Derivatives: Models on Models Hardcover - 2007 - 1st Edition
by Espen Gaarder Haug
From the rear cover
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 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 Cointegration
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 Modeling
Paul Wilmott on Paul Wilmott
Andrei Khrennikov on Negative Probabilities
David Bates on Crash and Jumps
Peter Jckel on Monte Carlo Simulation
Details
- Title Derivatives: Models on Models
- Author Espen Gaarder Haug
- Binding Hardcover
- Edition number 1st
- Edition 1
- Pages 384
- Volumes 1
- Language ENG
- Publisher Wiley, Chichester, UK
- Date 2007-06-01
- ISBN 9780470013229 / 0470013222
- Weight 2.33 lbs (1.06 kg)
- Dimensions 9.88 x 7.61 x 1.11 in (25.10 x 19.33 x 2.82 cm)
- Dewey Decimal Code 332.645
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Derivatives: Models on Models (The Wiley Finance Series)
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