標(biāo)題: Titlebook: Equity Derivatives and Hybrids; Markets, Models and Oliver Brockhaus Book 2016 The Editor(s) (if applicable) and The Author(s) 2016 equiti [打印本頁] 作者: calcification 時間: 2025-3-21 19:47
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作者: 華而不實 時間: 2025-3-21 23:10 作者: flex336 時間: 2025-3-22 02:54 作者: Arthr- 時間: 2025-3-22 04:58
Applying Molecular and Materials Modelingng the use of single curve modelling has become more complicated since effects such as liquidity, funding costs, credit risk and collateral agreements can no longer be ignored. However, arguably, this complicates the nature of fixed income underlyings rather than creates new ones.作者: condemn 時間: 2025-3-22 09:12
Serhat Yarat,Sibel Senan,Zeynep Ormanity returns or through a combination of both. Additionally, the volatility process and the return distributions may exhibit jumps. Stochastic volatility models are incomplete and not Markovian in the filtration generated by the stock process. Calibration of stochastic volatility (or indeed any) model to the Vanilla market has an impact on hedging.作者: STALE 時間: 2025-3-22 16:43 作者: STALE 時間: 2025-3-22 18:41
Empirical Evidence,ttempting to model the underlying for the risk management of derivatives. Derivatives often depend on one or more closing prices within a time period ranging from few months up to several years. Thus the focus in this chapter is a time series of closing prices, although the methods can also be applied to higher frequency data.作者: beta-cells 時間: 2025-3-23 00:26 作者: Veneer 時間: 2025-3-23 04:49 作者: Incise 時間: 2025-3-23 06:42 作者: 整頓 時間: 2025-3-23 10:52
https://doi.org/10.1007/978-3-031-42375-8Introducing a knock-out barrier reduces the price of a Vanilla option. An investor may be willing to take the risk of the underlying trading at the barrier level against this sure profit. This will be the case especially if gains on the remaining portfolio offset any losses due a barrier event.作者: irradicable 時間: 2025-3-23 14:40
Nancy Arden McHugh,Corina ClevelandIn equities markets one has a set of bid and offer market prices for out-of-the-money call and put options on a given underlying. These options may be European or American.作者: Asperity 時間: 2025-3-23 20:29 作者: ANA 時間: 2025-3-23 23:51
https://doi.org/10.1007/978-3-319-54696-4Copulas have many applications within financial modelling, including the repre-sentation of the joint distribution of作者: 尊重 時間: 2025-3-24 02:27 作者: 違反 時間: 2025-3-24 08:52
Measuring Personal Network Size in RDS,Derivatives that require incorporation of default of the underlying’s issuer include derivatives on single stock, in particular convertible bonds.作者: Nmda-Receptor 時間: 2025-3-24 12:33
https://doi.org/10.1007/978-3-030-82642-0Since the Lehman default on September 15, 2008 the credit quality of issuers of retail products has received much attention. Arguably, the largest losses to institutions during the crisis were due to credit value adjustment (CVA) rather than to actual default.作者: Salivary-Gland 時間: 2025-3-24 14:53
https://doi.org/10.1007/978-3-7908-1752-2Foreign exchange rates are defined by both domestic and foreign currency. These concepts are symmetric in the sense that for a foreign investor my domestic currency is her foreign currency. For example, a European investor may buy 1$ at today’s exchange rate of 0.75€.作者: NOMAD 時間: 2025-3-24 21:56
Recent Developments in Equating,Closed form pricing via Fourier transform methods is the basis for many stochastic volatility models. A general framework has been formulated by Duffie, Pan and Singleton (2000). 作者: 他去就結(jié)束 時間: 2025-3-25 00:31
Wise Reasoning in an Uncertain World,This chapter collects (and derives) closed form formulae for integrals related to Brownian motion for reference elsewhere in the book. It includes Black-Scholes and Bachelier formulae, as well as a range of barrier products.作者: conservative 時間: 2025-3-25 04:42
