Equity Hybrid Derivatives [Marcus Overhaus, Ana Bermudez, Hans Buehler, Andrew Ferraris, Christopher Jordinson, Aziz Lamnouar] on portal7.info *FREE *. Included format: EPUB, PDF; ebooks can be used on all reading devices Equity Derivatives and Hybrids provides exhaustive coverage of both market correlation factors -Hybrid modeling covering local and stochastic processes for. HYBRIDS. ○. The need for modeling interest rates within an equity product. ○. Popular interest rate models in the equity derivatives world. ○. Common EQ-FI.
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Take an in-depth look at equity hybrid derivatives. Written by the quantitative research team of Deutsche Bank, the world leader in innovative. Equity Hybrid Derivatives Marcus Overhaus, Ana Bermudez, Hans Buehler, Andrew Christopher Jordinson, Aziz Lamnouar Free PDF d0wnl0ad, audio books. Since the development of the Black-Scholes model, research on equity derivatives has evolved rapidly to the point where it is now difficult to cut through the.
About this book Introduction Since the development of the Black-Scholes model, research on equity derivatives has evolved rapidly to the point where it is now difficult to cut through 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. The content reflects the requirements of practitioners in financial institutions: Quants will find a survey of state-of-the-art models and guidance on how to efficiently implement them with regards to market data representation, calibration, and sensitivity computation. Traders and structurers will learn about structured products, selection of the most appropriate models, as well as efficient hedging methods while risk managers will better understand market, credit, and model risk and find valuable information on advanced correlation concepts. Equity Derivatives and Hybrids provides exhaustive coverage of both market standard and new approaches, including: -Empirical properties of stock returns including autocorrelation and jumps -Dividend discount models -Non-Markovian and discrete-time volatility processes -Correlation skew modeling via copula as well as local and stochastic correlation factors -Hybrid modeling covering local and stochastic processes for interest rate, hazard rate, and volatility as well as closed form solutions -Credit, debt, and funding valuation adjustment CVA, DVA, FVA -Monte Carlo techniques for sensitivities including algorithmic differentiation, path recycling, as well as multilevel. Written in a highly accessible manner with examples, applications, research, and ideas throughout, this book provides a valuable resource for quantitative-minded practitioners and researchers. Keywords equities equity derivatives hybrid derivatives financial derivatives derivatives financial mathematics dividends stochastic volatility stochastic correlation correlation copulas counterparty credit risk structured products quantitative research financial engineering risk management hedging Monte Carlo credit risk portfolio modelling arbitrage Credit Derivatives Credit Risk Distribution dynamics funding management mathematics merger modeling valuation volatility Bibliographic information Copyright Information The Editor s if applicable and The Author s Publisher Name Palgrave Macmillan, London.
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