Equity Derivatives: Theory and Applications

ISBN-13: 9780471436461 / Angielski / Twarda / 2002 / 240 str.

Marcus Overhaus; Andrew Ferraris; Thomas Knudsen

Opis

Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book acquaints readers with leading-edge thinking in modeling and hedging these transactions. Equity Derivatives offers a balanced, integrated presentation of theory and practice in equity derivative markets. It provides a theoretical treatment of each new modeling and hedging concept first, and then demonstrates their practical application. The book covers: the newest and fastest-growing class of derivative instruments, fund derivatives; cutting-edge developments in equity derivative modeling; new developments in correlation modeling and understanding volatility skews; and new Web-based implementation/delivery methods.
Marcus Overhaus, PhD, Andrew Ferraris, DPhil, Thomas Knudsen, PhD, Frank Mao, 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.

Spis treści

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.

O autorze

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.

Blurb

"This book provides a nice blend of concise exposition of the theory of stochastic processes, and in particular Lévy processes, financial modeling with such processes, as well as numerical implementations, together with fundamentals of options pricing. Important examples and references are spread adequately throughout the book."
–Professor M. Yor, Université Pierre et Marie Curie

"Equity Derivatives: Theory and Applications gives a comprehensive, yet succinct, overview of the emerging technologies and architectures in computing today, and describes how those technologies and architectures can be applied to equity derivatives. This book bridges the gap between the pure theory of derivatives and the application of that theory through the use of new computing technologies, such as XML, Web services, and Microsoft′s .NET framework. This was a most informative read, both from a technological and theoretical perspective."
–Gregor Noriskin, Architectural Advisor, Developer Division
Microsoft Corporation

"The frontier of equity derivative transactions presented by the leading quantitative research team . . . This book will set the standard for innovation in the field."
–Dr. Hermann Schenk, Managing Director, Covion Organic Semiconductors GmbH

"I was very impressed by the authors′ study of the pricing of equity derivatives. This is not an easy subject and clearly the authors have a profound understanding of the matter."
–Dr. Serge Mores, Senior Investment Manager, ING Investment Management, Brussels

"This well–organized book provides a self–contained, computational, and up–to–date treatment of several interesting topics in the theory of option pricing–mainly in incomplete markets. This is an invaluable addition to the pedagogic literature on equity derivatives that no serious student should be without."
–Professor Aubrey Truman, Head of the Department of Mathematics
University of Wales Swansea

"This book is the first comprehensive guide to link the latest research in mathematical finance with the most recent developments and new technologies in the delivery of pricing and hedging analytics over the Internet. This unique approach is simple to follow, with information organized for easy access."
–Jon Kinol, Managing Director, Deutsche Bank Securities