Exotic Equity Derivatives,Introducing a knock-out barrier reduces the price of a Vanilla option. An investor may be willing to take the risk of the underlying trading at the barrier level against this sure profit. This will be the case especially if gains on the remaining portfolio offset any losses due a barrier event.作者: 顯示 時間: 2025-3-25 10:39 作者: 繁忙 時間: 2025-3-25 15:31
Dividends,One of the attractive features of stocks is that the holder is entitled to dividends. Dividend levels, payment and ex-dates are typically stable and known in advance but are sometimes adjusted by the board of management.作者: Occupation 時間: 2025-3-25 17:27
Copulas,Copulas have many applications within financial modelling, including the repre-sentation of the joint distribution of作者: 類人猿 時間: 2025-3-25 23:07
Fixed Income,Fixed income is at the core of financial modelling. Before considering assets such as stocks, currencies, commodities or credit events it is necessary to value future cash flows.作者: 油氈 時間: 2025-3-26 02:59
Defaultable Equity,Derivatives that require incorporation of default of the underlying’s issuer include derivatives on single stock, in particular convertible bonds.作者: exacerbate 時間: 2025-3-26 08:00 作者: 有偏見 時間: 2025-3-26 08:47
Foreign Exchange,Foreign exchange rates are defined by both domestic and foreign currency. These concepts are symmetric in the sense that for a foreign investor my domestic currency is her foreign currency. For example, a European investor may buy 1$ at today’s exchange rate of 0.75€.作者: 強制性 時間: 2025-3-26 13:55
Affine Processes,Closed form pricing via Fourier transform methods is the basis for many stochastic volatility models. A general framework has been formulated by Duffie, Pan and Singleton (2000). 作者: preservative 時間: 2025-3-26 18:43
Gauss,This chapter collects (and derives) closed form formulae for integrals related to Brownian motion for reference elsewhere in the book. It includes Black-Scholes and Bachelier formulae, as well as a range of barrier products.作者: sulcus 時間: 2025-3-27 00:36 作者: evaculate 時間: 2025-3-27 01:10
Applying Molecular and Materials Modelingng the use of single curve modelling has become more complicated since effects such as liquidity, funding costs, credit risk and collateral agreements can no longer be ignored. However, arguably, this complicates the nature of fixed income underlyings rather than creates new ones.作者: 方便 時間: 2025-3-27 05:36 作者: heterodox 時間: 2025-3-27 11:29
https://doi.org/10.1057/9781137033642pidly than volatility skew and volatilities being more volatile than dividend forecasts. Hedging performance can be improved by assuming a link between different market parameters, see Andreasen and Huge (2014). For example, when calculating a price with a new spot, or computing the sensitivity to a作者: mendacity 時間: 2025-3-27 14:02 作者: 使習(xí)慣于 時間: 2025-3-27 18:28
Philip Osborne,Kajal Singh,Matthew E. Taylort advanced yield curve dynamics is often combined with simplified foreign exchange smile dynamics. In the equity context the aim is to extend smile consistent models to the stochastic interest rate case. Interest rates dynamics is often limited to single-factor short rate models, such as Hull-White’作者: zonules 時間: 2025-3-28 00:36 作者: 裂縫 時間: 2025-3-28 02:10
https://doi.org/10.1007/978-3-031-56630-1s are limited to specific products and models. Closed form solutions are available primarily for European options and affine models as discussed in Chapters 11 and 16. For log-normal assets (approximate) formulae are also known for barrier products, as well as basket and Asian products, see Sections作者: 易彎曲 時間: 2025-3-28 08:14
The Editor(s) (if applicable) and The Author(s) 2016作者: Graduated 時間: 2025-3-28 10:40
Equity Derivatives and Hybrids978-1-137-34949-1Series ISSN 2947-700X Series E-ISSN 2947-7018 作者: 粗糙 時間: 2025-3-28 17:18
Empirical Evidence,ttempting to model the underlying for the risk management of derivatives. Derivatives often depend on one or more closing prices within a time period ranging from few months up to several years. Thus the focus in this chapter is a time series of closing prices, although the methods can also be appli作者: 賠償 時間: 2025-3-28 20:06
