Derivatives: models on models
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Chichester [u.a.]
Wiley
2007
|
| Edition: | Reprint. |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis Klappentext |
| Physical Description: | XIII, 368 S. Ill., graph. Darst. 1 CD-ROM (12 cm) |
| ISBN: | 0470013222 9780470013229 |
Staff View
MARC
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| adam_text | Contents
Author s Disclaimer
ix
Introduction
χ
Derivatives Models on Models
xv
Nassim Taleb on Black Swans
1
Chapter
1
The Discovery of Fat-Tails in Price Data
17
Edward Thorp on Gambling and Trading
27
Chapter
2
Option Pricing and Hedging from Theory to Practice: Know Your
Weapon
Ш
33
1
The Partly Ignored and Forgotten History
34
2
Discrete Dynamic Delta Hedging under Geometric Brownian Motion
44
3
Dynamic Delta Hedging Under Jump-Diffusion
50
4
Equilibrium Models
54
5
Portfolio Construction and Options Against Options
55
6
Conclusions
63
Alan Lewis on Stochastic Volatility and Jumps
71
Chapter
3
Back to Basics: A New Approach to the Discrete Dividend Problem
79
Together with J0rgen Haug and Alan Lewis
1
Introduction
79
2
General Solution
82
3
Dividend Models
87
4
Applications
89
Emanuel
Derman
the Wall Street Quant
101
Chapter
4
Closed Form Valuation of American Barrier Options
115
1
Analytical Valuation of American Barrier Options
115
VI
CONTENTS
2
Numerical Comparison
116
3
Conclusion
118
Peter Carr, The Wall Street Wizard of Option Symmetry and Volatility
121
Chapter
5
Valuation of Complex Barrier Options Using Barrier Symmetry
129
1
Plain Vanilla Put-Call Symmetry
129
2
Barrier Put-Call Symmetry
130
3
Simple, Intuitive and Accurate Valuation of Double Barrier
Options
132
4
Static Hedging in the Real World
137
5
Conclusion
138
Granger on
Cointegration
141
Chapter
6
Knock-in/out
Margrabe 145
with J0rgen Haug
1 Margrabe
Options
145
2
Knock-in/out
Margrabe
Options
146
3
Applications
147
Stephen Ross on APT
153
Chapter
7
Resetting Strikes, Barriers and Time
157
with J0rgen Haug
1
Introduction
157
2
Reset Strike Barrier Options
160
3
Reset Barrier Options
161
4
Resetting Time
162
5
Conclusion
163
Bruno Dupire the Stochastic Wall Street Quant
167
Chapter
8
Asian Pyramid Power
177
with J0rgen Haug and William
Margrabe
1
Celia in
Deri
vati vesland
177
2
Calibrating to the Term Structure of Volatility
180
3
From Geometric to Arithmetic
184
4
The Dollars
185
Eduardo
Schwartz: the Yoga Master of Mathematical Finance
191
CONTENTS
VU
Chapter
9
Practical Valuation of Power Derivatives
197
1
Introduction
197
2
Energy Swaps/Forwards
199
3
Power Options
202
4
Still, What About Fat-Tails?
209
Aaron Brown on Gambling, Poker and Trading
211
Chapter
10
A Look in the Antimatter Mirror
223
1
Garbage in, Garbage Out?
223
2
Conclusion
227
Knut Aase
on Catastrophes and Financial Economics
231
Chapter
11
Negative Volatility and the Survival of the Western Financial Markets
239
Knut K.
Aase
1
Introduction
239
2
Negative Volatility
-
A Direct Approach
240
3
The Value of a European Call Option for any Value
-
Positive or Neg¬
ative
-
of the Volatility
240
4
Negative Volatility
-
The Haug interpretation
242
5
Chaotic Behavior from Deterministic Dynamics
242
6
Conclusions
243
Elie Ayache
on Option Trading and Modeling
247
Chapter
12
Frozen Time Arbitrage
267
1
Time Measure Arbitrage
268
2
Time Travel Arbitrage
269
3
Conclusion
273
Haug on Wilmott and Wilmott on Wilmott
277
Chapter
13
Space-time Finance The Relativity Theory s Implications for Mathe¬
matical Finance
287
1
Introduction
287
2
Time dilation
290
3
Advanced stage of Space-time Finance
292
4
Space-time Uncertainty
293
5
Is High Speed Velocity Possible?
295
6
Black-Scholes in Special Relativity
299
7
Relativity and Fat-Tailed Distributions
301
viii CONTENTS
8
General Relativity and Space-time Finance
302
9
Was Einstein Right?
