Financial Modelling: Theory, Implementation and Practice (With Matlab Source)

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9780470744895: Financial Modelling: Theory, Implementation and Practice (With Matlab Source)

Financial Modelling - Theory, Implementation and Practice is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving prices and Greeks using (semi-) analytic and simulation techniques, and calibration even for exotic options.

The book is split into three parts. The first part considers financial markets in general and looks at the complex models needed to handle observed structures, reviewing models based on diffusions including stochastic-local volatility models and (pure) jump processes. It shows the possible risk neutral densities, implied volatility surfaces, option pricing and typical paths for a variety of models including SABR, Heston, Bates, Bates-Hull-White, Displaced-Heston, or stochastic volatility versions of Variance Gamma, respectively Normal Inverse Gaussian models and finally, multi-dimensional models. The stochastic-local-volatility Libor market model with time-dependent parameters is considered and as an application how to price and risk-manage CMS spread products is demonstrated.

The second part of the book deals with numerical methods which enables the reader to use the models of the first part for pricing and risk management, covering methods based on direct integration and Fourier transforms, and detailing the implementation of the COS, CONV, Carr-Madan method or Fourier-Space-Time Stepping. This is applied to pricing of European, Bermudan and exotic options as well as the calculation of the Greeks. The Monte Carlo simulation technique is outlined and bridge sampling is discussed in a Gaussian setting and for Levy processes. Computation of Greeks is covered using likelihood ratio methods and adjoint techniques. A chapter on state-of-the-art optimization algorithms rounds up the toolkit for applying advanced mathematical models to financial problems and the last chapter in this section of the book also serves as an introduction to model risk.

The third part is devoted to the usage of Matlab, introducing the software package by describing the basic functions applied for financial engineering. The programming is approached from an object-oriented perspective with examples to propose a framework for calibration, hedging and the adjoint method for calculating Greeks in a Libor Market model.

Source code used for producing the results and analysing the models is provided on the author s dedicated website, http://www.mathworks.de/matlabcentral/fileexchange/authors/246981

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

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1.

Joerg Kienitz (Deutsche Postbank AG); Daniel Wetterau
Editore: John Wiley and Sons
ISBN 10: 0470744898 ISBN 13: 9780470744895
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Descrizione libro John Wiley and Sons. Condizione libro: New. Brand New. Codice libro della libreria 0470744898

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Joerg Kienitz, Daniel J. Duffy, Daniel Wetterau
Editore: John Wiley and Sons Ltd, United Kingdom (2013)
ISBN 10: 0470744898 ISBN 13: 9780470744895
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2013. Hardback. Condizione libro: New. 1. Auflage. 252 x 178 mm. Language: English . Brand New Book. Financial Modelling - Theory, Implementation and Practice is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving prices and Greeks using (semi-) analytic and simulation techniques, and calibration even for exotic options. The book is split into three parts. The first part considers financial markets in general and looks at the complex models needed to handle observed structures, reviewing models based on diffusions including stochastic-local volatility models and (pure) jump processes. It shows the possible risk neutral densities, implied volatility surfaces, option pricing and typical paths for a variety of models including SABR, Heston, Bates, Bates-Hull-White, Displaced-Heston, or stochastic volatility versions of Variance Gamma, respectively Normal Inverse Gaussian models and finally, multi-dimensional models. The stochastic-local-volatility Libor market model with time-dependent parameters is considered and as an application how to price and risk-manage CMS spread products is demonstrated. The second part of the book deals with numerical methods which enables the reader to use the models of the first part for pricing and risk management, covering methods based on direct integration and Fourier transforms, and detailing the implementation of the COS, CONV, Carr-Madan method or Fourier-Space-Time Stepping. This is applied to pricing of European, Bermudan and exotic options as well as the calculation of the Greeks. The Monte Carlo simulation technique is outlined and bridge sampling is discussed in a Gaussian setting and for Levy processes. Computation of Greeks is covered using likelihood ratio methods and adjoint techniques. A chapter on state-of-the-art optimization algorithms rounds up the toolkit for applying advanced mathematical models to financial problems and the last chapter in this section of the book also serves as an introduction to model risk. The third part is devoted to the usage of Matlab, introducing the software package by describing the basic functions applied for financial engineering. The programming is approached from an object-oriented perspective with examples to propose a framework for calibration, hedging and the adjoint method for calculating Greeks in a Libor Market model. Source code used for producing the results and analysing the models is provided on the author s dedicated website, Codice libro della libreria AAH9780470744895

