Pricing and managing exotic and hybrid options:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
New York [u.a.]
McGraw-Hill
1998
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XIX, 364 S. graph. Darst. |
| ISBN: | 0070066698 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV012074915 | ||
| 003 | DE-604 | ||
| 005 | 19980925 | ||
| 007 | t | ||
| 008 | 980724s1998 d||| |||| 00||| eng d | ||
| 020 | |a 0070066698 |9 0-07-006669-8 | ||
| 035 | |a (OCoLC)37917260 | ||
| 035 | |a (DE-599)BVBBV012074915 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-739 | ||
| 050 | 0 | |a HG6024.A3 | |
| 082 | 0 | |a 332.63/228 |2 21 | |
| 084 | |a QK 660 |0 (DE-625)141676: |2 rvk | ||
| 100 | 1 | |a Bhansali, Vineer |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a Pricing and managing exotic and hybrid options |c Vineer Bhansali |
| 264 | 1 | |a New York [u.a.] |b McGraw-Hill |c 1998 | |
| 300 | |a XIX, 364 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 4 | |a Instruments dérivés (Finances) | |
| 650 | 7 | |a Instruments dérivés (finances) |2 ram | |
| 650 | 4 | |a Options exotiques (Finances) | |
| 650 | 7 | |a Options exotiques |2 ram | |
| 650 | 4 | |a Derivative securities | |
| 650 | 4 | |a Exotic options (Finance) | |
| 650 | 0 | 7 | |a Derivat |g Wertpapier |0 (DE-588)4381572-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Exotic options |0 (DE-588)4450269-2 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Exotic options |0 (DE-588)4450269-2 |D s |
| 689 | 0 | |5 DE-604 | |
| 689 | 1 | 0 | |a Derivat |g Wertpapier |0 (DE-588)4381572-8 |D s |
| 689 | 1 | |5 DE-604 | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008174345&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-008174345 | ||
Datensatz im Suchindex
| _version_ | 1804126675833716736 |
|---|---|
| adam_text | CONTENTS INTRODUCTION xiii
Chapter 1
Transactions 1
Equity Index Linked Interest Rate Options 2
Foreign Exchange Linked Caps 11
Multifactor Range Accrual Notes 12
Self Adjusting Forwards 12
Yield Curve Basket Options 13
Outperformance Options 15
Portfolio Insurance 16
Convertible Issuance Hedges 16
Diffs and Cross Currency Swaps 16
Intermarket Spread Option 18
Long Dated Foreign Exchange Options 18
Multiasset Barrier Swaps 20
Multiasset American Puts 21
Chapter 2
Markets and Products 23
Markets 25
Product Variations 40
Chapter 3
Pricing Analytics 45
Zero Correlation Pricing 49
The Multifactor Stochastic Process 50
Symmetries, Invariances, and Equivalences 65
Spread Options 73
vii
viii Contents
Constructing the Explicit Dynamic Hedge 76
Long Dated Forex Options 79
Inside and Outside Barrier Options 91
Rainbow Options 99
Convertible Bonds with Stochastic Interest Rates 105
Baskets and the Edgeworth Expansion 108
Generalized Put Call Conversions and Static Hedging 114
Which Discount Curve? 117
Chapter 4
Correlation 120
Estimation 120
Correlation Term Structure 148
Trading Correlation with Volatility 157
Vector Algebra for Correlation 161
Deviations from Multinormality 166
Chapter 5
Numerical Methods 172
Numerical Integration 175
Multivariable Monte Carlo Simulation 176
Multivariate Trees and Lattices 194
Finite Difference Methods 202
Advanced Numerical Techniques 214
Chapter 6
Strategic Risk Management 218
Trade Selection 220
Cross Risks 225
Hedging Costs 230
The Index Approach and Optimal Risk Aggregation 241
Market Price of Risk for Hybrids 251
Static Hedging 255
Implied Joint Probabilities 257
Trading Algorithms and Risk Measures 258
Contents ix
Chapter 7
Epilogue 272
Utility (or Futility?) of Hedging with Customized Products 273
Deferred Profits 276
The Doctrine of Effective Dynamics 278
REFERENCES 281
APPENDIXES
Appendix A
Techniques for Normal Integrals 292
Common Integrals 292
Cholesky Decomposition 294
Appendix B
Random Vectors in n Dimensions 297
Density and Distribution 297
Transformations 297
Independence 298
Mean and Covariance 299
Conditional Densities 300
Conditional Expected Values 300
Characteristic Functions and Normality 301
Order Statistics 301
Appendix C Review of Basic Black Scholes Pricing 303
Appendix D Monte Carlo Engine in VBA 307
x Contents
Appendix E
Max Min Algebra 310
Appendix F
Volatility and Skews 313
Estimation 313
Hedge Readjustment with Vol Skews 316
Appendix G
Multivariate Statistical Techniques 319
Overview of Multivariate Methods 319
Covariance Matrix Eigenstructuie 320
Applied Principal Components Decomposition 322
Appendix H
Distributions 324
Properties of the Lognormal Distribution 324
Mixed Normal Distributions 327
Moment Generating Functions 329
Multivariate Distributions 330
Method of Moments 331
Useful Numerical Approximations 334
Appendix I
Stochastic Processes 338
Useful Properties 338
Girsanov Theorem and Change of Drift 342
Solution of Stochastic Differential Equations 345
Level Crossing 347
First Passage Time 347
Contents xi
Appendix J
PDE Methods 349
Classification 349
Numerical Solution of the Diffusion Equation 350
Analytic Solutions of the Diffusion Equation 352
Fourier Transform Method 353
Laplace Transform Methods 354
INDEX 361
|
| any_adam_object | 1 |
| author | Bhansali, Vineer |
| author_facet | Bhansali, Vineer |
| author_role | aut |
| author_sort | Bhansali, Vineer |
| author_variant | v b vb |
| building | Verbundindex |
| bvnumber | BV012074915 |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
| callnumber-raw | HG6024.A3 |
| callnumber-search | HG6024.A3 |