Equity Derivatives Market,ng the use of single curve modelling has become more complicated since effects such as liquidity, funding costs, credit risk and collateral agreements can no longer be ignored. However, arguably, this complicates the nature of fixed income underlyings rather than creates new ones.作者: artless 時間: 2025-3-28 23:59
Short Volatility Models,ity returns or through a combination of both. Additionally, the volatility process and the return distributions may exhibit jumps. Stochastic volatility models are incomplete and not Markovian in the filtration generated by the stock process. Calibration of stochastic volatility (or indeed any) mode作者: 按時間順序 時間: 2025-3-29 07:07 作者: NADIR 時間: 2025-3-29 09:25 作者: SAGE 時間: 2025-3-29 13:23 作者: Licentious 時間: 2025-3-29 17:25
Credit,ted to the underlyings. In this section the focus is on modelling default times in the context of credit derivatives. Default of the underlying in the case of equity derivatives is discussed in Chapter 13, while counterparty default is covered in Chapter 14.作者: vasospasm 時間: 2025-3-29 22:51 作者: Rheumatologist 時間: 2025-3-30 01:28 作者: insolence 時間: 2025-3-30 06:21 作者: 道學(xué)氣 時間: 2025-3-30 10:56
https://doi.org/10.1057/9781137033642ected dividends in the same direction. Thus, a delta hedge also hedges part of vega if stock and volatility are correlated. If delta and vega are hedged separately one has to be careful not to double count vega exposure. This section discusses pricing approaches assuming a spot move but no new volatility information.作者: 無可非議 時間: 2025-3-30 12:54
Implied Volatility Dynamics,ected dividends in the same direction. Thus, a delta hedge also hedges part of vega if stock and volatility are correlated. If delta and vega are hedged separately one has to be careful not to double count vega exposure. This section discusses pricing approaches assuming a spot move but no new volatility information.作者: 造反,叛亂 時間: 2025-3-30 20:01
Monte Carlo, 3.1, 3.3 and 3.8. Finite difference, including tree methods, are important for products with early exercise features, such as American options and convertible bonds. For path-dependent and multi-asset products these methods are of limited use due to the high dimensionality of the state space.作者: 四指套 時間: 2025-3-30 23:53
Book 2016ough the myriad of literature to find relevant material. Written by a quant with many years of experience in the field 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. T作者: Lipoprotein(A) 時間: 2025-3-31 02:31 作者: Geyser 時間: 2025-3-31 08:01 作者: 乞討 時間: 2025-3-31 12:24
Philip Osborne,Kajal Singh,Matthew E. Taylornsistent models to the stochastic interest rate case. Interest rates dynamics is often limited to single-factor short rate models, such as Hull-White’s extension of the Vasicek model or the Cox-Ingersoll-Ross square root process, discussed in Sections 10.4 and 10.5.作者: 譏諷 時間: 2025-3-31 15:59
Correlation,. Index exposure will be hedged with indices rather than component stocks. If only Vanilla options are traded this is a valid approach and there is no correlation exposure. Forward discrepancies between index and sum of stocks will typically be small and can be attributed to market inefficiencies.作者: OFF 時間: 2025-3-31 21:32
Equity-interest Rate Hybrids,nsistent models to the stochastic interest rate case. Interest rates dynamics is often limited to single-factor short rate models, such as Hull-White’s extension of the Vasicek model or the Cox-Ingersoll-Ross square root process, discussed in Sections 10.4 and 10.5.作者: Dungeon 時間: 2025-4-1 01:08 作者: 詩集 時間: 2025-4-1 02:20
Lloyd E. Ambrosiuse orderings were studied recently in several papers and some of the algorithmic consequences of such orderings were given..The aim of this paper is a .. These orderings are useful especially for dominating-like problems (including Steiner tree) and distance problems. Many problems efficiently solvab作者: 刺激 時間: 2025-4-1 10:01 作者: 五行打油詩 時間: 2025-4-1 12:22 作者: 歸功于 時間: 2025-4-1 16:10 作者: profligate 時間: 2025-4-1 19:50
