More mathematical finance:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Melbourne
Pilot Whale Press
2011
|
| Ausgabe: | 1. publ. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XV, 484 S. graph. Darst. |
| ISBN: | 9780987122803 0987122800 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV039803287 | ||
| 003 | DE-604 | ||
| 005 | 20131001 | ||
| 007 | t | ||
| 008 | 120113s2011 d||| |||| 00||| eng d | ||
| 020 | |a 9780987122803 |9 978-0-9871228-0-3 | ||
| 020 | |a 0987122800 |9 0-9871228-0-0 | ||
| 035 | |a (OCoLC)775087498 | ||
| 035 | |a (DE-599)BVBBV039803287 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 049 | |a DE-355 |a DE-29T |a DE-19 |a DE-384 | ||
| 084 | |a QP 890 |0 (DE-625)141965: |2 rvk | ||
| 084 | |a SK 980 |0 (DE-625)143277: |2 rvk | ||
| 100 | 1 | |a Joshi, Mark Suresh |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a More mathematical finance |c Mark S. Joshi |
| 250 | |a 1. publ. | ||
| 264 | 1 | |a Melbourne |b Pilot Whale Press |c 2011 | |
| 300 | |a XV, 484 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 0 | 7 | |a Finanzmathematik |0 (DE-588)4017195-4 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Finanzmathematik |0 (DE-588)4017195-4 |D s |
| 689 | 0 | |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=024663707&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-024663707 | ||
Datensatz im Suchindex
| _version_ | 1804148732142288896 |
|---|---|
| adam_text | Titel: More mathematical finance
Autor: Joshi, Mark S.
Jahr: 2011
Contents
Preface xiii
Chapter 1. Optionality, convexity and volatility 1
1.1. Introduction 1
1.2. Volatility and convexity 1
1.3. Convexity and optionality 3
1.4. Is convexity necessary? 7
1.5. Key points 8
1.6. Further reading 8
1.7. Exercises 8
Chapter 2. Where does the money go? 9
2.1. Introduction 9
2.2. The money bleed 10
2.3. Analyzing the examples 14
2.4. Volatility convexity and the existence of smiles 17
2.5. Key Points 21
2.6. Further reading 21
2.7. Exercises 21
Chapter 3. The Bachelier model 23
3.1. Introduction 23
3.2. The pricing formula 23
3.3. Approximations and comparisons 26
3.4. Key points 27
3.5. Further reading 27
3.6. Exercises 27
Chapter 4. Deriving the Delta 29
4.1. Introduction 29
4.2. The stock measure 29
4.3. Homogeneity 30
4.4. Other cases 31
4.5. Key points 32
4.6. Further reading 32
4.7. Exercises 32
Chapter 5. Volatility derivatives and model-free dynamic replication 33
5.1. Introduction 33
5.2. Variance swaps 34
5.3. Pricing general volatility derivatives 36
5.4. Hedging a volatility derivative 38
5.5. Key points 40
5.6. Further reading 40
5.7. Exercises 40
Chapter 6. Credit derivatives 41
6.1. Introduction 41
6.2. The basic instruments 42
6.3. The philosophy of pricing credit derivatives 46
6.4. Hazard rates 48
6.5. Pricing simple credit instruments 50
6.6. Key points 50
6.7. Further reading 51
6.8. Exercises 51
Chapter 7. The Monte Carlo pricing of portfolio credit derivatives 53
7.1. Introduction 53
7.2. The Li model 54
7.3. Importance sampling for basket default swaps 56
7.4. Tranched CDOs by Monte Carlo 59
7.5. The default density in the Li Model 62
7.6. The likelihood ratio method for basket credit derivatives 63
7.7. The pathwise method for nth-to-default swaps 65
7.8. Key points 67
7.9. Further reading 67
7.10. Exercises 68
Chapter 8. Quasi-analytic methods for pricing portfolio credit derivatives 71
8.1. Introduction 71
8.2. The loss distribution for independent defaults 72
8.3. Computing the loss distribution in a single-factor model 73
8.4. Turning loss distributions into prices 74
8.5. Stochastic recovery rates 76
8.6. The Fourier transform approach 77
8.7. Bucketing 78
8.8. Key points 79
8.9. Further reading 80
8.10. Exercises 80
Chapter 9. Implied correlation for portfolio credit derivatives 81
9.1. Introduction 81
9.2. Implied correlations 82
9.3. Base correlation 85
9.4. Mapping methodologies 87
9.5. Hedging and the computation of Greeks 89
9.6. Key points 91
9.7. Further reading 92
9.8. Exercises 92
Chapter 10. Alternate models for portfolio credit derivatives 93
10.1. Introduction 93
10.2. Random factor loadings 95
