Normal view MARC view ISBD view

Equity derivatives and hybrids : markets, models and methods / Oliver Brockhaus

By: Brockhaus, Oliver.
Series: Applied quantitative finance.Publisher: New York: Palgrave Macmillan, 2016Description: 287 p.ISBN: 9781137349484.Subject(s): Derivative securities | Corporations | BUSINESS & ECONOMICS / Banks & Banking | BUSINESS & ECONOMICS / Corporate Finance | BUSINESS & ECONOMICS / Finance | BUSINESS & ECONOMICS / Insurance / Risk Assessment & ManagementDDC classification: 332.645 7 Online resources: Click here to access online
Contents:
Machine generated contents note: -- 1 Empirical Evidence -- 1.1 Distribution -- 1.2 Drift -- 1.3 Autocorrelation -- 1.4 Jumps -- 2 Equity Derivatives Market -- 2.1 Underlyings -- 2.2 Dividends -- 2.3 Repo Rate -- 2.4 Delta One Products -- 2.5 Vanilla Options -- 3 Exotic Equity Derivatives -- 3.1 Barriers -- 3.2 Cliquets -- 3.3 Asians -- 3.4 Compound -- 3.5 Lookback -- 3.6 Autocallable -- 3.7 Volatility Products -- 3.8 Multi Asset Products -- 3.9 Dynamic Strategies -- 3.10 Dividend Products -- 4 Implied Volatility -- 4.1 Skew Parameterization -- 4.2 Tail Behaviour -- 4.3 Time Dependence -- 5 Dividends -- 5.1 Forward -- 5.2 Proportional Dividends -- 5.3 Deterministic Dividends -- 5.4 Affine Models -- 5.5 Dividend Discount Models -- 5.6 Stochastic Dividend Yield -- 5.7 Stochastic Hazard And Interest Rates -- 5.8 Variance Swap -- 6 Short Volatility Models -- 6.1 Local Volatility -- 6.2 Stochastic Volatility -- 6.3 Local Stochastic Volatility -- 6.4 Jump Diffusion -- 6.5 Non-Markovian Models -- 6.6 Calibration And Hedging Stochastic Volatility -- 7 Implied Volatility Dynamics -- 7.1 Implied Volatility Delta -- 7.2 Forward Volatility -- 7.3 Modelling Implied Volatility -- 7.4 Discrete Time Models -- 8 Correlation -- 8.1 Implied Correlation -- 8.2 Correlation Term Structure -- 8.3 Decorrelation -- 8.4 Langnau's Local Correlation -- 8.5 Stochastic Correlation -- 9 Copulas -- 9.1 Definition -- 9.2 Dependence Measures -- 9.3 Archimedean Copulas -- 9.4 Marshall-Olkin Copula -- 9.5 T-Copula -- 9.6 Factor Copula -- 9.7 Convex Combination -- 9.8 Model Independent Arbitrage Bounds -- 9.9 Gauss Copula Model -- 10 Fixed Income -- 10.1 Market -- 10.2 Short Rate -- 10.3 Heath-Jarrow-Morton -- 10.4 Hull-White -- 10.5 Cox-Ingersoll-Ross -- 10.6 Markov Functional -- 11 Equity-Interest Rate Hybrids -- 11.1 Constant Equity Volatility -- 11.2 Gauss Copula -- 11.3 Local Equity Volatility -- 11.4 Stochastic Equity Volatility -- 11.5 Dynamic Hedging Of Variance Swaps -- 12 Credit -- 12.1 Market -- 12.2 Reduced Form Models -- 12.3 Structural Models -- 12.4 Portfolio Credit Derivatives -- 13 Defaultable Equity -- 13.1 Reduced Form Models -- 13.2 Structural Models -- 14 Counterparty Credit Risk -- 14.1 Sources Of Credit Risk -- 14.2 Credit Valuation Adjustment -- 14.3 Wrong Way Risk -- 14.4 Structural Models -- 14.5 