Applied Quantitative Finance for Equity Derivatives, second edition - Image 1

£57.45

Lulu Applied Quantitative Finance for Equity Derivatives, second edition

Name: Applied Quantitative Finance for Equity Derivatives, second edition
Brand: Lulu
Price: 57.45 GBP
Availability: InStock

Science, Nature & Maths

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Revised and corrected in December 2018, this book presents the most significant equity derivatives models used these days. It is not a book around esoteric or cutting-edge models, but rather a book on relatively simple and standard models, viewed from the angle of a practitioner. A few key subjects explained in this book are: cash dividends for European, American, or exotic options; issues of the Dupire local volatility model and possible fixes; finite difference techniques for American options and exotics; Non-parametric regression for American options in Monte-Carlo, randomized simulations; the particle method for stochastic-local-volatility model with quasi-random numbers; numerical methods for the variance and volatility swaps; quadratures for options under stochastic volatility models; VIX options and dividend derivatives; backward/forward representation of exotics. This second edition adds new arbitrage-free implied volatility interpolations, and covers various warrants, such as CBBCs.

Product Specifications

Brand: Lulu
Format: Hardcover
ASIN: 0244741581
Category: Books > Subjects > Science, Nature & Maths
Domain: Amazon UK
Release Date: 22 January 2019
Listed Since: 13 February 2019

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Lulu Applied Quantitative Finance for Equity Derivatives, second edition

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