305
10
Traveling Back in Time Using
Wormholes
307
11
Conclusion
308
Andrei Khrennikov on Negative Probabilities
317
Chapter
14
Why so Negative about Negative Probabilities?
323
1
The History of Negative Probability
323
2
Negative Probabilities in Quantitative Finance
324
3
Getting the Negative Probabilities to Really Work in Your Favor
327
4
Hidden Variables in Finance
328
5
The Future of Negative Probabilities in Quantitative Finance
329
6
Appendix: Negative Probabilities in CRR Equivalent Trinomial Tree
330
David Bates on Crash and Jumps
335
Chapter
15
Hidden Conditions and Coin Flip Blow Up s
343
1
Blowing Up
343
2
Coin Flip Blow Up s
344
Peter
Jäckel
on Monte Carlo Simulation
349
Index
359
DR ESPEN GAARDER HAUG
has more
than
15
years of experience in Derivatives
research and trading. Until recently he worked
as a proprietary trader in J.P. Morgan New
York, and as a derivatives trader for two multi-
billion dollar hedge funds; Amaranth Investor
and
Paloma
Partners, located in Greenwich
Connecticut. Before that he worked for
Tempus
Financial Engineering, Chase
Manhattan Bank (now J.P. Morgan Chase) and
Den Norske
Bank. He is also currently an
Adjunct Associate Professor at the Norwegian
University of Science and Technology.
Dr Haug
is the author of The Complete Guide
to Option Pricing Formulas, which has become
a reference manual among Wall Street
professionals. He has a PhD from the
Norwegian University of Science and
Technology where he specialized in Option
Valuation and Trading and has published
extensively in practitioner and academic
journals. He is currently considering setting up
his own investment company
-
possibly the
first Anti-Hedge fund!
This book takes a theoretical and practical look at some of the latest and most
important ideas behind derivatives pricing models. In each chapter the author
highlights the latest thinking and trends in the area. A wide range of topics is covered,
including valuation methods on stocks paying discrete dividend, Asian options,
American barrier options, complex barrier options, reset options, and electricity
derivatives. The book also discusses the latest ideas surrounding finance like the
robustness of dynamic delta hedging, option hedging, negative probabilities and space-
time finance.
The accompanying CD with additional Excel sheets includes the mathematical models
covered in the book.
The book also includes interviews with some of the world s top names in the industry
and
academia,
and an insight into the history behind some of the greatest discoveries
in quantitative finance. Interviewees include:
Nassim Taleb on Black Swans
Edward Thorp on Gambling and Trading
Alan Lewis on Stochastic Volatility and
Jumps
Emanuel
Derman,
the Wall Street Quant
Peter Carr, the Wall Street Wizard of Option
Symmetry and Volatility
Clive
Granger, Nobel Prize winner in
Economics
2003,
on
Coîntegration
Stephen Ross on Arbitrage Pricing Theory
Bruno Dupire on Local and Stochastic
Volatility Models
Eduardo
Schwartz, the Yoga Master of
Quantitative Finance
Aaron Brown on Gambling, Poker and
Trading
Knut Aase
on Catastrophes and Financial
Economics
Elie
Ayache on Option Trading and Modeling
Paul Wilmott on Paul Wilmott
Andrei Khrennikov on Negative
Probabilities
David Bates on Crash and Jumps
Peter Jacket on Monte Carlo Simulation
|
| adam_txt |
Contents
Author's "Disclaimer"
ix
Introduction
χ
Derivatives Models on Models
xv
Nassim Taleb on Black Swans
1
Chapter
1
The Discovery of Fat-Tails in Price Data
17
Edward Thorp on Gambling and Trading
27
Chapter
2
Option Pricing and Hedging from Theory to Practice: Know Your
Weapon
Ш
33
1
The Partly Ignored and Forgotten History
34
2
Discrete Dynamic Delta Hedging under Geometric Brownian Motion
44
3
Dynamic Delta Hedging Under Jump-Diffusion
50
4
Equilibrium Models
54
5
Portfolio Construction and Options Against Options
55
6
Conclusions
63
Alan Lewis on Stochastic Volatility and Jumps
71
Chapter
3
Back to Basics: A New Approach to the Discrete Dividend Problem
