Hedging with trees: advances in pricing and risk managing derivatives
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
London
Risk Books
1998
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XVIII, 262 S. graph. Darst. |
| ISBN: | 1899332022 |
Staff View
MARC
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| 264 | 1 | |a London |b Risk Books |c 1998 | |
| 300 | |a XVIII, 262 S. |b graph. Darst. | ||
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| 650 | 4 | |a Couverture (Finances) | |
| 650 | 4 | |a Finances - Gestion du risque | |
| 650 | 4 | |a Instruments dérivés (Finances) | |
| 650 | 4 | |a Options (Finances) - Prix | |
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| 650 | 4 | |a Derivative securities | |
| 650 | 4 | |a Hedging (Finance) | |
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Record in the Search Index
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|---|---|
| adam_text | CONTENTS
Preface v
Contributors viii
I. EXOTIC OPTIONS
Introduction 3
Mark Broadieand Paul Glasserman
1 Building on Black Scholes 7
Robert Whaley
2 Discrete by Nature 17
Edmond Levy and Frangois Mantion
3 Breaking Down Barriers 21
Terry Cheuk and Ton Vorst
4 Exact Exotics 25
Leif Andersen and Rupert Brotherton Ratcliffe
5 Breaking Barriers 31
Peter Carr and Andrew Chou
6 Parisian Pricing 39
Marc Chesney, John Cornwall, Monique Jeanblanc Pique,
Glenn Kentwell and Marc Yor
7 Steps to the Barrier 43
Vadim Linetsky
8 Passport to Success 49
Tom Hyer, Alexander Lipton Lifschitz and Dmitry Pugachevsky
9 Brick by Brick 57
Ronald Heynen and Harry Kat
10 On Neutral Ground 63
Ajay Gupta
11 Less is More 69
Donald Mintz
12 Swing Low, Swing High 75
Robert Zvan, Kenneth Vetzal and Peter Forsyth
13 Flexible Friends 81
James Angel, Gary Gastineau and Clifford Weber
II. INTEREST RATE MODELS AND
DERIVATIVES
Introduction 89
Mark Broadie and Paul Glasserman
14 Sorting Out Swaptions 97
Farshid Jamshidian
15 Fit and Run 101
Phil Hunt, Joanne Kennedy and Antoon Pelsser
16 Gaussian Errors 105
Chris Rogers
17 One for All 111
Chris Rogers
18 Positive Interest 115
Bjorn Flesakerand Lane Hughston
19 When Swaps are Dropped 125
Robert Jarrow and Stuart Turnbull
20 Near Nirvana 133
Peter Ritchken and L. Sankarasubramanian
21 Lattice Works 139
Anlong Li, Peter Ritchken and L. Sankarasubramanian
III. VOLATILITY AND CORRELATION
Introduction 147
Mark Broadie and Paul Glasserman
22 Grappling with Garch 151
Robert Engle and Joseph Mezrich
23 Garch for Groups 159
Robert Engle and Joseph Mezrich
24 Cracking the Smile 167
Jin Chuan Duan
25 Growing a Smiling Tree 173
Stanko Barle and Nusret Cakici
26 Transatlantic Trees 179
Neil Chnss
27 Reconciling Differences 185
Ronald Lagnado and Stanley Osher
28 Pricing with a Difference 191
Neil Chriss and Kostas Tsiveriotis
IV. MARKET RISK, VAR AND CAPITAL
MANAGEMENT
Introduction 199
Mark Broadie and Paul Glasserman
29 Going Greek with VAR 203
Christophe Rouvinez
30 Taking VAR to pieces 213
Mark Garman
31 Hot Spots and Hedges (I) 215
Robert Litterman
32 Hot Spots and Hedges (II) 221
Robert Litterman
33 Thinking Coherently 229
Philippe Artzner, Freddy Delbaen, Jean Marc Eber and David Heath
34 Scale Models 233
Francis Diebold, Andrew Hickman, Atsushi Inoue and Til Schuermann
35 Living on the Edge 239
Paul Embrechts, Sidney Resnick and Gennady Samorodnitsky
36 The Cost of Conservatism 245
Jon Danielsson, Philipp Hartmann and Casper de Vries
37 Three Cheers 251
Gerhard Stahl
38 Tolerance for Risk 255
William Morokoff, Ron Lagnado and Art Owen
Index 261
|
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| discipline | Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV014143309 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:58:25Z |
| institution | BVB |
| isbn | 1899332022 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-009691621 |
| oclc_num | 40800356 |
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| owner_facet | DE-19 DE-BY-UBM |
| physical | XVIII, 262 S. graph. Darst. |
| publishDate | 1998 |
| publishDateSearch | 1998 |
| publishDateSort | 1998 |
| publisher | Risk Books |
| record_format | marc |
| spelling | Hedging with trees advances in pricing and risk managing derivatives ed. by Mark Broadie ... London Risk Books 1998 XVIII, 262 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Couverture (Finances) Finances - Gestion du risque Instruments dérivés (Finances) Options (Finances) - Prix Options exotiques (Finances) Derivative securities Hedging (Finance) Risk management Broadie, Mark Sonstige oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009691621&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hedging with trees advances in pricing and risk managing derivatives Couverture (Finances) Finances - Gestion du risque Instruments dérivés (Finances) Options (Finances) - Prix Options exotiques (Finances) Derivative securities Hedging (Finance) Risk management |
| title | Hedging with trees advances in pricing and risk managing derivatives |
| title_auth | Hedging with trees advances in pricing and risk managing derivatives |
| title_exact_search | Hedging with trees advances in pricing and risk managing derivatives |
| title_full | Hedging with trees advances in pricing and risk managing derivatives ed. by Mark Broadie ... |
| title_fullStr | Hedging with trees advances in pricing and risk managing derivatives ed. by Mark Broadie ... |
| title_full_unstemmed | Hedging with trees advances in pricing and risk managing derivatives ed. by Mark Broadie ... |
| title_short | Hedging with trees |
| title_sort | hedging with trees advances in pricing and risk managing derivatives |
| title_sub | advances in pricing and risk managing derivatives |
| topic | Couverture (Finances) Finances - Gestion du risque Instruments dérivés (Finances) Options (Finances) - Prix Options exotiques (Finances) Derivative securities Hedging (Finance) Risk management |
| topic_facet | Couverture (Finances) Finances - Gestion du risque Instruments dérivés (Finances) Options (Finances) - Prix Options exotiques (Finances) Derivative securities Hedging (Finance) Risk management |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009691621&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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