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Joerg Kienitz, Daniel J. Duffy, Daniel Wetterau
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ISBN 10: 0470744898 ISBN 13: 9780470744895
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2013. Hardback. Condizione libro: New. 1. Auflage. 252 x 178 mm. Language: English . Brand New Book. Financial Modelling - Theory, Implementation and Practice is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving prices and Greeks using (semi-) analytic and simulation techniques, and calibration even for exotic options. The book is split into three parts. The first part considers financial markets in general and looks at the complex models needed to handle observed structures, reviewing models based on diffusions including stochastic-local volatility models and (pure) jump processes. It shows the possible risk neutral densities, implied volatility surfaces, option pricing and typical paths for a variety of models including SABR, Heston, Bates, Bates-Hull-White, Displaced-Heston, or stochastic volatility versions of Variance Gamma, respectively Normal Inverse Gaussian models and finally, multi-dimensional models. The stochastic-local-volatility Libor market model with time-dependent parameters is considered and as an application how to price and risk-manage CMS spread products is demonstrated. The second part of the book deals with numerical methods which enables the reader to use the models of the first part for pricing and risk management, covering methods based on direct integration and Fourier transforms, and detailing the implementation of the COS, CONV, Carr-Madan method or Fourier-Space-Time Stepping. This is applied to pricing of European, Bermudan and exotic options as well as the calculation of the Greeks. The Monte Carlo simulation technique is outlined and bridge sampling is discussed in a Gaussian setting and for Levy processes. Computation of Greeks is covered using likelihood ratio methods and adjoint techniques. A chapter on state-of-the-art optimization algorithms rounds up the toolkit for applying advanced mathematical models to financial problems and the last chapter in this section of the book also serves as an introduction to model risk. The third part is devoted to the usage of Matlab, introducing the software package by describing the basic functions applied for financial engineering. The programming is approached from an object-oriented perspective with examples to propose a framework for calibration, hedging and the adjoint method for calculating Greeks in a Libor Market model. Source code used for producing the results and analysing the models is provided on the author s dedicated website, Codice libro della libreria AAH9780470744895

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Joerg Kienitz
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Descrizione libro John Wiley and#38; Sons, 2012. HRD. Condizione libro: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Codice libro della libreria FW-9780470744895

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Joerg Kienitz, Daniel Wetterau
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ISBN 10: 0470744898 ISBN 13: 9780470744895
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Descrizione libro John Wiley & Sons 2012-09-21, 2012. Condizione libro: New. Brand new book, sourced directly from publisher. Dispatch time is 24-48 hours from our warehouse. Book will be sent in robust, secure packaging to ensure it reaches you securely. Codice libro della libreria NU-LBR-01111563

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Joerg Kienitz, Daniel J. Duffy, Daniel Wetterau
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Descrizione libro John Wiley and Sons Ltd 2012-09-21, Chichester, 2012. hardback. Condizione libro: New. Codice libro della libreria 9780470744895

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Descrizione libro 2012. Hardcover. Condizione libro: New. 1st. 249mm x 176mm x. Hardcover. Theory, Implementation and Practice. * The book enables the reader to model, design and implement a range of financial models for derivatives pricing and asset allocation.Shipping may be from multiple locations in the US or from the UK, depending on stock availability. 734 pages. 1.386. Codice libro della libreria 9780470744895

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Descrizione libro Wiley John & Sons Okt 2012, 2012. Buch. Condizione libro: Neu. 251x176x45 mm. Neuware - 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. 734 pp. Englisch. Codice libro della libreria 9780470744895

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Descrizione libro Wiley John + Sons, 2012. Condizione libro: New. Codice libro della libreria L9780470744895

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Descrizione libro Wiley, 2013. Hardcover. Condizione libro: New. book. Codice libro della libreria 0470744898

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