заказ. Описание: Derivative Products & Pricing consists of 4 Parts divided into 16 chapters covering the role and function of derivatives, basic derivative instruments (exchange traded products (futur and options on future contracts) and over-the-counter products (forwards, options and swaps)), the pricing and valuation of derivatives instruments, derivative trading and portfolio management.
Автор: Satyajit Das Название: Structured Products Volume 1: Exotic Options; Interest Rates & Currency (The Swaps & Financial Derivatives Library), 3rd Edition Revised ISBN: 0470821663 ISBN-13(EAN): 9780470821664 Издательство: Wiley Рейтинг: Цена: 116160.00 T Наличие на складе: Поставка под заказ. Описание: Structured Products Volume 1 consists of 4 Parts and 20 Chapters covering applications of derivatives, the creation of synthetic assets using derivaves (such as asset swaps, structured notes and repackaged assets), exotic options, non-generic derivative structures used in interest rates and currency markets (including non-generic swaps, basis (floating-to-floating) swaps, swaptions (options on interest rate swaps), callable bonds, CMT products, IAR products, interest rate and currency structured products.
Автор: Satyajit Das Название: Credit Derivatives: CDOs and Structured Credit Products, 3rd Edition ISBN: 0470821590 ISBN-13(EAN): 9780470821596 Издательство: Wiley Рейтинг: Цена: 116160.00 T Наличие на складе: Поставка под заказ. Описание: This is a complete reference work offering comprehensive information on credit derivative products, applications, pricing/valuation approaches, documentation issues and accounting/taxation aspects of such transactions. Previous edions have consisted of a number of chapters written by the author and a collection of papers from leading market practitioners. This edition departs from the previous format. All chapters have been written by the author. The First Edition of "Credit Derivatives" was published in 1998. It was designed to meet the growing interest in complex instruments. An updated Second Edition was released in 2000. "Credit Derivatives, CDO's and Structured Credit Products, 3rd Edition" offers comprehensive information on credit derivative products (both standard and structured), documentation issues, pricing/valuation approaches, applications and the market. The key areas of new/enhanced coverage include: inclusion of latest developments in documentation (the 2003 Credit Derivative Definitions and market developments such as Master Confirmations); and description of developments in structured credit products including: portfolio products; up-front credit default swaps; quanto credit default swaps; credit swaptions; zero recovery credit default swaps; first-to-default swaps/Nth-to-default swaps; asset swaptions/synthetic lending facilities/structured asset swaps; constant maturity credit spread products and constant maturity credit default swaps; credit index products; equity default swaps; increased coverage of credit linked notes including repackaging structures. This book features include: detailed discussion of the collateralised debt obligations ("CDO") market including: CDO structures; pricing and valuation; rating methodology; CDO variations (including SME CDO's, structured finance/ ABS CDO's, collateralised fund obligations ("CFO's"); single tranche CDO's; hedging of CDO tranches (including credit deltas and other Greeks and default correlation risk); behavior of CDO tranche (equity, mezzanine, senior and super senior) investments; increased coverage of pricing of credit default swaps (including models and valuation approaches) and discussion of cash-synthetic basis and its causes and behavior. It also features: coverage of E2C (equity to credit) hedging; detailed examples of applications of credit derivatives by different market participants; discussion of trading in credit derivatives including more complex trading strategies such as basis trading and capital structure arbitrage trades; updated coverage of regulatory framework for credit derivatives; and an updated discussion of market structures, developments and prospects.
Автор: Joseph K. Blitzstein, Jessica Hwang Название: Introduction to Probability, Second Edition ISBN: 1138369918 ISBN-13(EAN): 9781138369917 Издательство: Taylor&Francis Рейтинг: Цена: 74510.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Assumes one-semester of calculus. "Stories" make distributions (Normal, Binomial, Poisson that are widely-used in statistics) easier to remember, understand. Many books write down formulas without explaining clearly why these particular distributions are important or how they are all connected.