10.3. Elliptic copulas 100
10.4. Multiple default processes 102
10.5. Intensity Gamma 104
10.6. Key points 111
10.7. Further reading 111
10.8. Exercises 111
Chapter 11. The non-commutativity of discretization 113
11.1. Introduction 113
11.2. Discretization and risk-neutrality 113
11.3. Discretization and Greeks 117
11.4. Factor reduction 120
11.5. Importance sampling 122
11.6. Coordinate changes 123
11.7. Calibration 124
11.8. Key points 127
11.9. Further reading 127
11.10. Exercises 127
Chapter 12. What is a factor? 129
12.1. Introduction 129
12.2. Factors for an implementation of the LMM 130
12.3. Factor reduction 132
12.4. The number of common factors 136
12.5. The dimension of the space attainable 138
12.6. Markovian dimension with drifts 142
12.7. Markov functional models 144
12.8. Matrix separability 146
12.9. Key points 148
12.10. Further reading 148
12.11. Exercises 149
Chapter 13. Early exercise and Monte Carlo Simulation 151
13.1. Introduction 151
13.2. A sketch of the least-squares method 152
13.3. The details of the least-squares algorithm 153
13.4. Carrying out the regression 155
13.5. Breaking a contract 157
13.6. Assessing and extending least-squares 159
13.7. Upper bounds and the seller s price 160
13.8. Recharacterising the optimal hedge 163
13.9. Upper bounds for breakable contracts 165
13.10. Never exercise sub-optimally 166
13.11. Multiplicative upper bounds 167
13.12. Key points 172
13.13. Further reading 172
13.14. Exercises 172
Chapter 14. The Brownian bridge 175
14.1. Introduction 175
14.2. Reducing to the driftless case 175
14.3. The law of the minimum for a Brownian bridge 177
14.4. The distribution at intervening times 178
14.5. Using the Brownian bridge for path generation 180
14.6. The geometric bridge 181
14.7. Key points 183
14.8. Further reading 183
14.9. Exercises 183
Chapter 15. Quasi Monte Carlo Simulation 185
15.1. Introduction 185
15.2. Choices and more choices 187
15.3. The proper use of Sobol numbers 192
15.4. Assessing convergence 200
15.5. Key points 205
15.6. Further reading 205
15.7. Exercises 205
Chapter 16. Pricing continuous barrier options using a jump-diffusion
model 207
16.1. Introduction 207
16.2. The Merton jump-diffusion model 209
16.3. Importance sampling and stratification 210
16.4. The price conditional on no jumps occurring 211
16.5. The algorithm 212
16.6. Numerical results 213
16.7. Key points 217
16.8. Further reading 218
16.9. Exercises 218
Chapter 17. The Fourier-Laplace transform and option pricing 219
17.1. Introduction 219
17.2. Definitions and basic results 219
17.3. Working with the log forward 228
17.4. The Fourier transform in log-strike space 233
17.5. The time-value approach 239
17.6. The probability decomposition approach 241
17.7. Working with characteristic functions 242
17.8. Known characteristic functions 244
17.9. The Heston characteristic function 247
17.10. Numerical implementation 249
17.11. Key points 251
17.12. Further reading 251
17.13. Exercises 251
Chapter 18. The cos method 253
18.1. Introduction 253
18.2. Cosine series 253
18.3. Cosine series and characteristic functions 255
18.4. European option pricing 256
18.5. Homogeneous models and the cos method 259
18.6. Bermudan options 260
18.7. American options 263
18.8. Key points 264
18.9. Further reading 264
18.10. Exercises 264
Chapter 19. What are market models? 265
19.1. Introduction 265
19.2. The general set-up 266
19.3. Drifts and martingales 267
19.4. Calibration 268
19.5. Products 272
19.6. Key points 279
19.7. Further reading 280
19.8. Exercises 280
Chapter 20. Discounting in market models 281
20.1. Introduction 281
20.2. Possible numeraires 282
20.3. The most common choices and their consequences 284
20.4. Using the numeraire to discount 286
20.5. Numeraire matching, variance reduction and discretization bias 288
20.6. Forward discounting in the spot measure 289
20.7. Key points 290
20.8. Further reading 291
20.9. Exercises 291
Chapter 21. Drifts again 293
21.1. Introduction 293
21.2. Rapid computation of drifts 293
21.3. Evolving the bond 295
21.4. Positivity issues with bond evolution 297