Reduced Form Models -- 14.6 Funding Valuation Adjustment -- 15 Foreign Exchange -- 15.1 Cross Currency Basis Swap -- 15.2 Market Smile -- 15.3 Vanna-Volga Approach -- 15.4 Models -- 15.5 Quanto Options -- 15.6 Government Intervention -- 16 Affine Processes -- 16.1 General Framework -- 16.2 European Options And Fourier Transform -- 17 Monte Carlo -- 17.1 Method -- 17.2 Random Numbers -- 17.3 Path Construction For Brownian Motion -- 17.4 Discretization -- 17.5 Greeks -- 17.6 Variance Reduction -- 18 Gauss -- 18.1 Brownian Motion -- 18.2 Black-Scholes -- 18.3 Barrier -- 18.4 Outside Barrier -- 18.5 Useful Integrals -- Notation -- References.
Summary: "Since the development of the Black Scholes model, research on equity derivatives has evolved rapidly - to the point where it is now difficult to cut through the myriad of literature to find relevant material. Written by an experienced practitioner and acknowledged authority on quantitative equity research, this book provides an up-to-date account of equity and equity-hybrid (equity-rates, equity-credit, equity-foreign exchange) derivatives modeling from a practitioner's perspective. The content reflects the requirements of practitioners in financial institutions: Quants will find a survey of state of the art models and guidance on how to efficiently implement them with regards to market data representation, calibration and sensitivity computation. Traders and structurers will learn about structured products, selection of most appropriate models as well as efficient hedging methods while risk managers will better understand market, credit and model risk and find valuable information on advanced correlation concepts.Equity Derivatives and Hybrids provides exhaustive coverage of both market standard and new approaches, including: Empirical properties of stock returns including autocorrelation and jumpsDividend discount modelsNon-Markovian and discrete time volatility processesCorrelation skew modeling via copula as well as local and stochastic correlation factorsHybrid modeling covering local and stochastic processes for interest rate, hazard rate and volatility as well as closed form solutions Credit, debt and funding valuation adjustment (CVA, DVA, FVA) Monte Carlo techniques for sensitivities including algorithmic differentiation, path recycling as well as multilevelWritten in a highly accessible manner with examples, applications, research and ideas throughout it, this book provides a valuable resource for quantitative-minded practitioners and researchers everywhere. "--
List(s) this item appears in: New Additions May-June 2019
Tags from this library: No tags from this library for this title. Log in to add tags.
Item type Current location Call number Status Date due Barcode Item holds
Books Books Mahatma Gandhi University Library
General Stacks
332.645 7 Q6 (Browse shelf) Available 59743
Total holds: 0