Автор: Bradley Efron and Trevor Hastie Название: Computer Age Statistical Inference ISBN: 1107149894 ISBN-13(EAN): 9781107149892 Издательство: Cambridge Academ Рейтинг: Цена: 60190.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: The twenty-first century has seen a breathtaking expansion of statistical methodology, both in scope and in influence. 'Big data', 'data science', and 'machine learning' have become familiar terms in the news, as statistical methods are brought to bear upon the enormous data sets of modern science and commerce. How did we get here? And where are we going? This book takes us on an exhilarating journey through the revolution in data analysis following the introduction of electronic computation in the 1950s. Beginning with classical inferential theories - Bayesian, frequentist, Fisherian - individual chapters take up a series of influential topics: survival analysis, logistic regression, empirical Bayes, the jackknife and bootstrap, random forests, neural networks, Markov chain Monte Carlo, inference after model selection, and dozens more. The distinctly modern approach integrates methodology and algorithms with statistical inference. The book ends with speculation on the future direction of statistics and data science.
Автор: Ali Hirsa Название: An Introduction to the Mathematics of Financial Derivatives, ISBN: 012384682X ISBN-13(EAN): 9780123846822 Издательство: Elsevier Science Рейтинг: Цена: 88690.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: A text that eases the transition between basic summaries of financial engineering to more advanced treatments using stochastic calculus. Requiring a basic knowledge of calculus and probability, it takes readers on a tour of advanced financial engineering. It encourages use of discrete chapters as complementary readings on different topics.
Автор: Satyajit Das Название: Structured Products Volume 2: Equity; Commodity; Credit & New Markets (The Swaps & Financial Derivatives Library), 3rd Edition Revised ISBN: 0470821671 ISBN-13(EAN): 9780470821671 Издательство: Wiley Рейтинг: Цена: 116160.00 T Наличие на складе: Поставка под заказ. Описание: Structured Products Volume 2 consists of 5 Parts and 21 Chapters covering equity derivatives (including equity swaps/options, convertible securities and equity linked notes) , commodity derivatives (including energy, metal and agricultural derivatives), credit derivatives (including credit linked notes/collateralised debt obligations ("CDOs")), new derivative markets (including inflation linked derivatives and notes, insurance derivatives, weather derivatives, property, bandwidth/telephone minutes, macro-economic index and emission/environmental derivatives ) and tax based applications of derivatives. It also covers the structure and evolution of derivative markets including electronic trading markets and the origins, evolution and prospects for derivative markets. EQUITY LINKED STRUCTURES 55. Equity Derivatives - Equity Futures; Equity Options/Warrants & Equity Swaps 56. Convertible Securities 57. Structured Convertible Securities 58. Equity Linked Notes 59. Equity Derivatives - Investor Applications 60. Equity Capital Management - Corporate Finance Applications of Equity Derivatives COMMODITY LINKED STRUCTURES 61. Commodity Derivatives - Commodity Futures/Options, Commodity Swaps and Comdity Linked Notes 62. Commodity Derivatives - Energy (Oil, Natural Gas and Electricity) Markets 63. Commodity Derivatives - Metal Markets 64. Commodity Derivatives - Agricultural and Other Markets CREDIT DERVIATIVES 65. Credit Derivative Products 66. Credit Linked Notes/Collateralised Debt Obligations 67. Credit Derivatives/Default Risk - Pricing and Modelling 68. Credit Derivatives - Applications/Markets NEW MARKETS 69. Inflation Indexed Notes and Derivatives. 70. Alternative Risk Transfer/Insurance Derivatives 71. Weather Derivatives 72. New Markets - Property; Bandwidth; Macro-Economic & Environmental Derivatives 73. Tax and Structured Derivatives Transactions EVOLUTION OF DERIVATIVES MARKETS 74. Electronic Markets and Derivatives Trading 75. Financial Derivatives - Evolution and Prospects
A step-by-step approach to the mathematical financial theory and quantitative methods needed to implement and apply state-of-the-art valuation techniques
Written as an accessible and appealing introduction to financial derivatives, "Elementary Financial Derivatives: A Guide to Trading and Valuation with Application"s provides the necessary techniques for teaching and learning complex valuation techniques. Filling the current gap in financial engineering literature, the book emphasizes an easy-to-understand approach to the methods and applications of complex concepts without focusing on the underlying statistical and mathematical theories.