79
Together with J0rgen Haug and Alan Lewis
1
Introduction
79
2
General Solution
82
3
Dividend Models
87
4
Applications
89
Emanuel
Derman
the Wall Street Quant
101
Chapter
4
Closed Form Valuation of American Barrier Options
115
1
Analytical Valuation of American Barrier Options
115
VI
CONTENTS
2
Numerical Comparison
116
3
Conclusion
118
Peter Carr, The Wall Street Wizard of Option Symmetry and Volatility
121
Chapter
5
Valuation of Complex Barrier Options Using Barrier Symmetry
129
1
Plain Vanilla Put-Call Symmetry
129
2
Barrier Put-Call Symmetry
130
3
Simple, Intuitive and Accurate Valuation of Double Barrier
Options
132
4
Static Hedging in the Real World
137
5
Conclusion
138
Granger on
Cointegration
141
Chapter
6
Knock-in/out
Margrabe 145
with J0rgen Haug
1 Margrabe
Options
145
2
Knock-in/out
Margrabe
Options
146
3
Applications
147
Stephen Ross on APT
153
Chapter
7
Resetting Strikes, Barriers and Time
157
with J0rgen Haug
1
Introduction
157
2
Reset Strike Barrier Options
160
3
Reset Barrier Options
161
4
Resetting Time
162
5
Conclusion
163
Bruno Dupire the Stochastic Wall Street Quant
167
Chapter
8
Asian Pyramid Power
177
with J0rgen Haug and William
Margrabe
1
Celia in
Deri
vati vesland
177
2
Calibrating to the Term Structure of Volatility
180
3
From Geometric to Arithmetic
184
4
The Dollars
185
Eduardo
Schwartz: the Yoga Master of Mathematical Finance
191
CONTENTS
VU
Chapter
9
Practical Valuation of Power Derivatives
197
1
Introduction
197
2
Energy Swaps/Forwards
199
3
Power Options
202
4
Still, What About Fat-Tails?
209
Aaron Brown on Gambling, Poker and Trading
211
Chapter
10
A Look in the Antimatter Mirror
223
1
Garbage in, Garbage Out?
223
2
Conclusion
227
Knut Aase
on Catastrophes and Financial Economics
231
Chapter
11
Negative Volatility and the Survival of the Western Financial Markets
239
Knut K.
Aase
1
Introduction
239
2
Negative Volatility
-
A Direct Approach
240
3
The Value of a European Call Option for any Value
-
Positive or Neg¬
ative
-
of the Volatility
240
4
Negative Volatility
-
The Haug interpretation
242
5
Chaotic Behavior from Deterministic Dynamics
242
6
Conclusions
243
Elie Ayache
on Option Trading and Modeling
247
Chapter
12
Frozen Time Arbitrage
267
1
Time Measure Arbitrage
268
2
Time Travel Arbitrage
269
3
Conclusion
273
Haug on Wilmott and Wilmott on Wilmott
277
Chapter
13
Space-time Finance The Relativity Theory's Implications for Mathe¬
matical Finance
287
1
Introduction
287
2
Time dilation
290
3
Advanced stage of Space-time Finance
292
4
Space-time Uncertainty
293
5
Is High Speed Velocity Possible?
295
6
Black-Scholes in Special Relativity
299
7
Relativity and Fat-Tailed Distributions
301
viii CONTENTS
8
General Relativity and Space-time Finance
302
9
Was Einstein Right?
305
10
Traveling Back in Time Using
Wormholes
307
11
Conclusion
308
Andrei Khrennikov on Negative Probabilities
317
Chapter
14
Why so Negative about Negative Probabilities?
323
1
The History of Negative Probability
323
2
Negative Probabilities in Quantitative Finance
324
3
Getting the Negative Probabilities to Really Work in Your Favor
327
4
Hidden Variables in Finance
328
5
The Future of Negative Probabilities in Quantitative Finance
329
6
Appendix: Negative Probabilities in CRR Equivalent Trinomial Tree
330
David Bates on Crash and Jumps
335
Chapter
15
Hidden Conditions and Coin Flip Blow Up's
343
1
Blowing Up
343
2
Coin Flip Blow Up's
344
Peter
Jäckel
on Monte Carlo Simulation
349
Index
359
DR ESPEN GAARDER HAUG
has more
than
15
years of experience in Derivatives
research and trading. Until recently he worked
as a proprietary trader in J.P. Morgan New
York, and as a derivatives trader for two multi-
billion dollar hedge funds; Amaranth Investor
and
Paloma
Partners, located in Greenwich
Connecticut. Before that he worked for
Tempus
Financial Engineering, Chase
Manhattan Bank (now J.P. Morgan Chase) and
Den Norske
Bank. He is also currently an
Adjunct Associate Professor at the Norwegian
University of Science and Technology.
