Problems and solutions in mathematical finance. Equity derivatives / Volume II, (2016)

• Record Type: Book
• Other Titles: Equity derivatives
• Further Information: Note: Eric Chin, Sverrir Olafsson, Dian Nel.
• Authors: Chin, Eric, 1971-; Olafsson, Sverrir, 1950-; Nel, Dian, 1979-
• Contents: Preface 5 1 Basic Equity Derivatives Theory 7 1.1 Introduction 7 1.2 Problems and Solutions 16 1.2.1 Forward and Futures Contracts 16 1.2.2 Options Theory 24 1.2.3 Hedging Strategies 38 2 European Options 81 2.1 Introduction 81 2.2 Problems and Solutions 93 2.2.1 Basic Properties 93 2.2.2 Black-Scholes Model 108 2.2.3 Tree Based Methods 205 2.2.4 The Greeks 233 3 American Options 279 3.1 Introduction 279 3.2 Problems and Solutions 283 3.2.1 Basic Properties 283 3.2.2 Time Independent Options 304 3.2.3 Time Dependent Options 317 4 Barrier Options 361 4.1 Introduction 362 4.2 Problems and Solutions 367 4.2.1 Probabilistic Approach 367 4.2.2 Reflection Principle Approach 400 4.2.3 Further Barrier Style Options 422 5 Asian Options 455 5.1 Introduction 455 5.2 Problems and Solutions 459 5.2.1 Discrete Sampling 459 5.2.2 Continuous Sampling 496 6 Exotic Options 545 6.1 Introduction 545 6.2 Problems and Solutions 546 6.2.1 Path Independent Options 546 6.2.2 Path Dependent Options 601 7 Volatility Models 661 7.1 Introduction 661 7.2 Problems and Solutions 666 7.2.1 Historical and Implied Volatility 666 7.2.2 Local Volatility 698 7.2.3 Stochastic Volatility 724 7.2.4 Volatility Derivatives 786 A Mathematics Formulae 805 B Probability Theory Formulae 815 C Differential Equations Formulae 831 Bibliography 839 Notation 845
• Edition: 1st
• Publisher Details: Hoboken, New Jersey : John Wiley & Sons, Inc
• Publication Date: 2016
• Extent: 1 online resource
• Subjects: 332.015195; Finance -- Mathematical models; Investments -- Mathematical models; Business mathematics
• Languages: English
• ISBNs: 9781119966111
• Related ISBNs: 9781119966104
• Notes: Note: Description based on CIP data; resource not viewed.
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