Implementing Derivatives Models
Title | Implementing Derivatives Models PDF eBook |
Author | Les Clewlow |
Publisher | |
Pages | 350 |
Release | 1998 |
Genre | Derivative securities |
ISBN |
Implementing Derivatives Models
Title | Implementing Derivatives Models PDF eBook |
Author | Les Clewlow |
Publisher | |
Pages | 309 |
Release | 1998 |
Genre | Derivative securities |
ISBN |
Implementing Derivative Models
Title | Implementing Derivative Models PDF eBook |
Author | Les Clewlow |
Publisher | Wiley |
Pages | 0 |
Release | 1998-06-11 |
Genre | Business & Economics |
ISBN | 9780471966517 |
Ein hochaktueller Text zur Bewertung und Absicherung von Optionen, der Ihnen alle wichtigen numerischen Verfahren zur Optionsmodellierung verständlich nahebringt - ob Monte-Carlo-Simulation, binomische Methode oder Modelle mit Finiten Differenzen. Ein absolutes Muß für alle, die auf dem ständig expandierenden und immer komplexer werdenden Optionsmarkt mithalten wollen. (05/98)
Implementing Models of Financial Derivatives
Title | Implementing Models of Financial Derivatives PDF eBook |
Author | Nick Webber |
Publisher | John Wiley & Sons |
Pages | 772 |
Release | 2011-09-07 |
Genre | Business & Economics |
ISBN | 0470661844 |
Implementing Models of Financial Derivatives is a comprehensive treatment of advanced implementation techniques in VBA for models of financial derivatives. Aimed at readers who are already familiar with the basics of VBA it emphasizes a fully object oriented approach to valuation applications, chiefly in the context of Monte Carlo simulation but also more broadly for lattice and PDE methods. Its unique approach to valuation, emphasizing effective implementation from both the numerical and the computational perspectives makes it an invaluable resource. The book comes with a library of almost a hundred Excel spreadsheets containing implementations of all the methods and models it investigates, including a large number of useful utility procedures. Exercises structured around four application streams supplement the exposition in each chapter, taking the reader from basic procedural level programming up to high level object oriented implementations. Written in eight parts, parts 1-4 emphasize application design in VBA, focused around the development of a plain Monte Carlo application. Part 5 assesses the performance of VBA for this application, and the final 3 emphasize the implementation of a fast and accurate Monte Carlo method for option valuation. Key topics include: ?Fully polymorphic factories in VBA; ?Polymorphic input and output using the TextStream and FileSystemObject objects; ?Valuing a book of options; ?Detailed assessment of the performance of VBA data structures; ?Theory, implementation, and comparison of the main Monte Carlo variance reduction methods; ?Assessment of discretization methods and their application to option valuation in models like CIR and Heston; ?Fast valuation of Bermudan options by Monte Carlo. Fundamental theory and implementations of lattice and PDE methods are presented in appendices and developed through the book in the exercise streams. Spanning the two worlds of academic theory and industrial practice, this book is not only suitable as a classroom text in VBA, in simulation methods, and as an introduction to object oriented design, it is also a reference for model implementers and quants working alongside derivatives groups. Its implementations are a valuable resource for students, teachers and developers alike. Note: CD-ROM/DVD and other supplementary materials are not included as part of eBook file.
Credit Derivatives Pricing Models
Title | Credit Derivatives Pricing Models PDF eBook |
Author | Philipp J. Schönbucher |
Publisher | John Wiley & Sons |
Pages | 396 |
Release | 2003-10-31 |
Genre | Business & Economics |
ISBN | 0470868171 |
The credit derivatives market is booming and, for the first time, expanding into the banking sector which previously has had very little exposure to quantitative modeling. This phenomenon has forced a large number of professionals to confront this issue for the first time. Credit Derivatives Pricing Models provides an extremely comprehensive overview of the most current areas in credit risk modeling as applied to the pricing of credit derivatives. As one of the first books to uniquely focus on pricing, this title is also an excellent complement to other books on the application of credit derivatives. Based on proven techniques that have been tested time and again, this comprehensive resource provides readers with the knowledge and guidance to effectively use credit derivatives pricing models. Filled with relevant examples that are applied to real-world pricing problems, Credit Derivatives Pricing Models paves a clear path for a better understanding of this complex issue. Dr. Philipp J. Schönbucher is a professor at the Swiss Federal Institute of Technology (ETH), Zurich, and has degrees in mathematics from Oxford University and a PhD in economics from Bonn University. He has taught various training courses organized by ICM and CIFT, and lectured at risk conferences for practitioners on credit derivatives pricing, credit risk modeling, and implementation.
Modeling Derivatives in C++
Title | Modeling Derivatives in C++ PDF eBook |
Author | Justin London |
Publisher | John Wiley & Sons |
Pages | 922 |
Release | 2005-01-21 |
Genre | Business & Economics |
ISBN | 047168189X |
This book is the definitive and most comprehensive guide to modeling derivatives in C++ today. Providing readers with not only the theory and math behind the models, as well as the fundamental concepts of financial engineering, but also actual robust object-oriented C++ code, this is a practical introduction to the most important derivative models used in practice today, including equity (standard and exotics including barrier, lookback, and Asian) and fixed income (bonds, caps, swaptions, swaps, credit) derivatives. The book provides complete C++ implementations for many of the most important derivatives and interest rate pricing models used on Wall Street including Hull-White, BDT, CIR, HJM, and LIBOR Market Model. London illustrates the practical and efficient implementations of these models in real-world situations and discusses the mathematical underpinnings and derivation of the models in a detailed yet accessible manner illustrated by many examples with numerical data as well as real market data. A companion CD contains quantitative libraries, tools, applications, and resources that will be of value to those doing quantitative programming and analysis in C++. Filled with practical advice and helpful tools, Modeling Derivatives in C++ will help readers succeed in understanding and implementing C++ when modeling all types of derivatives.
Modelling Financial Derivatives with MATHEMATICA ®
Title | Modelling Financial Derivatives with MATHEMATICA ® PDF eBook |
Author | William T. Shaw |
Publisher | Cambridge University Press |
Pages | 570 |
Release | 1998-12-10 |
Genre | Business & Economics |
ISBN | 9780521592338 |
CD plus book for financial modelling, requires Mathematica 3 or 2.2; runs on most platforms.