Equity Derivatives: Theory and Applications - Rilegato

Ferraris, Andrew; Knudsen, Thomas; Milward, Ross; Nguyen-Ngoc, Laurent; Schindlmayr, Gero; Overhaus, Marcus

Rilegato

ISBN 10: 0471436461 ISBN 13: 9780471436461

Casa editrice: John Wiley & Sons Inc, 2002

Riassunto

Dieses Buch erläutert die aktuellsten Erkenntnisse zu Modellbildung und Hedging bei Aktienderivaten. Anders als vergleichbare Fachbücher, behandelt "Equity Derivatives" Theorie und Praxis in einem ausgewogenen Verhältnis. Zunächst geben die Autoren eine verständliche Einführung in die theoretischen Grundlagen jedes einzelnen Themenbereichs und gehen erst dann mit konkreten Anweisungen und Ratschlägen auf die Anwendung in der Praxis ein. Untersucht werden insbesondere Fondsderivate, die die neueste und am schnellsten wachsende Klasse derivativer Finanzinstrumente bilden sowie aktuelle Entwicklungen im Bereich derivativer Aktienmodelle, Korrellations- und Volatilitätsmodelle. Geschrieben von einem Expertenteam der Deutsche Bank, die international führend ist auf dem Gebiet innovativer Aktienderivate.

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Informazioni sull?autore

MARCUS OVERHAUS, PhD, ANDREW FERRARIS, DPhil, THOMAS KNUDSEN, PhD, ROSS MILWARD, LAURENT NGUYEN-NGOC, PhD, and GERO SCHINDLMAYR, PhD, are members of the quantitative research team of Deutsche Bank's Global Equity Division, which is based in London and headed by Dr. Overhaus.

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Equity derivatives are a continuing success story that offer more flexibility and hedging opportunities than ever before. They comprise one of the most important components of capital markets. For this reason, it is imperative that financial professionals-from risk managers to derivatives traders-understand how equity derivatives are priced, hedged, utilized, and implemented via new technologies.

Written by the quantitative research team of Deutsche Bank, the world leader in equity derivative transactions, Equity Derivatives: Theory and Applications is the definitive reference on the advanced use of these financial instruments. Pushing into new and cutting-edge areas of modeling and hedging, this book provides a balanced, integrated presentation of theory and practice. The theoretical treatment of each new modeling and hedging concept is followed by a demonstration of its practical application. Developments in areas such as equity-linked structures and volatility modeling, and the delivery of pricing over the Internet, are clearly analyzed and presented, using graphs, formulas, and examples that are truly unique to this book.

Each chapter highlights important facets of equity derivatives, including:
* An introduction of probability theory and stochastic calculus that provides the mathematical foundation needed to understand the examples presented
* Pricing and hedging in incomplete markets
* A thorough explanation of Lévy processes and their application to finance, e.g., extended Heston model
* Two-factor finite difference techniques
* In-depth analysis of convertible bonds and the advantages of convertible bond asset swaps

Equity Derivatives: Theory and Applications also covers recent developments and new technologies that are fostering the delivery of pricing and hedging analytics over the Internet and company intranets-from outlining XML, the emerging standard for representing and transmitting various types of data, to the technologies available for distributed computing, namely SOAP and Web services. Not only will you come to learn how systems can be configured to represent financial market data in the context of equity derivatives, you will actually see how these applications function in the real world through vivid examples and illustrations.

No book on equity derivatives brings together the areas of theory and its applications to derivatives pricing and risk management in the way this groundbreaking book does. Take the knowledge and experience of the quantitative research team of Deutsche Bank, and put equity derivatives to work for you.

Dettagli dell?edizione

• Editore: John Wiley & Sons Inc
• Data di pubblicazione: 2002
• Lingua: Inglese
• ISBN 10: 0471436461
• ISBN 13: 9780471436461
• Rilegatura: Copertina rigida
• Numero di pagine: 222
• Redattore: Overhaus Marcus
• Contatto del produttore: non disponibile
• Persona responsabile: non disponibile