Overhaus / Ferraris / Knudsen Equity Derivatives

Theory and Applications
1. Auflage 2011
ISBN: 978-1-118-16087-9
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 240 Seiten, E-Book

Reihe: Wiley Finance Editions

Written by the quantitative research team of Deutsche Bank, theworld leader in innovative equity derivative transactions, thisbook acquaints readers with leading-edge thinking in modeling andhedging these transactions. Equity Derivatives offers a balanced,integrated presentation of theory and practice in equity derivativemarkets. It provides a theoretical treatment of each new modelingand hedging concept first, and then demonstrates their practicalapplication. The book covers: the newest and fastest-growing classof derivative instruments, fund derivatives; cutting-edgedevelopments in equity derivative modeling; new developments incorrelation modeling and understanding volatility skews; and newWeb-based implementation/delivery methods.
Marcus Overhaus, PhD, Andrew Ferraris, DPhil, Thomas Knudsen, PhD,Frank Mao, PhD, Ross Milward, Laurent Nguyen-Ngoc, PhD, and GeroSchindlmayr, PhD, are members of the Quantitative Research team ofDeutsche Bank's Global Equity Division, which is based in Londonand headed by Dr. Overhaus.

Autoren/Hrsg.

Overhaus, Marcus

Ferraris, Andrew

Knudsen, Thomas

Milward, Ross

Nguyen-Ngoc, Laurent

Schindlmayr, Gero

Inhaltsverzeichnis

Mathematical Introduction.
Incomplete Markets.
Financial Modeling with Lévy Processes.
Finite Difference Methods for Multifactor Models.
Convertible Bonds and Asset Swaps.
Data Representation.
Application Connectivity.
Web-Based Quantitative Services.
Portfolio and Hedging Simulation.
References.
Index.

Über Autor(innen)

MARCUS OVERHAUS, PhD, ANDREW FERRARIS, DPhil, THOMAS KNUDSEN, PhD, ROSS MILWARD, LAURENT NGUYEN-NGOC, PhD, and GERO SCHINDLMAYR, PhD, are members of the quantitative research team of Deutsche Bank's Global Equity Division, which is based in London and headed by Dr. Overhaus.