The mathematics of financial models : solving real-world problems with quantitative methods /: solving real-world problems with quantitative methods. (2014)
- Record Type:
- Book
- Title:
- The mathematics of financial models : solving real-world problems with quantitative methods /: solving real-world problems with quantitative methods. (2014)
- Main Title:
- The mathematics of financial models : solving real-world problems with quantitative methods
- Further Information:
- Note: Kannoo Ravindran.
- Authors:
- Ravindran, Kannoo
- Contents:
- Preface ix Acknowledgments xi Chapter 1 Setting the Stage 1 Why is This Book Different? 2 Road Map of the Book 3 References 5 Chapter 2 Building Zero Curves 7 Market Instruments 8 Linear Interpolation 16 Cubic Splining 25 Appendix: Finding Swap Rates Using a Floating Coupon Bond Approach 41 References 43 Chapter 3 Valuing Vanilla Options 45 Black-Scholes Formulae 47 Adaptations of the Black-Scholes Formulae 53 Limitations of the Black-Scholes Formulae 70 Application in Currency Risk Management 74 Appendix 78 References 80 Chapter 4 Simulations 81 Uniform Number Generation 82 Non-Uniform Number Generation 86 Applications of Simulations 93 Variance Reduction Techniques 100 References 104 Chapter 5 Valuing Exotic Options 107 Valuing Path-Independent, European-Style Options on a Single Variable 108 Valuing Path-Dependent, European-Style Options on a Single Variable 114 Valuing Path-Independent, European-Style Options on Two Variables 135 Valuing Path-Dependent, European-Style Options on Multiple Variables 152 References 157 Chapter 6 Estimating Model Parameters 159 Calibration of Parameters in the Black-Scholes Model 161 Using Implied Black-Scholes Volatility Surface and Zero Rate Term Structure to Value Options 169 Using Volatility Surface 178 Calibration of Interest Rate Option Model Parameters 190 Statistical Estimation 196 References 203 Chapter 7 The Effectiveness of Hedging Strategies 205 Delta Hedging 206 Assumptions Underlying Delta Hedging 216 Beyond Delta Hedging 223Preface ix Acknowledgments xi Chapter 1 Setting the Stage 1 Why is This Book Different? 2 Road Map of the Book 3 References 5 Chapter 2 Building Zero Curves 7 Market Instruments 8 Linear Interpolation 16 Cubic Splining 25 Appendix: Finding Swap Rates Using a Floating Coupon Bond Approach 41 References 43 Chapter 3 Valuing Vanilla Options 45 Black-Scholes Formulae 47 Adaptations of the Black-Scholes Formulae 53 Limitations of the Black-Scholes Formulae 70 Application in Currency Risk Management 74 Appendix 78 References 80 Chapter 4 Simulations 81 Uniform Number Generation 82 Non-Uniform Number Generation 86 Applications of Simulations 93 Variance Reduction Techniques 100 References 104 Chapter 5 Valuing Exotic Options 107 Valuing Path-Independent, European-Style Options on a Single Variable 108 Valuing Path-Dependent, European-Style Options on a Single Variable 114 Valuing Path-Independent, European-Style Options on Two Variables 135 Valuing Path-Dependent, European-Style Options on Multiple Variables 152 References 157 Chapter 6 Estimating Model Parameters 159 Calibration of Parameters in the Black-Scholes Model 161 Using Implied Black-Scholes Volatility Surface and Zero Rate Term Structure to Value Options 169 Using Volatility Surface 178 Calibration of Interest Rate Option Model Parameters 190 Statistical Estimation 196 References 203 Chapter 7 The Effectiveness of Hedging Strategies 205 Delta Hedging 206 Assumptions Underlying Delta Hedging 216 Beyond Delta Hedging 223 Testing Hedging Strategies 230 Analysis Associated with the Hedging of a European-Style Vanilla Put Option 235 References 244 Chapter 8 Valuing Variable Annuity Guarantees 245 Basic GMDB 246 Death Benefit Riders 261 Other Details Associated with GMDB Products 269 Improving Modeling Assumptions 273 Living Benefit Riders 276 References 279 Chapter 9 Real Options 281 Surrendering a GMAB Rider 282 Adding Servers in a Queue 300 References 314 Chapter 10 Parting Thoughts 315 About the Author 317 About the Website 319 Index 321 … (more)
- Publisher Details:
- Place of publication not identified : Wiley
- Publication Date:
- 2014
- Extent:
- 1 online resource (352 pages)
- Subjects:
- 332.015195
Finance -- Mathematical models
Finance -- Statistical methods
Business mathematics - Languages:
- English
- ISBNs:
- 9781118235522
- 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.
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD.DS.508091
- Ingest File:
- 03_085.xml