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The Mathematics of Financial Models + Website : Solving Real-World Problems with Quantitative Methods.
Learn how quantitative models can help fight client problems head-on Before financial problems can be solved, they need to be fully understood. Since in-depth quantitative modeling techniques are a powerful tool to understanding the drivers associated with financial problems, one would need a solid...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Hoboken :
Wiley,
2014.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- The Mathematics of Financial Models; Contents; Preface; Acknowledgments; 1 Setting the Stage; Why Is This Book Different?; Road Map of the Book; References; 2 Building Zero Curves; Market Instruments; Treasury Bills; Treasury Notes; Treasury Bonds; Eurodollar Futures; Swaps; Linear Interpolation; Step 1: Convert Eurodollar Futures Prices to Forward Rates; Step 2: Calibrate Zero Rates for First Year; Step 3: Calibrate to Obtain Zero Rates for First Two Years; Step 4: Calibrate to Obtain Zero Rates for First Five Years; Cubic Splining; Splining over One Time Interval.
- Splining over Two Time IntervalsSplining over Four Time Intervals; Splining over All Time Intervals; Appendix: Finding Swap Rates Using A Floating Coupon Bond Approach; References; 3 Valuing Vanilla Options; Black-Scholes Formulae; Adaptations of the Black-Scholes Formulae; Pricing Options on Dividend-Paying Stocks; Pricing Options on Futures Contracts; Pricing Options on Forward Contracts; Limitations of the Black-Scholes Formulae; Application in Currency Risk Management; Risk-Management Strategies-Pros and Cons; Incorporating Views into Strategies; Appendix; Finding a Forward Bond Yield.
- Valuing Path-Dependent, European-Style Options on a Single VariableAveraging Options; Installment Options; Valuing path-Independent, European-Style Options on Two Variables; Exchange Options; Spread Options; Valuing Path-Dependent, European-Style Options on Multiple Variables; Averaging Spread Options; Lookback Basket Options; References; 6 Estimating Model Parameters; Calibration of Parameters in the Black-Scholes Model; Inferring qt, T; Using Implied Black-Scholes Volatility Surface and Zero Rate Term Structure to Value Options; Using Volatility Term Structure; Using Volatility Surface.
- Getting the Implied Stock Prices When i = 0Getting the Implied Probabilities When i = 0; Getting the Implied Stock Prices When i = 1; Getting the Implied Probabilities When i = 1; Calibration of Interest Rate Option Model Parameters; Statistical Estimation; Using Historical Implied Volatilities; Using Historical Underlying Values; References; 7 The Effectiveness of Hedging Strategies; Delta Hedging; Hedging the Sale of a Vanilla European-Style Call Option on a Nondividend-Paying Stock; Hedging the Sale of a Vanilla European-Style Call Option on a Dividend-Paying Stock.