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Financial Modelling
Joerg Kienitz (Gebundene Ausgabe, Englisch)
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Beschreibung
This book will enable the reader to model, design and implement a range of financial models for derivatives pricing and asset allocation. The book will provide practitioners with the complete financial modeling workflow, from model choice, deriving (semi-) analytic approximate prices and Greeks even for exotic options. Such methods can be used for calibration to market data. Furthermore, Monte… Carlo simulation techniques are covered which can be applied to multi-dimensional and path dependent options or some asset allocation problems.
Equity/Equity-Interest Rate Hybrid models, Interest Rate models and Asset Allocation are used as examples showing specific models with analysis of their features. The authors then go on to show how to price simple options and how to calibrate the models to real life market data and finally they discuss the pricing of exotic options. At the end of these sections the reader will be able to use the techniques discussed for equity derivatives and interest rate models in other areas of finance such as foreign exchange and inflation.
The models discussed for derivatives pricing are:
* Heston / Bates Model
* Local/Stochastic Volatility Models (DD, CEV, DDHeston)
* Lévy Models (Variance-Gamma, Normal Inverse Gaussian)
* Heston -- Hull -- White Model
* Libor Market Model
* SABR Model
* Lévy Models with Stochastic Volatility
The methods which are discusses
* Direct Integration methods+
* Methods based on Fourier Transform
* Monte Carlo Simulation
* Local and Global Optimization
The models discussed for asset allocation are:
* Markowitz Model
* Black-Litterman Model
* Copula Models
* CVaR numerical optimization
Source code for all the examples is provided with implementation in Matlab. Dieses Produkt haben wir gerade leider nicht auf Lager.
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Technische Daten
Erscheinungsdatum
21.09.2012
Sprache
Englisch
EAN
9780470744895, 9780470744895
Herausgeber
John Wiley & Sons
Serien- oder Bandtitel
Wiley Finance Series
Sonderedition
Nein
Autor
Joerg Kienitz
Seitenanzahl
734
Einbandart
Gebundene Ausgabe
Einbandart Details
Fadenbindung
Hersteller: Wiley, Boschstrasse 12, Weinheim, Deutschland, 69469, product_safety@wiley.com, Wiley-VCH GmbH
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