Financial models in production. (2020)

• Record Type: Book
• Further Information: Note: Othmane Kettani, Adil Reghai.
• Other Names: Kettani, Othmane; Reghai, Adil
• Contents: Intro -- Foreword -- Preface -- Contents -- List of Figures -- 1 General Introduction -- 1.1 Role of the Quants -- 1.2 PnL Explanation -- 1.3 Exploring Models -- References -- 2 Black & Scholes (BS) Model -- 2.1 Closed Form Formula Revisited -- 2.2 Smile Representation -- 2.3 Summary of the Chapter: Key Messages -- References -- 3 Local Volatility Model -- 3.1 Some Stylized Facts About of the Local Volatility -- 3.2 Other Properties of the Local Volatility -- 3.2.1 The Skew Stickiness Ratio (SSR) -- 3.2.2 The Local Volatility Forward Skew -- 3.2.3 The Local Volatility SSR in the Future 3.3 Local Volatility Model: A Pricing Example -- 3.4 Local Volatility PnL Explanation -- 3.4.1 Derivation of the P&L Equation -- 3.4.2 Another Simpler Derivation -- 3.4.3 PnL Explanation Factors -- 3.4.4 How Do We Test the Hedging Hypothesis in Practice? -- 3.5 The Standard Theta -- 3.5.1 Decomposition of the Standard Theta: The Exotic Theta -- 3.5.2 Decomposition of the Standard Theta: The Vanilla Theta -- 3.6 Typical Portfolio -- 3.7 Generalize This Approach to Multi Assets and Quanto Effect -- 3.8 Summary of the Chapter: Key Messages -- References -- 4 Market Model P&L Explain -- 4.1 Theory 4.1.1 Derivation of the Adjustment -- 4.1.2 Computation of the Second Order Derivative -- 4.2 Focusing on the Vanna -- 4.2.1 Covariances Spread Computation -- 4.2.2 Vanna Computation -- 4.3 Analysis of a Real Case Example: Case of the Autocall -- 4.3.1 The Payoff -- 4.3.2 Vanna Adjustment for the European PDI Up&Out -- 4.3.3 Vanna Adjustment for the Coupons -- 4.4 Summary of the Chapter: Key Messages -- References -- Annex: Derivation of the qKT Expression in the Case of a PDI UO -- Bibliography -- Index
• Publisher Details: Cham : Springer
• Publication Date: 2020
• Extent: 1 online resource (67 p.)
• Subjects: 332.63/2283; 519.2; Options (Finance) -- Mathematical models; Probabilities; Bank marketing; Engineering mathematics; Computer simulation; Financial services industry; Applied mathematics; Computer modelling & simulation; Probability & statistics; Mathematics -- Applied; Computers -- Computer Simulation; Mathematics -- Probability & Statistics -- General; Bank marketing; Computer simulation; Engineering mathematics; Probabilities; Electronic books
• Languages: English
• ISBNs: 9783030574963; 3030574962
• Related ISBNs: 3030574954; 9783030574956
• Notes: Note: Includes bibliographical references and index.
• 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.