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Equity Hybrid Derivatives, Overhaus

Equity Hybrid Derivatives

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: Overhaus
 Equity Hybrid Derivatives   ( )
: Wiley
: John Wiley & Sons

ISBN: 0471770582
ISBN-13(EAN): 9780471770589
ISBN: 0-471-77058-2
ISBN-13(EAN): 978-0-471-77058-9
/: Hardcover
: 336
: 0.752 .
: 20.02.2007
: Wiley finance (hardcover)
: Illustrations
: 25.45 x 18.54 x 2.92 cm
: Professional & vocational
: Offers an in-depth look at equity hybrid derivatives. Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book presents information on modeling, valuing, and hedging for this market, which is increasingly used for investment by hedge funds.
: Praise for Equity Hybrid Derivatives "Hybrids represent the fastest growing segment in the derivatives business. Written by perhaps the finest quant shop in the world, this book presents the state of the art in modeling equity hybrid derivatives. " --Peter Carr, PhD, Head of Quantitative Financial Research Bloomberg L.P.

  -  . /
1 .
: 10 2017
: 13 2017
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Structured Products Volume 2: Equity; Commodity; Credit & New Markets (The Swaps & Financial Derivatives Library), 3rd Edition Revised

: Satyajit Das
: Structured Products Volume 2: Equity; Commodity; Credit & New Markets (The Swaps & Financial Derivatives Library), 3rd Edition Revised
ISBN: 0470821671 ISBN-13(EAN): 9780470821671
: Wiley
: 7480 .
: .
: Structured Products Volume 2 consists of 5 Parts and 21 Chapters covering equity derivatives (including equity swaps/options, convertible securities and equity linked notes) , commodity derivatives (including energy, metal and agricultural derivatives), credit derivatives (including credit linked notes/collateralised debt obligations ("CDOs")), new derivative markets (including inflation linked derivatives and notes, insurance derivatives, weather derivatives, property, bandwidth/telephone minutes, macro-economic index and emission/environmental derivatives ) and tax based applications of derivatives. It also covers the structure and evolution of derivative markets including electronic trading markets and the origins, evolution and prospects for derivative markets.
55. Equity Derivatives - Equity Futures; Equity Options/Warrants & Equity Swaps
56. Convertible Securities
57. Structured Convertible Securities
58. Equity Linked Notes
59. Equity Derivatives - Investor Applications
60. Equity Capital Management - Corporate Finance Applications of Equity Derivatives
61. Commodity Derivatives - Commodity Futures/Options, Commodity Swaps and Comdity Linked Notes
62. Commodity Derivatives - Energy (Oil, Natural Gas and Electricity) Markets
63. Commodity Derivatives - Metal Markets
64. Commodity Derivatives - Agricultural and Other Markets
65. Credit Derivative Products
66. Credit Linked Notes/Collateralised Debt Obligations
67. Credit Derivatives/Default Risk - Pricing and Modelling
68. Credit Derivatives - Applications/Markets
69. Inflation Indexed Notes and Derivatives.
70. Alternative Risk Transfer/Insurance Derivatives
71. Weather Derivatives
72. New Markets - Property; Bandwidth; Macro-Economic & Environmental Derivatives
73. Tax and Structured Derivatives Transactions
74. Electronic Markets and Derivatives Trading
75. Financial Derivatives - Evolution and Prospects

Structured Products Volume 1: Exotic Options; Interest Rates & Currency (The Swaps & Financial Derivatives Library), 3rd Edition Revised

: Satyajit Das
: Structured Products Volume 1: Exotic Options; Interest Rates & Currency (The Swaps & Financial Derivatives Library), 3rd Edition Revised
ISBN: 0470821663 ISBN-13(EAN): 9780470821664
: Wiley
: 7480 .
: .
: Structured Products Volume 1 consists of 4 Parts and 20 Chapters covering applications of derivatives, the creation of synthetic assets using derivaves (such as asset swaps, structured notes and repackaged assets), exotic options, non-generic derivative structures used in interest rates and currency markets (including non-generic swaps, basis (floating-to-floating) swaps, swaptions (options on interest rate swaps), callable bonds, CMT products, IAR products, interest rate and currency structured products.

Swaps and other derivatives

: Flavell, Richard
: Swaps and other derivatives
ISBN: 047072191X ISBN-13(EAN): 9780470721919
: Wiley
: 6600 .
: .
: The swaps market is a central market to many businesses, especially among the most liquid of financial contracts. This title offers a fresh insight on the growth of swaps markets worldwide. It includes chapters on FRA curve, asset packaging, theory of hedging, swapping structured securities, Value-at-Risk, and the impact of Credit Derivatives.

