Equity Derivatives
Theory and Applications
Published on 12. May 2003
240 pages
978-0-471-22916-2 (ISBN)
Description
Written by the quantitative research team of Deutsche Bank, theworld leader in innovative equity derivative transactions, thisbook acquaints readers with leading-edge thinking in modeling andhedging these transactions. Equity Derivatives offers a balanced,integrated presentation of theory and practice in equity derivativemarkets. It provides a theoretical treatment of each new modelingand hedging concept first, and then demonstrates their practicalapplication. The book covers: the newest and fastest-growing classof derivative instruments, fund derivatives; cutting-edgedevelopments in equity derivative modeling; new developments incorrelation modeling and understanding volatility skews; and newWeb-based implementation/delivery methods.
Marcus Overhaus, PhD, Andrew Ferraris, DPhil, Thomas Knudsen, PhD,Frank Mao, PhD, Ross Milward, Laurent Nguyen-Ngoc, PhD, and GeroSchindlmayr, PhD, are members of the Quantitative Research team ofDeutsche Bank's Global Equity Division, which is based in Londonand headed by Dr. Overhaus.
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Book
02/2002
Wiley
€97.50
Shipment within 10-20 days
Persons
MARCUS OVERHAUS, PhD, ANDREW FERRARIS, DPhil, THOMAS KNUDSEN, PhD, ROSS MILWARD, LAURENT NGUYEN-NGOC, PhD, and GERO SCHINDLMAYR, PhD, are members of the quantitative research team of Deutsche Bank's Global Equity Division, which is based in London and headed by Dr. Overhaus.
Content
Mathematical Introduction.
Incomplete Markets.
Financial Modeling with Lévy Processes.
Finite Difference Methods for Multifactor Models.
Convertible Bonds and Asset Swaps.
Data Representation.
Application Connectivity.
Web-Based Quantitative Services.
Portfolio and Hedging Simulation.
References.
Index.