21.5. Predictor corrector 299
21.6. Stopping predictor corrector 299
21.7. Pietersz-Pelsser-Regenmortel 301
21.8. Numerical comparisons of drift methods 303
21.9. Key points 305
21.10. Further reading 306
21.11. Exercises 306
Chapter 22. Adjoint and automatic Greeks 307
22.1. Introduction 307
22.2. Model Deltas using the Giles-Glasserman method 308
22.3. Pathwise Vegas in the LMM using the Giles-Glasserman method 311
22.4. The adjoint acceleration 313
22.5. The LMM as a sequence of vector operations 320
22.6. The limitations of the adjoint method 322
22.7. Forwards versus backwards 323
22.8. Key points 324
22.9. Further reading 324
22.10. Exercises 324
Chapter 23. Estimating correlation for the LIBOR market model 327
23.1. Introduction 327
23.2. The set-up 327
23.3. Time parameterization 328
23.4. Interactions with boot-strapping 329
23.5. Factor reduction 331
23.6. Other market models 332
23.7. Time-series step size 332
23.8. Correlation smoothing 333
23.9. Does it really matter? 337
23.10. Key points 338
23.11. Further reading 338
23.12. Exercises 338
Chapter 24. Swap-rate market models 341
24.1. Introduction 341
24.2. Deducing the bond-ratios for the co-terminal model 342
24.3. Cross-variation derivative 343
24.4. Swap-rate drift computations 346
24.5. Constant maturity market models 348
24.6. Co-initial swap-rates 350
24.7. Incremental market models 352
24.8. Calibrating the co-terminal swap-rate market model 356
24.9. Evolving swap-rates 357
24.10. LIBOR versus swap-rate market models 358
24.11. Key points 359
24.12. Further reading 360
24.13. Exercises 360
Chapter 25. Calibrating market models 363
25.1. Introduction 363
25.2. Understanding pseudo-square roots 365
25.3. Decomposing pseudo-roots 367
25.4. Time dependence and factor maintenance 368
25.5. Mapping between models and swaption approximations 368
25.6. Cascade calibration 371
25.7. Fitting caplets and co-terminal swaptions 374
25.8. Rescaling and LMM calibration 381
25.9. Period mismatch 383
25.10. Global optimization 385
25.11. Calibration with displacements 386
25.12. Key points 387
25.13. Further reading 388
25.14. Exercises 388
Chapter 26. Cross-currency market models 389
26.1. Introduction 389
26.2. Notation 390
26.3. Dynamics 390
26.4. Understanding calibration 393
26.5. Pricing given a calibration 395
26.6. Approximation formulas for the volatility of the forward FX rate 396
26.7. Equity-linked notes 397
26.8. Key points 398
26.9. Further reading 399
26.10. Exercises 399
Chapter 27. Mixture models 401
27.1. Introduction 401
27.2. Uncertain parameter models 402
27.3. As a smoothing methodology 403
27.4. The advantages and disadvantages 403
27.5. Key points 404
27.6. Further reading 405
27.7. Exercises 405
Chapter 28. The convergence of binomial trees 407
28.1. Introduction 407
28.2. Richardson extrapolation 408
28.3. Convergence of simple trees for European options 412
28.4. Convergence theorems 414
28.5. Redesigning trees 415
28.6. The Leisen-Reimer tree 417
28.7. Higher order convergence 419
28.8. Code for higher order trees 420
28.9. More and more trees 422
28.10. Choices for trees 425
28.11. American options 426
28.12. Assessing accuracy 428
28.13. Truncation choices 429
28.14. Key points 430
28.15. Further reading 430
28.16. Exercises 430
Chapter 29. Asymmetry in option pricing 433
29.1. Introduction 433
29.2. American optionality 434
29.3. Incomplete markets 437
29.4. Transaction costs 439
29.5. Key points 441
29.6. Further reading 441
29.7. Exercises 441
Chapter 30. A perfect model? 443
30.1. Introduction 443
30.2. The vanilla options trader 444
30.3. Dynamic hedging with a perfect model 445
30.4. The portfolio 446
30.5. The exotics trader 447
30.6. Key points 447
30.7. Further reading 448
30.8. Exercises 448
Chapter 31. The fundamental theorem of asset pricing. 449
31.1. Introduction 449
31.2. The easy direction 450
31.3. The hard direction in the discrete case 451
31.4. Attaining the minimal price 454
31.5. Key points 456
31.6. Further reading 456
31.7. Exercises 456
Appendix A. The discrete Fourier transform 457
A. 1. Introduction 457
A.2. Roots of unity 457