Credit, currency or derivatives

: Choi, Jay J. Papaioannou, Michael G.
: Credit, currency or derivatives
ISBN: 1849506019 ISBN-13(EAN): 9781849506014
: Emerald
: 7153 .
: .

Mathematics of Derivatives Securities with Applications in M

: Cerrato Mario
: Mathematics of Derivatives Securities with Applications in M
ISBN: 0470683694 ISBN-13(EAN): 9780470683699
: Wiley
: 3519 .
: .
: The book is divided into two parts the first part introduces probability theory, stochastic calculus and stochastic processes before moving on to the second part which instructs readers on how to apply the content learnt in part one to solve complex financial problems such as pricing and hedging exotic options, pricing American derivatives, pricing and hedging under stochastic volatility, and interest rate modelling. Each chapter provides a thorough discussion of the topics covered with practical examples in MATLAB so that readers will build up to an analysis of modern cutting edge research in finance, combining probabilistic models and cutting edge finance illustrated by MATLAB applications. Most books currently available on the subject require the reader to have some knowledge of the subject area and rarely consider computational applications such as MATLAB. This book stands apart from the rest as it covers complex analytical issues and complex financial instruments in a way that is accessible to those without a background in probability theory and finance, as well as providing detailed mathematical explanations with MATLAB code for a variety of topics and real world case examples. Contents: Chapter 1 Introduction Overview of MatLab Using various MatLab `s toolboxes Mathematics with MatLab Statistics with MatLab Programming in MatLab Part 1 Chapter 2 Probability Theory Set and sample space Sigma algebra, probability measure and probability space Discrete and continuous random variables Measurable mapping Joint, conditional and marginal distributions Expected values and moment of a distribution Appendix 1: Bernoulli law of large numbers Appendix 2: Conditional expectations Appendix 3: Hilbert spaces. Chapter 3 Stochastic Processes Martingales processes Stopping times The optional stopping theorem Local martingales and semi-martingales Brownian motions Brownian motions and reflection principle Martingales separation theorem of Brownian motions Appendix 1: Working with Brownian motions. Chapter 4 Ito Calculus and Ito Integral Quadratic variation of Brownian motions The construction of Ito integral with elementary process The general Ito integral Construction of the Ito integral with respect to semi-martingales integrators Quadratic variation and general bounded martingales Ito lemma and Ito formula Appendix 1: Ito Integral and Riemann-Stieljes integral Part 2 Chapter 5 The Black and Scholes Economy and Black and Scholes Formula The fundamental theorem of asset pricing Martingales measures The Girsanov Theorem The Randon-Nikodym The Black and Scholes Model The Black and Scholes formula The Black and Scholes in practice The Feyman-Kac formula Appendix 1: The Kolmogorov Backword equation Appendix 2: Change of numeraire Chapter 6 Monte Carlo Methods for Options Pricing Basic concepts and pricing European style

Post-Reform Guide to Derivatives and Futures

: Peery Gordon F
: Post-Reform Guide to Derivatives and Futures
ISBN: 0470553715 ISBN-13(EAN): 9780470553718
: Wiley
: 5720 .
: .
: This book has its origins in a series of workshops conducted by the author in 2008. The purpose of this book is two-fold: (i) advance discussion on the subject of derivatives in general and counterparty risk of derivatives providers in particular; and (ii) provide readers with Best Practices for handling derivatives counterparty risk.

Applied maths for derivatives

: Martin, John S.
: Applied maths for derivatives
ISBN: 0471479020 ISBN-13(EAN): 9780471479024
: Wiley
: 5060 .
: .
: This volume provides an integrated approach to the valuation of financial derivative instruments over a wide range of asset classes. It provides comprehensive coverage of derivative instruments, simple valuation methods and gives detailed examples.

Credit Derivatives and Structured Credit: A Guide for Investors

: Richard Bruyere
: Credit Derivatives and Structured Credit: A Guide for Investors
ISBN: 0470018798 ISBN-13(EAN): 9780470018798
: Wiley
: 4840 .
: .
: Over the past decade, credit derivatives have emerged as the key financial innovation in global capital markets. At end 2004, the market size hit $6.4 billion (in notional amounts) from virtually nothing in 1995. This rise has been spurred by the imperative for banks to better manage their risks, not least credit risks, and the appetite shown by institutional investors and hedge funds for innovative, high yielding structured investment products. As a result, growth in collateralized debt obligations and other second-generation products, such as credit indices, is currently phenomenal. It is enabled by the standardization and increased liquidity in credit default swaps - the building block of the credit derivatives market. Written by market practitioners and specialists, this book covers the fundamentals of the credit derivatives and structured credit market, including in-depth product descriptions, analysis of real transactions, market overview, pricing models, and banks business models. It is recommended reading for students in business schools and financial courses, academics, and professionals working in investment and asset management, banking, corporate treasury and the capital markets. Highlights include: written by market practitioners and specialists with first-hand experience in the credit derivatives and structured credit market; a clearly-written, pedagogical book with numerous illustrations; detailed review of real-case transactions; and a comprehensive historical perspective on market developments, including up-to-date analysis of the latest trends.

