Derivatives, w. CD-ROM - The theory and practice of financial engineering

Diese erste umfassende Analyse aller Aspekte der Derivate setzt keine detaillierte Kenntnis der Finanzmärkte voraus: In jedem Kapitel wird der Leser zunächst mit dem diskutierten Marktsegment oder Produkt vertraut gemacht, bevor einfache mathematische Ansätze und Aspekte der Praxis diskutiert werden. Die übersichtliche Strukturierung der Kapitel, die Aufnahme von Visual-Basic-Quelltexten sowie Literaturhinweise und Übungen am Ende jedes Kapitels runden den Text didaktisch geschickt ab. (07/98)

Sommario

BASIC THEORY OF DERIVATIVES.Products and Markets.Derivatives.The Random Behavior of Assets.Elementary Stochastic Calculus.The Black-Scholes Model.Partial Differential Equations.The Black-Scholes Formulae and the 'Greeks'.Simple Generalizations of the Black-Scholes World.Early Exercise and American Options.Probability Density Functions and First Exit Times.Multi-asset Options.The Binomial Model.PATH DEPENDENCY.An Introduction to Exotic and Path-dependent Options.Barrier Options.Strongly Path-dependent Options.Asian Options.Lookback Options.Miscellaneous Exotics.EXTENDING BLACK-SCHOLES.Defects in the Black-Scholes Model.Discrete Hedging.Transaction Costs.Volatility Smiles and Surfaces.Stochastic Volatility.Uncertain Parameters.Empirical Analysis of Volatility.Jump Diffusion.Crash Modeling.Speculating with Options.The Feedback Effect of Hedging in Illiquid Markets.Static Hedging.INTEREST RATES AND PRODUCTS.Fixed-income Products and Analysis: Yield, Duration and Convexity.Swaps.One-factor Interest Rate Modeling.Yield Curve Fitting.Interest Rate Derivatives.Convertible Bonds.Two-factor Interest Rate Modeling.Empirical Behavior of the Spot Interest Rate.Heath, Jarrow and Morton.Interest-rate Modeling Without Probabilities.RISK MEASUREMENT AND MANAGEMENT.Portfolio Management.Value at Risk.Credit Risk.Credit Derivatives.RiskMetrics, CreditMetrics and CrashMetrics.NUMERICAL METHODS.Finite-difference Methods for One-factor Models.Further Finite-difference Methods for One-factor Models.Finite-difference Methods for Two-factor Models.Monte Carlo Simulation and Related Methods.Finite-difference Programs.Epilog.Bibliography.Index.

Info autore

Paul Wilmott , described by the Financial Times as cult derivatives lecturer, is one of the world's leading experts on quantitative finance and derivatives. He is the proprietor of an innovative magazine on quantitative finance and a highly popular community website. He is the principal of the financial consultancy and training firm, Wilmott Associates, and the Course Director for the Certificate in Quantitative Finance. He has researched and published widely on financial engineering.

Relazione

"The longest and most inclusive book ever written about derivatives - a necessary reference for serious derivatives students." - Mark Rubinstein, Paul Stephens Professor of Applied Investment Analysis, University of California at Berkeley. "Likely to become the bible of financial engineering." - Philippe Jorion, Professor of Finance, Graduate School of Management, University of California-Irvine "Paul Wilmott is the Carl Sagan of quantitative finance... a brilliant academic and researcher. His latest book is a mammoth undertaking... a book worth writing and a book worth reading... I have no hesitation commending it to a wide spectrum of readers." - Rudi Bogni, Chief Executive, Private Banking, and Member of the Group Executive Board, UBS "Derivatives is a monumental achievement. Paul Wilmott uses his deep knowledge of key mathematical concepts and his practical Wall Street experience to produce an authoritative book on financial mathematics. This is a stimulating book with many motivating examples and exercises based on real-world data and problems." - Richard Skora, President, Skora&Company Incorporated "Just what I would have expected from an immensely talented individual. An authoritative, friendly guide to the complex world of derivative analysis." - Edmond Levy, Specialized Derivatives Group, HSBC Midland "Paul Wilmott's book provides a refreshing look at option pricing. His views are always interesting, often original, sometimes provocative." - Riccardo Rebonato, Director and Head of Research at Barclays Capital "As good as Paul Wilmott is as a teacher of accurate pricing methods for finance, he is obviously not a very good student as he has completely under-priced his book! A book of this breadth and depth which is not merely a regurgitation of work published by others but contains truly original research is cheap at double the price." - Keesup Choe, Head of Arbitrage, Nomura International "Wilmott... knows what it takes to be both comprehensive and pedagogical. Even though he is a mathematician by training he hasthis rare skill to correctly twist the maths until they confess the underlying economics. Read this book and you'll be converted!" - Eric Briys, International Fixed Income Research, Lehman Brothers "I have read with great pleasure this new book by Paul Wilmott who, once again, has produced a 'classic' in the field!... The style is pedagogical and yet very lively and easygoing. As only great teachers can, Wilmott makes even the most abstruse mathematics seem easy and intuitive. I will gladly recommend this book to graduate students and professionals in the field." - Marco Avellaneda, Professor of Mathematics and Director, Division of Quantitative Finance, Courant Institute of Mathematical Science, New York University.

Dettagli sul prodotto

• Autori: Paul Wilmott
• Editore: Wiley & Sons
• Lingue: Inglese
• Formato: Tascabile
• Pubblicazione: 01.01.1998
• EAN: 9780471983668
• ISBN: 978-0-471-98366-8
• Pagine: 739
• Peso: 1556 g
• Illustrazioni: w. figs.
• Categoria: Scienze sociali, diritto, economia > Economia > Singoli rami economici, branche