Dr Haug
is the author of The Complete Guide
to Option Pricing Formulas, which has become
a reference manual among Wall Street
professionals. He has a PhD from the
Norwegian University of Science and
Technology where he specialized in Option
Valuation and Trading and has published
extensively in practitioner and academic
journals. He is currently considering setting up
his own investment company
-
possibly the
first Anti-Hedge fund!
This book takes a theoretical and practical look at some of the latest and most
important ideas behind derivatives pricing models. In each chapter the author
highlights the latest thinking and trends in the area. A wide range of topics is covered,
including valuation methods on stocks paying discrete dividend, Asian options,
American barrier options, complex barrier options, reset options, and electricity
derivatives. The book also discusses the latest ideas surrounding finance like the
robustness of dynamic delta hedging, option hedging, negative probabilities and space-
time finance.
The accompanying CD with additional Excel sheets includes the mathematical models
covered in the book.
The book also includes interviews with some of the world's top names in the industry
and
academia,
and an insight into the history behind some of the greatest discoveries
in quantitative finance. Interviewees include:
Nassim Taleb on Black Swans
Edward Thorp on Gambling and Trading
Alan Lewis on Stochastic Volatility and
Jumps
Emanuel
Derman,
the Wall Street Quant
Peter Carr, the Wall Street Wizard of Option
Symmetry and Volatility
Clive
Granger, Nobel Prize winner in
Economics
2003,
on
Coîntegration
Stephen Ross on Arbitrage Pricing Theory
Bruno Dupire on Local and Stochastic
Volatility Models
Eduardo
Schwartz, the Yoga Master of
Quantitative Finance
Aaron Brown on Gambling, Poker and
Trading
Knut Aase
on Catastrophes and Financial
Economics
Elie
Ayache on Option Trading and Modeling
Paul Wilmott on Paul Wilmott
Andrei Khrennikov on Negative
Probabilities
David Bates on Crash and Jumps
Peter Jacket on Monte Carlo Simulation |
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| classification_rvk | QK 660 |
| ctrlnum | (OCoLC)70401753 (DE-599)BVBBV023104147 |
| dewey-full | 332.6457011 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
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| id | DE-604.BV023104147 |
| illustrated | Illustrated |
| index_date | 2024-07-02T19:45:56Z |
| indexdate | 2024-07-09T21:11:07Z |
| institution | BVB |
| isbn | 0470013222 9780470013229 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016306839 |
| oclc_num | 70401753 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-945 |
| owner_facet | DE-355 DE-BY-UBR DE-945 |
| physical | XIII, 368 S. Ill., graph. Darst. 1 CD-ROM (12 cm) |
| publishDate | 2007 |
| publishDateSearch | 2007 |
| publishDateSort | 2007 |
| publisher | Wiley |
| record_format | marc |
| spelling | Haug, Espen Gaarder Verfasser aut Derivatives models on models Espen Gaarder Haug Reprint. Chichester [u.a.] Wiley 2007 XIII, 368 S. Ill., graph. Darst. 1 CD-ROM (12 cm) txt rdacontent n rdamedia nc rdacarrier Instruments dérivés (Finances) - Modèles mathématiques Inversiones - Modelos matemáticos Mathematisches Modell Derivative securities Mathematical models Preismodell (DE-588)4175626-5 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 s Preismodell (DE-588)4175626-5 s DE-604 Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016306839&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016306839&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Haug, Espen Gaarder Derivatives models on models Instruments dérivés (Finances) - Modèles mathématiques Inversiones - Modelos matemáticos Mathematisches Modell Derivative securities Mathematical models Preismodell (DE-588)4175626-5 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4175626-5 (DE-588)4381572-8 |
| title | Derivatives models on models |
| title_auth | Derivatives models on models |
| title_exact_search | Derivatives models on models |
| title_exact_search_txtP | Derivatives models on models |
| title_full | Derivatives models on models Espen Gaarder Haug |
| title_fullStr | Derivatives models on models Espen Gaarder Haug |
| title_full_unstemmed | Derivatives models on models Espen Gaarder Haug |
| title_short | Derivatives |
| title_sort | derivatives models on models |
| title_sub | models on models |
| topic | Instruments dérivés (Finances) - Modèles mathématiques Inversiones - Modelos matemáticos Mathematisches Modell Derivative securities Mathematical models Preismodell (DE-588)4175626-5 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Instruments dérivés (Finances) - Modèles mathématiques Inversiones - Modelos matemáticos Mathematisches Modell Derivative securities Mathematical models Preismodell Derivat Wertpapier |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016306839&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016306839&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT haugespengaarder derivativesmodelsonmodels |