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Riassunto: This book brings together classic papers on derivatives theory and implementation written by Professor John Hull and Alan White of the University of Toronto. The authors are two of the derivative industry's leading experts and together created the standard Hull-White model for pricing interest rate options. Professor Hull and White have provided introductions for each of the book's five main sections, clarifying the importance of each chapter to industry practitioners. Parts I and II provide you with a comprehensive treatment of stochastic volatility and its effect on option pricing and hedging, and describe some of the best numerical procedures for valuing derivatives. Part III looks at how to approach a key concern in the derivatives industry today - the assessment and valuation of the credit risk generated by derivatives portfolios. The final two sections offer an expansive treatment of the Hull-White approach to modeling the yield curve and valuing interest rate derivatives. With full explanations of both the theoretical background, and the necessary numerical procedures for implementing one- and two-factor models - essential reading for all those involved in the interest rate markets.
L'autore: John Hull is a professor of finance at the University of Toronto, and has written widely in the area of derivative securities. Recently, his research has focused on the valuation and hedging of interest rate options and on credit risk issues. He was, with Alan White, one of the winners of the Nikko-LOR research competition for his work on interest rate derivatives. He has acted as consultant to many North American and European financial institutions and has written two successful books: Options, Futures, and Other Derivative Securities and Introduction to Futures and Options Markets. John Hull is an Associate Editor of the Journal of Financial & Quantitative Analysis, Journal of Derivatives, Applied Mathematical Finance, Journal of Financial Engineering, Derivates Use, Trading & Regulation and the Review of Derivatives Research. Alan White is a professor of finance at the University of Toronto, and has published many articles on derivatives-related topics in both practitioner and academic journals. His research has included the pricing of derivative securities and their use by financial institutions for risk management. More recently, his research has focused on modelling the term structure of interest rates in a way that is consistent with observed market data. This work has found application with many money-centre banks involved in the trading of interest rate options and other similar securities. Other current research examines the pricing and hedging of credit risk, and the valuation of path-dependent securities such as indexed amortizing interest-rate swaps. Alan White is an Associate Editor of the Journal of Financial & Quantitative Analysis and the Journal of Derivatives.
Condizione libro: New
Descrizione libro Risk Books, 1996. Condizione libro: Good. 1st Edition. N/A. Shows some signs of wear, and may have some markings on the inside. Codice libro della libreria GRP94115752
Descrizione libro Risk Books. Paperback. Condizione libro: VERY GOOD. Cover and pages show some wear from reading and storage. May have light creases on the cover and binding. Some pages may contain writing and or highlighting. Codice libro della libreria 2713433455
Descrizione libro Risk Books, 1996. Paperback. Condizione libro: Good. Item may show signs of shelf wear. Pages may include limited notes and highlighting. Includes supplemental or companion materials if applicable. Access codes may or may not work. Connecting readers since 1972. Customer service is our top priority. Codice libro della libreria mon0000609599
Descrizione libro Risk Books, 1996. Paperback. Condizione libro: Used: Good. 1. Codice libro della libreria SONG1899332456
Descrizione libro Risk Books, London, United Kingdom, 1996. Hardcover. Condizione libro: Fine. The book looks like new, unread and clean. Edges are sharp and fine. No tears or creases. No stains, writing or reminder marks. The binding is straight and tight. The book itself is very nice.This book brings together classic papers on derivatives theory and implementation. Codice libro della libreria 006876
Descrizione libro London : Risk Publ., 1996. 17 x 24 cm Originalkartoniert. blauer kartonierter, gebundner Einband mit Schutzumschlag; neuwertiges Exemplar miteinigen graph. Darstellungen - in excellent condition with some illustrations 356 Seiten / pages Englisch 1g. Codice libro della libreria 105987
Descrizione libro Risk Books, 1996. Paperback. Condizione libro: Good. Good condition, some are ex-library and can have markings. Codice libro della libreria GD-186-65-8710818
Descrizione libro Risk Books, 1996. Paperback. Condizione libro: Very Good. Very good. Codice libro della libreria HH-186-65-8710818
Descrizione libro Risk Books, 1996. Paperback. Condizione libro: New. Codice libro della libreria P111899332456
Descrizione libro Risk Books. Paperback. Condizione libro: new. BRAND NEW, Hull-White on Derivatives, John Hull, Alan White, This text provides an in-depth look at the impact of stochastic volatility on the pricing and hedging of options. It also examines how trees and lattices provide an alternative to the more complicated implicit finite difference method when valuing derivative instruments. Codice libro della libreria B9781899332458