Espen Gaarder Haug – författare

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 CointegrationNassim Taleb on Black SwansStephen Ross on Arbitrage Pricing TheoryEmanuel Derman the Wall Street QuantEdward Thorp on Gambling and TradingPeter Carr the Wall Street Wizard of Option Symmetry and VolatilityAaron Brown on Gambling, Poker and TradingDavid Bates on Crash and JumpsAndrei Khrennikov on Negative ProbabilitiesElie Ayache on Option Trading and ModelingPeter Jaeckel on Monte Carlo SimulationAlan Lewis on Stochastic Volatility and JumpsPaul Wilmott on Paul WilmottKnut Aase on Catastrophes and Financial EconomicsEduardo Schwartz the Yoga Master of Quantitative FinanceBruno Dupire on Local and Stochastic Volatility Models