Derivatives: Models on Models (The Wiley Finance Series)
Haug, Espen Gaarder
ISBN 10: 0470013222 ISBN 13: 9780470013229
Editorial: Wiley, 2007
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Descripción:
Most items will be dispatched the same or the next working day. An apparently unread copy in perfect condition. Dust cover is intact with no nicks or tears. Spine has no signs of creasing. Pages are clean and not marred by notes or folds of any kind. N° de ref. del artículo wbs9552577466
Sinopsis:
Derivatives Models on Models takes a theoretical and practical look at some of the latest and most important ideas behind derivatives pricing models. In each chapter the author highlights the latest thinking and trends in the area. A wide range of topics are covered, including valuation methods on stocks paying discrete dividend, Asian options, American barrier options, Complex barrier options, reset options, and electricity derivatives.
The book also discusses the latest ideas surrounding finance like the robustness of dynamic delta hedging, option hedging, negative probabilities and space-time finance. The accompanying CD-ROM with additional Excel sheets includes the mathematical models covered in the book.
The book also includes interviews with some of the world’s top names in the industry, and an insight into the history behind some of the greatest discoveries in quantitative finance. Interviewees include:
- Clive Granger, Nobel Prize winner in Economics 2003, on Cointegration
- Nassim Taleb on Black Swans
- Stephen Ross on Arbitrage Pricing Theory
- Emanuel Derman the Wall Street Quant
- Edward Thorp on Gambling and Trading
- Peter Carr the Wall Street Wizard of Option Symmetry and Volatility
- Aaron Brown on Gambling, Poker and Trading
- David Bates on Crash and Jumps
- Andrei Khrennikov on Negative Probabilities
- Elie Ayache on Option Trading and Modeling
- Peter Jaeckel on Monte Carlo Simulation
- Alan Lewis on Stochastic Volatility and Jumps
- Paul Wilmott on Paul Wilmott
- Knut Aase on Catastrophes and Financial Economics
- Eduardo Schwartz the Yoga Master of Quantitative Finance
- Bruno Dupire on Local and Stochastic Volatility Models
Acerca del autor: Dr Espen Gaarder Haug has more than 15 years of experience in Derivatives research and trading, and has worked for more than 20 years as a trader. Until recently he worked as a proprietary trader in J.P. Morgan New York, and as a derivatives trader for two multi-billion dollar hedge funds; Amaranth Investor and Paloma Partners, located in Greenwich Connecticut. Before that he worked for Tempus Financial Engineering, Chase Manhattan Bank (now J.P. Morgan Chase) and Den Norske Bank.
He is the author of The Complete Guide of Option Pricing Formulas, which has become a reference manual among Wall Street professionals. He has a PhD from the Norwegian University of Science and Technology where he specialized in Option Valuation and Trading and has published extensively in practitioner and academic journals. He is currently considering setting up his own investment company - possibly the first Anti-Hedge fund!
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Título: Derivatives: Models on Models (The Wiley ...
Editorial: Wiley
Año de publicación: 2007
Encuadernación: Encuadernación de tapa dura
Condición: Like New
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Derivatives: Models on Models (Wiley Finance)
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Derivatives: Models on Models
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ISBN 13: 9780470013229
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