Analytical finance. the mathematics of equity derivatives, markets, risk and valuation /: the mathematics of equity derivatives, markets, risk and valuation. volume I : ([2017])

• Record Type: Book
• Further Information: Note: Jan R.M. Röman.
• Authors: Röman, Jan R. M
• Contents: 1.1. Clearing and settlement.- 1.2. About Risk.- 1.3. Credit and Counterparty Risk.- 1.4. Settlement Risk.- 1.5. Market Risk.- 1.6. Model Risk.- 2.1. Pricing via Arbitrage.- 2.2. Martingales.- 2.3. The Central Limit Theorem.- 2.4. A simple Random Walk.- 2.5. The Binomial model.- 2.6. Modern pricing theory based on risk-neutral valuation.- 2.7. More on Binomial models.- 2.8. Finite difference methods.- 2.9. Value-at-Risk - VaR.- 3.1. Introduction.- 3.2. A binomial model.- 3.3. Finite Probability Spaces.- 3.4. Properties of normal and log-normal distributions.- 3.5. The Itô Lemma.- 3.6. Stochastic integration.- 4.1. Classifications of Partial Differential Equations.- 4.2. Parabolic PDE's.- 4.3. The Black-Scholes-Merton model.- 4.4. Volatility.- 4.5. Parity relations.- 4.6. A practical guide to pricing.- 4.7. Currency options and the Garman-Kohlhagen model.- 4.8. Options on commodities.- 4.9. Black-Scholes and stochastic volatility.- 4.10. The Black-Scholes formulas.- 4.11. American versus European options.- 4.12. Analytical pricing formulas for American options.- 4.13. Poisson processes and jump diffusion.- 5.1. Martingale representation.- 5.2. Girsanov transformation.- 5.3. Securities paying dividends.- 5.4. Hedging.- 6.1. Contract for Difference - CFD.- 6.2. Binary options/ Digital options.- 6.3. Barrier options – Knock-out and Knock-in Options.- 6.4. Lookback Options.- 6.5. Asian Options.- 6.6. Chooser Options.- 6.7. Forward Options.- 6.8. Compound Options - Options on Options.- 6.9. Multi-Asset Options.- 6.10. Basket Options.- 6.11. Correlation Options.- 6.12. Exchange Options.- 6.13. Currency-Linked Options.-6.14. Pay-Later Options.- 6.15. Extensible Options.- 6.16. Quantos.- 6.17. Structured products.- 6.18. Summary of exotic instruments.- 6.19. Something about weather derivatives.- 7.1. Introduction to deflators.- 8.1. Introduction.- 8.2. Strategies.- 8.3. A decreasing markets.- 8.4. An increasing market.- 8.5. Neutral markets.- 8.6. Volatile Markets.- 8.7. Using market indexes in pricing.- 8.8. Price direction matrix.- 8.9. Strategy matrix.- Appendix: Some source code.
• Publisher Details: Cham, Switzerland : Springer Science and Business Media Palgrave Macmillan
• Publication Date: 2017
• Copyright Date: 2017
• Extent: 1 online resource
• Subjects: 332.015195; Finance; Finance -- Mathematical models; BUSINESS & ECONOMICS / Finance; Finance -- Mathematical models; Mathematics -- Applied; Business & Economics -- Finance; Business & Economics -- Insurance -- Risk Assessment & Management; Finance & accounting; Finance; Management & management techniques; Financial engineering; Capital market; Risk management; Electronic books
• Languages: English
• ISBNs: 9783319340272; 3319340271
• Related ISBNs: 9783319340265
• Notes: Note: Includes bibliographical references and index.; Note: Online resource; title from PDF title page (EBSCO, viewed February 27, 2017).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.