Good Derivatives: A Story of Financial and Environmental Innovation

: Sandor
: Good Derivatives: A Story of Financial and Environmental Innovation
ISBN: 0470949732 ISBN-13(EAN): 9780470949733
: Wiley
: 2727 .
: .
: The Good Sorcerer will be the story of financial creativity in the last 40 years and how financial innovation can be harnessed to combat the worlds environmental problems. Known as the father of financial futures, author Richard Sandor has been on the forefront of financial innovation since the early 1970s, when, as a young economist he developed interest rate futures contracts at the Chicago Board of Trade. Subsequently, Sandor helped create catastrophe bonds (to mitigate weather risk), and the sulfur dioxide trading system to reduce acid rain.In the book he will explain the process of creating new financial products and the equally important process of pioneering products to achieve widespread usage in the financial industry. Describing both his successes and failures, Sandor will provide unique insights into financial innovation, the globalized financial markets, and the bumpy road of the innovator. Sandor will also discuss the vision behind the Chicago Climate Exchange and how he believes it will play a critical role in reducing the world output of greenhouse gases. Sandor argues that market-based trading systems are a far more effective means of reducing pollutants than command-and-control dictates, and such trading systems ultimately may help find solutions to global water shortages, rainforest destruction, and endangered species. Filled with provocative ideas fascinating stories, and valuable lessons, The Good Socerer provides a snapshot of recent financial history and a vision of where were headed.

Equity derivatives

: Overhaus, Marcus Ferraris, Andrew Knudsen, Thomas
: Equity derivatives
ISBN: 0471436461 ISBN-13(EAN): 9780471436461
: Wiley
: 5720 .
: .
: Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book provides readers with leading-edge thinking in modeling and hedging these transactions. It offers a presentation of theory and practice in equity derivative markets.

Equity Derivatives

: Equity Derivatives
ISBN: 1899332162 ISBN-13(EAN): 9781899332168
: Risk books
: 14133 .
: .

Credit Derivatives: CDOs and Structured Credit Products, 3rd Edition

: Satyajit Das
: Credit Derivatives: CDOs and Structured Credit Products, 3rd Edition
ISBN: 0470821590 ISBN-13(EAN): 9780470821596
: Wiley
: 7040 .
: (1 .)
: This is a complete reference work offering comprehensive information on credit derivative products, applications, pricing/valuation approaches, documentation issues and accounting/taxation aspects of such transactions. Previous edions have consisted of a number of chapters written by the author and a collection of papers from leading market practitioners. This edition departs from the previous format. All chapters have been written by the author. The First Edition of "Credit Derivatives" was published in 1998. It was designed to meet the growing interest in complex instruments. An updated Second Edition was released in 2000. "Credit Derivatives, CDO's and Structured Credit Products, 3rd Edition" offers comprehensive information on credit derivative products (both standard and structured), documentation issues, pricing/valuation approaches, applications and the market. The key areas of new/enhanced coverage include: inclusion of latest developments in documentation (the 2003 Credit Derivative Definitions and market developments such as Master Confirmations); and description of developments in structured credit products including: portfolio products; up-front credit default swaps; quanto credit default swaps; credit swaptions; zero recovery credit default swaps; first-to-default swaps/Nth-to-default swaps; asset swaptions/synthetic lending facilities/structured asset swaps; constant maturity credit spread products and constant maturity credit default swaps; credit index products; equity default swaps; increased coverage of credit linked notes including repackaging structures. This book features include: detailed discussion of the collateralised debt obligations ("CDO") market including: CDO structures; pricing and valuation; rating methodology; CDO variations (including SME CDO's, structured finance/ ABS CDO's, collateralised fund obligations ("CFO's"); single tranche CDO's; hedging of CDO tranches (including credit deltas and other Greeks and default correlation risk); behavior of CDO tranche (equity, mezzanine, senior and super senior) investments; increased coverage of pricing of credit default swaps (including models and valuation approaches) and discussion of cash-synthetic basis and its causes and behavior. It also features: coverage of E2C (equity to credit) hedging; detailed examples of applications of credit derivatives by different market participants; discussion of trading in credit derivatives including more complex trading strategies such as basis trading and capital structure arbitrage trades; updated coverage of regulatory framework for credit derivatives; and an updated discussion of market structures, developments and prospects.

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