Value of Uncertainty, The: Dealing with Risk in the Equity Derivatives Market

ISBN-13: 9781848167728 / Angielski / Twarda / 2013 / 440 str.

George Kaye

Opis

Along with the extraordinary growth in the derivatives market over the last decade, the impact of model choice, and model parameter usage, has become a major source of valuation uncertainty. This book concentrates on equity derivatives and charts, step by step, how key assumptions on the dynamics of stocks impact on the value of exotics. The presentation is technical, but maintains a strong focus on intuition and practical application.