Derivatives Risk Management & Value
Publisher: World Scientific Publishing Company (October 29, 2009)
This book covers fundamental concepts in financial markets and asset pricing such as hedging, arbitrage, speculation in different markets, classical models for pricing of simple and complex derivatives, mathematical foundations, managing and monitoring portfolios of derivatives in real time, etc. It explains different applications of these concepts using real world examples. The book also covers topics like financial markets and instruments, option pricing models, option pricing theory, exotic derivatives, second generation options, etc.
Written in a simple manner and amply supported by real world examples, questions and exercises, the book will be of interest to students, academics and practitioners alike.
Contents:
- Financial Markets and Financial Instruments: Basic Concepts and Strategies
- Pricing Derivatives and Their Underlying Assets in a Discrete-Time Setting
- Option Pricing in a Continuous-Time Setting: Basic Models, Extensions and Applications
- Mathematical Foundations of Option Pricing Models in a Continuous-Time Setting: Basic Concepts and Extensions
- Extensions of Option Pricing Theory to American Options and Interest Rate Instruments in a Continuous-Time Setting: Dividends, Coupons and Stochastic Interest Rates
- Generalization of Option Pricing Models and Stochastic Volatility
- Option Pricing Models and Numerical Analysis
- Exotic Derivatives
Readership: Undergraduate and graduate students, academics and professionals interested in options.
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