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6 produkter
6 produkter
604 kr
Skickas inom 7-10 vardagar
This introduction to complex variable methods begins by carefully defining complex numbers and analytic functions, and proceeds to give accounts of complex integration, Taylor series, singularities, residues and mappings. Both algebraic and geometric tools are employed to provide the greatest understanding, with many diagrams illustrating the concepts introduced. The emphasis is laid on understanding the use of methods, rather than on rigorous proofs. Throughout the text, many of the important theoretical results in complex function theory are followed by relevant and vivid examples in physical sciences. This second edition now contains 350 stimulating exercises of high quality, with solutions given to many of them. Material has been updated and additional proofs on some of the important theorems in complex function theory are now included, e.g. the Weierstrass-Casorati theorem. The book is highly suitable for students wishing to learn the elements of complex analysis in an applied context.
1 679 kr
Skickas inom 10-15 vardagar
Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods. Features Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products Can be used as a university textbook in a topic course on pricing variance derivatives
690 kr
Skickas inom 10-15 vardagar
Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods. Features Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products Can be used as a university textbook in a topic course on pricing variance derivatives
536 kr
Skickas inom 10-15 vardagar
This book summarizes recent advances in applying saddlepoint approximation methods to financial engineering. It addresses pricing exotic financial derivatives and calculating risk contributions to Value-at-Risk and Expected Shortfall in credit portfolios under various default correlation models. These standard problems involve the computation of tail probabilities and tail expectations of the corresponding underlying state variables. The text offers in a single source most of the saddlepoint approximation results in financial engineering, with different sets of ready-to-use approximation formulas. Much of this material may otherwise only be found in original research publications. The exposition and style are made rigorous by providing formal proofs of most of the results.Starting with a presentation of the derivation of a variety of saddlepoint approximation formulas in different contexts, this book will help new researchers to learn the fine technicalities ofthe topic. It will also be valuable to quantitative analysts in financial institutions who strive for effective valuation of prices of exotic financial derivatives and risk positions of portfolios of risky instruments.
1 170 kr
Skickas inom 10-15 vardagar
Mathematical Models of Financial Derivatives is a textbook on the theory behindmodeling derivatives and their risk management, focussing on the valuationprinciples that are common to most derivative securities. A wide range offinancial derivatives commonly traded in the equity and fixed income markets areanalyzed, emphasizing on aspects of pricing, hedging and practical usage. Thereaders are guided through the text on new advances in analytic techniques andnumerical methods for solving various types of derivative pricing models. Inthis second edition, more emphasis has been placed on the discussion of Itocalculus and Girsanov's Theorem; and in particular, the concepts of risk neutralmeasure and equivalent martingale pricing approach. A new chapter on credit riskmodels and pricing of credit derivatives has been added. Most recent researchresults and concepts are made accessible to the readers through extensive, wellthought out exercises at the end of each chapter.
853 kr
Skickas inom 10-15 vardagar
Objectives and Audience In the past three decades, we have witnessed the phenomenal growth in the trading of financial derivatives and structured products in the financial markets around the globe and the surge in research on derivative pricing theory. Leading financial ins- tutions are hiring graduates with a science background who can use advanced analytical and numerical techniques to price financial derivatives and manage portfolio risks, a phenomenon coined as Rocket Science on Wall Street. There are now more than a hundred Master level degree programs in Financial Engineering/Quantitative Finance/Computational Finance on different continents. This book is written as an introductory textbook on derivative pricing theory for students enrolled in these degree programs. Another audience of the book may include practitioners in quantitative teams in financial institutions who would like to acquire the knowledge of option pricing techniques and explore the new development in pricing models of exotic structured derivatives. The level of mathematics in this book is tailored to readers with preparation at the advanced undergraduate level of science and engineering majors, in particular, basic profiiencies in probability and statistics, differential equations, numerical methods, and mathematical analysis. Advance knowledge in stochastic processes that are relevant to the martingale pricing theory, like stochastic differential calculus and theory of martingale, are introduced in this book. The cornerstones of derivative pricing theory are the Black–Scholes–Merton pricing model and the martingale pricing theory of financial derivatives.