Download Derivatives Risk Management & Value by Mondher Bellalah PDF

By Mondher Bellalah

ISBN-10: 9812838627

ISBN-13: 9789812838629

This e-book covers primary recommendations in monetary markets and asset pricing comparable to hedging, arbitrage, hypothesis in several markets, classical types for pricing of straightforward and intricate derivatives, mathematical foundations, dealing with and tracking portfolios of derivatives in actual time, and so on. It explains diversified functions of those techniques utilizing genuine international examples. The ebook additionally covers themes like monetary markets and tools, choice pricing types, choice pricing conception, unique derivatives, moment iteration strategies, and so on. Written in an easy demeanour and amply supported through genuine international examples, questions and workouts, the e-book could be of curiosity to scholars, teachers and practitioners alike. monetary Markets and fiscal tools: uncomplicated innovations and methods Pricing Derivatives and Their Underlying resources in a Discrete-Time atmosphere alternative Pricing in a Continuous-Time surroundings: simple types, Extensions and functions Mathematical Foundations of choice Pricing types in a Continuous-Time environment: easy options and Extensions Extensions of alternative Pricing conception to American techniques and rate of interest tools in a Continuous-Time surroundings: Dividends, Coupons and Stochastic rates of interest Generalization of choice Pricing types and Stochastic Volatility choice Pricing versions and Numerical research unique Derivatives

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Extra resources for Derivatives Risk Management & Value

Example text

1. The Jump-Diffusion and the Constant Elasticity of Variance Models . . . . . . . . . . . . . . . 1. The jump-diffusion model . . . . . . . 2. The constant elasticity of variance diffusion (CEV) process . . . . . . . . . . . . 2. On Jumps, Hedging and Information Costs . . . . . 1. Hedging in the presence of jumps . . . . . 2. Hedging the jumps . . . . . . . . . 3. Jump volatility . . . . . . . . . . 3. On the Smile Effect and Market Imperfections in the Presence of Jumps and Incomplete Information .

2. Time-dependent interest rates and information uncertainty . . . . . . . . . . . 3. The general arbitrage principle . . . . . . 6. Discrete Hedging and Option Pricing . . . . . . . 1. Discrete hedging . . . . . . . . . . 2. 3. Pricing the option . . . . . . The real distribution of returns and the hedging error . . . . . . . . Summary . . . . . . . . . . . . . Questions . . . . . . . . . . . . . Appendix A: Introduction to Diffusion Processes .

4. The Ho and Lee model . . . . . . . . 5. The HJM model . . . . . . . . . . 6. The BDT model . . . . . . . . . . 7. The Hull and White model . . . . . . . 8. Fong and Vasicek model . . . . . . . . 9. Longstaff and Schwartz model . . . . . . 4. The Relative Merits of the Competing Models . . . . 5. A Comparative Analysis of Term Structure Estimation Models . . . . . . . . . . . . . . . 1. The construction of the term structure and coupon bonds .

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Derivatives Risk Management & Value by Mondher Bellalah


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