Equity derivatives: theory and applications
Saved in:
| Format: | Book |
|---|---|
| Language: | English |
| Published: |
New York
Wiley
2002
|
| Subjects: | |
| Online Access: | Table of Contents Inhaltsverzeichnis |
| Physical Description: | XII, 222 S. graph. Darst. |
| ISBN: | 0471436461 |
Staff View
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Record in the Search Index
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|---|---|
| adam_text | CHAPTER 1
Mathematical Introduction 1
1.1 Probability Basis 1
1.2 Processes 2
Where in Time? 3
Martingales and Semimartingales 4
Markov Processes 7
1.3 Stochastic Calculus 8
Ito s Formula 9
Girsanov s Theorem 10
1.4 Financial Interpretations 11
1.5 Two Canonical Examples 11
CHAPTER 2
Incomplete Markets 15
2.1 Martingale Measures 15
2.2 Self Financing Strategies, Completeness, and
No Arbitrage 17
2.3 Examples 21
2.4 Martingale Measures, Completeness, and
No Arbitrage 28
2.5 Completing the Market 30
2.6 Pricing in Incomplete Markets 37
2.7 Variance Optimal Pricing and Hedging 43
2.8 Super Hedging and Quantile Hedging 46
CHAPTER 3
Financial Modeling with Levy Processes 51
3.1 A Primer on Levy Processes 52
First Properties 52
Measure Changes 58
Subordination 61
Levy Processes with No Positive Jumps 66
ix
x Contents
3.2 Modeling with Levy Processes 68
Model Framework 69
The Choice of a Pricing Measure 69
European Options Pricing 70
3.3 Products and Models 72
Exotic Products 72
Some Particular Models 77
3.4 Model Calibration and Smile Replication 88
3.5 Numerical Methods for Levy Processes 95
Fast Fourier Transform 95
Monte Carlo Simulation 95
Finite Difference Methods 97
3.6 A Model Involving Levy Processes 98
CHAPTER 4
Finite Difference Methods for Multifactor Models 103
4.1 Pricing Models and PDEs 103
Multiasset Model 104
Stock Spread Model 105
The Vasicek Model 106
The Heston Model 106
4.2 The Pricing PDE and Its Discretization 106
4.3 Explicit and Implicit Schemes 109
4.4 The ADI Scheme 110
4.5 Convergence and Performance 113
4.6 Dividend Treatment in Stochastic Volatility Models 116
Modeling Dividends 117
Stock Process with Dividends 117
Local Volatility Model with Dividends 122
Heston Model with Dividends 123
CHAPTER 5
Convertible Bonds and Asset Swaps 125
5.1 Convertible Bonds 125
Introduction 125
Deterministic Risk Premium in Convertible Bonds 127
Non Black Scholes Models for Convertible Bonds 132
5.2 Convertible Bond Asset Swaps 137
Introduction 137
Pricing and Analysis 140
Contents xi
CHAPTER 6
Data Representation 147
6.1 XML 149
Tags and Elements 150
Attributes 151
Namespaces 151
Processing Instructions 152
Comments 152
Nesting 152
Parsing XML 153
Multiple Representation 154
6.2 XML Schema 154
6.3 XML Transformation 157
XML Document Transformation 158
Transformation into HTML 160
6.4 Representing Equity Derivative Market Data 162
CHAPTER 7
Application Connectivity 165
7.1 Components 166
7.2 Distributed Components 167
DCOMandCORBA 168
7.3 SOAP 168
SOAP Structure 171
SOAP Security 173
State z« i Scalability 175
7.4 Web Services 177
WSDL 177
UDDJ 179
CHAPTER 8
Web Based Quantitative Services 181
8.1 Web Pricing Servers 183
Thread Safety Issues in Web Servers 186
8.2 Model Integration into Risk Management and
Booking Systems 187
A Position Server 190
8.3 Web Applications and Dynamic Web Pages 191
Option Calculator Pages 193
Providing Pricing Applications to Clients 195
xii Contents
CHAPTER 9
Portfolio and Hedging Simulation 199
9.1 Introduction 199
9.2 Algorithm and Software Design 199
9.3 Example: Discrete Hedging and Volatility
Misspecification 201
9.4 Example: Hedging a Heston Market 205
9.5 Example: Constant Proportion Portfolio Insurance 206
9.6 Server Integration 209
REFERENCES 211
INDEX 219
|
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| discipline | Mathematik Wirtschaftswissenschaften |
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| illustrated | Illustrated |
| indexdate | 2024-07-09T19:57:03Z |
| institution | BVB |
| isbn | 0471436461 |
| language | English |
| lccn | 2001026547 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-012766010 |
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| physical | XII, 222 S. graph. Darst. |
| publishDate | 2002 |
| publishDateSearch | 2002 |
| publishDateSort | 2002 |
| publisher | Wiley |
| record_format | marc |
| spelling | Equity derivatives theory and applications Marcus Overhaus ... New York Wiley 2002 XII, 222 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Derivativos larpcal Derivative securities Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Hedging (DE-588)4123357-8 gnd rswk-swf Bewertung (DE-588)4006340-9 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 s Bewertung (DE-588)4006340-9 s Hedging (DE-588)4123357-8 s Derivat Wertpapier (DE-588)4381572-8 s Finanzmathematik (DE-588)4017195-4 s DE-604 Overhaus, Marcus Sonstige oth http://www.loc.gov/catdir/toc/onix07/2001026547.html Table of Contents HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012766010&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Equity derivatives theory and applications Derivativos larpcal Derivative securities Portfoliomanagement (DE-588)4115601-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Hedging (DE-588)4123357-8 gnd Bewertung (DE-588)4006340-9 gnd |
| subject_GND | (DE-588)4115601-8 (DE-588)4017195-4 (DE-588)4381572-8 (DE-588)4123357-8 (DE-588)4006340-9 |
| title | Equity derivatives theory and applications |
| title_auth | Equity derivatives theory and applications |
| title_exact_search | Equity derivatives theory and applications |
| title_full | Equity derivatives theory and applications Marcus Overhaus ... |
| title_fullStr | Equity derivatives theory and applications Marcus Overhaus ... |
| title_full_unstemmed | Equity derivatives theory and applications Marcus Overhaus ... |
| title_short | Equity derivatives |
| title_sort | equity derivatives theory and applications |
| title_sub | theory and applications |
| topic | Derivativos larpcal Derivative securities Portfoliomanagement (DE-588)4115601-8 gnd Finanzmathematik (DE-588)4017195-4 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Hedging (DE-588)4123357-8 gnd Bewertung (DE-588)4006340-9 gnd |
| topic_facet | Derivativos Derivative securities Portfoliomanagement Finanzmathematik Derivat Wertpapier Hedging Bewertung |
| url | http://www.loc.gov/catdir/toc/onix07/2001026547.html http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=012766010&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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