| callnumber-sort | HG 46024 A3 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 660 |
| ctrlnum | (OCoLC)37917260 (DE-599)BVBBV012074915 |
| dewey-full | 332.63/228 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/228 |
| dewey-search | 332.63/228 |
| dewey-sort | 3332.63 3228 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01629nam a2200445 c 4500</leader><controlfield tag="001">BV012074915</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">19980925 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">980724s1998 d||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0070066698</subfield><subfield code="9">0-07-006669-8</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)37917260</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV012074915</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-739</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG6024.A3</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.63/228</subfield><subfield code="2">21</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 660</subfield><subfield code="0">(DE-625)141676:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Bhansali, Vineer</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Pricing and managing exotic and hybrid options</subfield><subfield code="c">Vineer Bhansali</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">New York [u.a.]</subfield><subfield code="b">McGraw-Hill</subfield><subfield code="c">1998</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XIX, 364 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Instruments dérivés (Finances)</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Instruments dérivés (finances)</subfield><subfield code="2">ram</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Options exotiques (Finances)</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">Options exotiques</subfield><subfield code="2">ram</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Derivative securities</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Exotic options (Finance)</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Derivat</subfield><subfield code="g">Wertpapier</subfield><subfield code="0">(DE-588)4381572-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Exotic options</subfield><subfield code="0">(DE-588)4450269-2</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Exotic options</subfield><subfield code="0">(DE-588)4450269-2</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Derivat</subfield><subfield code="g">Wertpapier</subfield><subfield code="0">(DE-588)4381572-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008174345&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-008174345</subfield></datafield></record></collection> |
| id | DE-604.BV012074915 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:21:14Z |
| institution | BVB |
| isbn | 0070066698 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008174345 |
| oclc_num | 37917260 |
| open_access_boolean | |
| owner | DE-739 |
| owner_facet | DE-739 |
| physical | XIX, 364 S. graph. Darst. |
| publishDate | 1998 |
| publishDateSearch | 1998 |
| publishDateSort | 1998 |
| publisher | McGraw-Hill |
| record_format | marc |
| spelling | Bhansali, Vineer Verfasser aut Pricing and managing exotic and hybrid options Vineer Bhansali New York [u.a.] McGraw-Hill 1998 XIX, 364 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Instruments dérivés (Finances) Instruments dérivés (finances) ram Options exotiques (Finances) Options exotiques ram Derivative securities Exotic options (Finance) Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Exotic options (DE-588)4450269-2 gnd rswk-swf Exotic options (DE-588)4450269-2 s DE-604 Derivat Wertpapier (DE-588)4381572-8 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008174345&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bhansali, Vineer Pricing and managing exotic and hybrid options Instruments dérivés (Finances) Instruments dérivés (finances) ram Options exotiques (Finances) Options exotiques ram Derivative securities Exotic options (Finance) Derivat Wertpapier (DE-588)4381572-8 gnd Exotic options (DE-588)4450269-2 gnd |
| subject_GND | (DE-588)4381572-8 (DE-588)4450269-2 |
| title | Pricing and managing exotic and hybrid options |
| title_auth | Pricing and managing exotic and hybrid options |
| title_exact_search | Pricing and managing exotic and hybrid options |
| title_full | Pricing and managing exotic and hybrid options Vineer Bhansali |
| title_fullStr | Pricing and managing exotic and hybrid options Vineer Bhansali |
| title_full_unstemmed | Pricing and managing exotic and hybrid options Vineer Bhansali |
| title_short | Pricing and managing exotic and hybrid options |
| title_sort | pricing and managing exotic and hybrid options |
| topic | Instruments dérivés (Finances) Instruments dérivés (finances) ram Options exotiques (Finances) Options exotiques ram Derivative securities Exotic options (Finance) Derivat Wertpapier (DE-588)4381572-8 gnd Exotic options (DE-588)4450269-2 gnd |
| topic_facet | Instruments dérivés (Finances) Instruments dérivés (finances) Options exotiques (Finances) Options exotiques Derivative securities Exotic options (Finance) Derivat Wertpapier Exotic options |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008174345&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT bhansalivineer pricingandmanagingexoticandhybridoptions |