A.3. The discrete Fourier transform 460
A.4. The fast Fourier transform 462
A.5. The discrete Fourier transform and convolutions 463
A.6. The fast Fourier transform and matrix multiplication 464
A.7. Key points 466
A.8. Further reading 466
Bibliography 467
Index 477
|
| any_adam_object | 1 |
| author | Joshi, Mark Suresh |
| author_facet | Joshi, Mark Suresh |
| author_role | aut |
| author_sort | Joshi, Mark Suresh |
| author_variant | m s j ms msj |
| building | Verbundindex |
| bvnumber | BV039803287 |
| classification_rvk | QP 890 SK 980 |
| ctrlnum | (OCoLC)775087498 (DE-599)BVBBV039803287 |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 1. publ. |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01279nam a2200349 c 4500</leader><controlfield tag="001">BV039803287</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20131001 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">120113s2011 d||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9780987122803</subfield><subfield code="9">978-0-9871228-0-3</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">0987122800</subfield><subfield code="9">0-9871228-0-0</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)775087498</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV039803287</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-355</subfield><subfield code="a">DE-29T</subfield><subfield code="a">DE-19</subfield><subfield code="a">DE-384</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QP 890</subfield><subfield code="0">(DE-625)141965:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">SK 980</subfield><subfield code="0">(DE-625)143277:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Joshi, Mark Suresh</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">More mathematical finance</subfield><subfield code="c">Mark S. Joshi</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">1. publ.</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Melbourne</subfield><subfield code="b">Pilot Whale Press</subfield><subfield code="c">2011</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XV, 484 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="0" ind2="7"><subfield code="a">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Finanzmathematik</subfield><subfield code="0">(DE-588)4017195-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" 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=024663707&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:BVB01-024663707</subfield></datafield></record></collection> |
| id | DE-604.BV039803287 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T00:11:48Z |
| institution | BVB |
| isbn | 9780987122803 0987122800 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-024663707 |
| oclc_num | 775087498 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-29T DE-19 DE-BY-UBM DE-384 |
| owner_facet | DE-355 DE-BY-UBR DE-29T DE-19 DE-BY-UBM DE-384 |
| physical | XV, 484 S. graph. Darst. |
| publishDate | 2011 |
| publishDateSearch | 2011 |
| publishDateSort | 2011 |
| publisher | Pilot Whale Press |
| record_format | marc |
| spelling | Joshi, Mark Suresh Verfasser aut More mathematical finance Mark S. Joshi 1. publ. Melbourne Pilot Whale Press 2011 XV, 484 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024663707&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Joshi, Mark Suresh More mathematical finance Finanzmathematik (DE-588)4017195-4 gnd |
| subject_GND | (DE-588)4017195-4 |
| title | More mathematical finance |
| title_auth | More mathematical finance |
| title_exact_search | More mathematical finance |
| title_full | More mathematical finance Mark S. Joshi |
| title_fullStr | More mathematical finance Mark S. Joshi |
| title_full_unstemmed | More mathematical finance Mark S. Joshi |
| title_short | More mathematical finance |
| title_sort | more mathematical finance |
| topic | Finanzmathematik (DE-588)4017195-4 gnd |
| topic_facet | Finanzmathematik |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024663707&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT joshimarksuresh moremathematicalfinance |