Includes index.

Machine generated contents note: -- 1 Empirical Evidence -- 1.1 Distribution -- 1.2 Drift -- 1.3 Autocorrelation -- 1.4 Jumps -- 2 Equity Derivatives Market -- 2.1 Underlyings -- 2.2 Dividends -- 2.3 Repo Rate -- 2.4 Delta One Products -- 2.5 Vanilla Options -- 3 Exotic Equity Derivatives -- 3.1 Barriers -- 3.2 Cliquets -- 3.3 Asians -- 3.4 Compound -- 3.5 Lookback -- 3.6 Autocallable -- 3.7 Volatility Products -- 3.8 Multi Asset Products -- 3.9 Dynamic Strategies -- 3.10 Dividend Products -- 4 Implied Volatility -- 4.1 Skew Parameterization -- 4.2 Tail Behaviour -- 4.3 Time Dependence -- 5 Dividends -- 5.1 Forward -- 5.2 Proportional Dividends -- 5.3 Deterministic Dividends -- 5.4 Affine Models -- 5.5 Dividend Discount Models -- 5.6 Stochastic Dividend Yield -- 5.7 Stochastic Hazard And Interest Rates -- 5.8 Variance Swap -- 6 Short Volatility Models -- 6.1 Local Volatility -- 6.2 Stochastic Volatility -- 6.3 Local Stochastic Volatility -- 6.4 Jump Diffusion -- 6.5 Non-Markovian Models -- 6.6 Calibration And Hedging Stochastic Volatility -- 7 Implied Volatility Dynamics -- 7.1 Implied Volatility Delta -- 7.2 Forward Volatility -- 7.3 Modelling Implied Volatility -- 7.4 Discrete Time Models -- 8 Correlation -- 8.1 Implied Correlation -- 8.2 Correlation Term Structure -- 8.3 Decorrelation -- 8.4 Langnau's Local Correlation -- 8.5 Stochastic Correlation -- 9 Copulas -- 9.1 Definition -- 9.2 Dependence Measures -- 9.3 Archimedean Copulas -- 9.4 Marshall-Olkin Copula -- 9.5 T-Copula -- 9.6 Factor Copula -- 9.7 Convex Combination -- 9.8 Model Independent Arbitrage Bounds -- 9.9 Gauss Copula Model -- 10 Fixed Income -- 10.1 Market -- 10.2 Short Rate -- 10.3 Heath-Jarrow-Morton -- 10.4 Hull-White -- 10.5 Cox-Ingersoll-Ross -- 10.6 Markov Functional -- 11 Equity-Interest Rate Hybrids -- 11.1 Constant Equity Volatility -- 11.2 Gauss Copula -- 11.3 Local Equity Volatility -- 11.4 Stochastic Equity Volatility -- 11.5 Dynamic Hedging Of Variance Swaps -- 12 Credit -- 12.1 Market -- 12.2 Reduced Form Models -- 12.3 Structural Models -- 12.4 Portfolio Credit Derivatives -- 13 Defaultable Equity -- 13.1 Reduced Form Models -- 13.2 Structural Models -- 14 Counterparty Credit Risk -- 14.1 Sources Of Credit Risk -- 14.2 Credit Valuation Adjustment -- 14.3 Wrong Way Risk -- 14.4 Structural Models -- 14.5 Reduced Form Models -- 14.6 Funding Valuation Adjustment -- 15 Foreign Exchange -- 15.1 Cross Currency Basis Swap -- 15.2 Market Smile -- 15.3 Vanna-Volga Approach -- 15.4 Models -- 15.5 Quanto Options -- 15.6 Government Intervention -- 16 Affine Processes -- 16.1 General Framework -- 16.2 European Options And Fourier Transform -- 17 Monte Carlo -- 17.1 Method -- 17.2 Random Numbers -- 17.3 Path Construction For Brownian Motion -- 17.4 Discretization -- 17.5 Greeks -- 17.6 Variance Reduction -- 18 Gauss -- 18.1 Brownian Motion -- 18.2 Black-Scholes -- 18.3 Barrier -- 18.4 Outside Barrier -- 18.5 Useful Integrals -- Notation -- References.

"Since the development of the Black Scholes model, research on equity derivatives has evolved rapidly - to the point where it is now difficult to cut through the myriad of literature to find relevant material. Written by an experienced practitioner and acknowledged authority on quantitative equity research, this book provides an up-to-date account of equity and equity-hybrid (equity-rates, equity-credit, equity-foreign exchange) derivatives modeling from a practitioner's perspective. The content reflects the requirements of practitioners in financial institutions: Quants will find a survey of state of the art models and guidance on how to efficiently implement them with regards to market data representation, calibration and sensitivity computation. Traders and structurers will learn about structured products, selection of most appropriate models as well as efficient hedging methods while risk managers will better understand market, credit and model risk and find valuable information on advanced correlation concepts.Equity Derivatives and Hybrids provides exhaustive coverage of both market standard and new approaches, including: Empirical properties of stock returns including autocorrelation and jumpsDividend discount modelsNon-Markovian and discrete time volatility processesCorrelation skew modeling via copula as well as local and stochastic correlation factorsHybrid modeling covering local and stochastic processes for interest rate, hazard rate and volatility as well as closed form solutions Credit, debt and funding valuation adjustment (CVA, DVA, FVA) Monte Carlo techniques for sensitivities including algorithmic differentiation, path recycling as well as multilevelWritten in a highly accessible manner with examples, applications, research and ideas throughout it, this book provides a valuable resource for quantitative-minded practitioners and researchers everywhere. "--

There are no comments for this item.

Log in to your account to post a comment.

M.G University Library, Priyadarshini Hills P.O, Kottayam- 686 560
Ph: 0481-2731018 | http://library.mgu.ac.in
Powered by Koha