Organized into three comprehensive sections, the book discusses the essential topics of the derivatives market with sections on options, swaps, and financial engineering concepts applied primarily, but not exclusively, to the futures market. Providing a better understanding of how to assess risk exposure, the book also includes: A wide range of real-world applications and examples detailing the theoretical concepts discussed throughout Numerous homework problems, highlighted equations, and Microsoft(R) Office Excel(R) modules for valuation Pedagogical elements such as solved case studies, select answers to problems, and key terms and concepts to aid comprehension of the presented material A companion website that contains an Instructor's Solutions Manual, sample lecture PowerPoint(R) slides, and related Excel files and data sets
"Elementary Financial Derivatives: A Guide to Trading and Valuation with Applications "is an excellent introductory textbook for upper-undergraduate courses in financial derivatives, quantitative finance, mathematical finance, and financial engineering. The book is also a valuable resource for practitioners in quantitative finance, industry professionals who lack technical knowledge of pricing options, and readers preparing for the CFA exam.
Jana Sacks, PhD, is Associate Professor in the Department of Accounting and Finance at St. John Fisher College in Rochester, New York. A member of The American Finance Association, the National Association of Corporate Directors, and the International Atlantic Economic Society, Dr. Sack's research interests include risk management, credit derivatives, pricing, hedging, and structured finance.
Автор: Haydon John Название: Pricing and Hedging Financial Derivatives and Structured Pro ISBN: 1119953715 ISBN-13(EAN): 9781119953715 Издательство: Wiley Рейтинг: Цена: 66530.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: The only guide focusing entirely on practical approaches to pricing and hedging derivatives One valuable lesson of the financial crisis was that derivatives and risk practitioners don`t really understand the products they`re dealing with.
Автор: T. Rumble Название: The Taxation of Equity Derivatives and Structured Products ISBN: 1403903395 ISBN-13(EAN): 9781403903396 Издательство: Springer Рейтинг: Цена: 222670.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание: Part 1 examines the derivatives building blocks and financial market/corporate finance drivers of the equity derivatives and financial products market, and includes case studies of typical and landmark transactions.
Автор: Gueant, Olivier Название: Financial mathematics of market liquidity ISBN: 1498725473 ISBN-13(EAN): 9781498725477 Издательство: Taylor&Francis Рейтинг: Цена: 89820.00 T Наличие на складе: Есть у поставщика Поставка под заказ. Описание:
This book is among the first to present the mathematical models most commonly used to solve optimal execution problems and market making problems in finance. The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making presents a general modeling framework for optimal execution problems-inspired from the Almgren-Chriss approach-and then demonstrates the use of that framework across a wide range of areas.
The book introduces the classical tools of optimal execution and market making, along with their practical use. It also demonstrates how the tools used in the optimal execution literature can be used to solve classical and new issues where accounting for liquidity is important. In particular, it presents cutting-edge research on the pricing of block trades, the pricing and hedging of options when liquidity matters, and the management of complex share buy-back contracts. What sets this book apart from others is that it focuses on specific topics that are rarely, or only briefly, tackled in books dealing with market microstructure. It goes far beyond existing books in terms of mathematical modeling-bridging the gap between optimal execution and other fields of Quantitative Finance. The book includes two appendices dedicated to the mathematical notions used throughout the book. Appendix A recalls classical concepts of mathematical economics. Appendix B recalls classical tools of convex analysis and optimization, along with central ideas and results of the calculus of variations. This self-contained book is accessible to anyone with a minimal background in mathematical analysis, dynamic optimization, and stochastic calculus. Covering post-electronification financial markets and liquidity issues for pricing, this book is an ideal resource to help investment banks and asset managers optimize trading strategies and improve overall risk management.
Автор: Anthony, M, , Biggs N. Название: Mathematics for economics and finance: methods and modelling ISBN: 0521559138 ISBN-13(EAN): 9780521559133 Издательство: Cambridge Academ Рейтинг: Цена: 47510.00 T Наличие на складе: Поставка под заказ. Описание: An introduction to mathematical modelling in economics and finance for students of both economics and mathematics. Throughout, the stress is firmly on how the mathematics relates to economics, illustrated with copious examples and exercises that will foster depth of understanding.
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