6 edition of Derivative Products and Pricing found in the catalog.
October 6, 2005
Written in English
|The Physical Object|
|Number of Pages||1200|
The Libor market model remains one of the most popular and advanced tools for modelling interest rates and interest rate derivatives, but finding a useful procedure for calibrating the model has been a perennial problem. Also the respective pricing of exotic derivative products suchCited by: CHAPTER 5 OPTION PRICING THEORY AND MODELS In general, the value of any asset is the present value of the expected cash flows on that asset. In this section, we will consider an exception to that rule when we will look at assets with two specific characteristics: • They derive their value from the values of other Size: 75KB.
This edited volume will highlight recent research in derivatives modelling and markets in a post-crisis world across a number of dimensions or themes. The book addresses the following main areas: derivatives models and pricing, model application and performance backtesting, new . Derivatives, 2nd Edition by Rangarajan Sundaram and Sanjiv Das () Preview the textbook, purchase or get a FREE instructor-only desk copy.
The elements of the course that focuses on derivative pricing and is based on Robert L. McDonald [McD], (), “Derivatives Markets”, 2nd edition, Addison Wesley. An alternative book to McDonald () is John C. Hull [H], (), “Options, Futures and Other Derivatives”, 7th edition, Prentice Hall (optional). Book Description. Written in a highly accessible style, A Factor Model Approach to Derivative Pricing lays a clear and structured foundation for the pricing of derivative securities based upon simple factor model related absence of arbitrage ideas. This unique and unifying approach provides for a broad treatment of topics and models, including equity, interest-rate, and credit derivatives, as.
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Derivative Products & Derivative Products and Pricing book consists of 4 Parts divided into 16 chapters covering the role and function of derivatives, basic derivative instruments (exchange traded products (futures and options on future contracts) and over-the-counter products (forwards, options and swaps)), the pricing and valuation of derivatives instruments, derivative trading and portfolio management.5/5(2).
Pricing and Hedging Financial Derivatives: A Guide for Practitioners attempts to explain the insights required in the pricing and hedging of the most common derivative products and aims to educate and inform the many rather than the few.
Targeted at the practitioner rather than the academic, this book contains many worked examples to help develop an understanding of key concepts and tools.5/5(5). Pricing Derivative Products: Partial Differential Equations. (martingale) probabilities that played an essential role in the first part of this book.
Because the setting was very simple, it was well-suited for motivating complex notions such as risk-neutral probabilities and the crucial role played by martingale tools. Another important. A rather heavy going text for desk work, but an essential book for researching financial engineering, is the two volume Derivative Products and Pricing book by Steven Shreve - Stochastic Calculus for Finance (Stochastic Calculus for Finance I: The Binomial Asset Pricing Model and Stochastic Calculus for Finance II: Continuous-Time Models).
Vol I concentrates on the. Exchange-Traded Products - Futures & Options On Futures Contracts. Over-The-Counter Products - FRAs, Interest Rate Swaps, Caps/Floors, Currency Forwards, Currency Swaps, Currency Options.
PRICING & VALUING DERIVATIVE INSTRUMENTS. Derivatives Pricing Framework. Interest Rates & Yield Curves. Pricing Forward & Futures Contracts. In finance, a derivative is a contract that derives its value from the performance of an underlying entity. This underlying entity can be an asset, index, or interest rate, and is often simply called the "underlying".
Derivatives can be used for a number of purposes, including insuring against price movements (hedging), increasing exposure to price movements for speculation or getting access. Also the respective pricing of exotic derivative products such as Bermudan callable structures is considered highly non-trivial.
In recent studies, author John Schoenmakers and his colleagues developed a fast and robust implied method for calibrating the Libor model and a new generic procedure for the pricing of callable derivative instruments. Get this from a library.
Swaps/financial derivatives: products, pricing, applications and risk management. [Satyajit Das] -- The emphasis is on actual transactions that are stripped down to analyse and illustrate the dynamics of individual structures and to understand the types of products available.
The text is. The Libor market model remains one of the most popular and advanced tools for modelling interest rates and interest rate derivatives, but finding a useful procedure for calibrating the model has been a perennial problem.
Also the respective pricing of exotic derivative products such as Bermudan callable structures is considered highly non-trivial. Derivative Products & Pricing consists of 4 Parts divided into 16 chapters covering the role and function of derivatives, basic derivative instruments (exchange traded products (futures and options on future contracts) and over-the-counter products (forwards, options and swaps)), the pricing and valuation of derivatives instruments, derivative trading and portfolio management.
Derivative Products & Pricing consists of four Elements divided into sixteen chapters masking the position and perform of derivatives, primary by-product devices (trade traded merchandise (futures and choices on future contracts) and over-the-counter merchandise (forwards, choices and swaps)), the pricing and valuation of derivatives devices, by-product trading and portfolio administration.
You can download this book by accessing this link >>> Derivative Products and Pricing: The Das Swaps and Financial Derivatives Library Derivative Products & Pricing.
In fact, because of some special characteristics of derivative products, abstract theoretical models in this area are much more amenable to practical applications than in other areas of finance.
Modern finance has developed two major methods of pricing derivative : Ali Hirsa, Salih N. Neftci. Derivative Products Pricing consists of 4 Parts divided into 16 chapters covering the role and function of derivatives, basic derivative instruments (exchange traded products (futures and options on future contracts) and over-the-counter products (forwards, options and swaps)), the pricing and valuation of derivatives instruments, derivative trading and portfolio management.
Derivative Pricing, Black Scholes Equation, Binomial Trees – Calculation reference Financial Engineering and Risk Reference – Pricing and valuation formula Online Finance – Interest Rate Options – Caps & Floors – Advance topics. Manufacturing and Managing Customer-Driven Derivatives.
Manufacturing and Managing Customer-Driven Derivatives sheds light on customer-driven derivative products and their manufacturing process, which can prove a complicated topic for even experienced financial practitioners.
This authoritative text offers up-to-date knowledge and practices across a broad range of topics that address the. This means that structured products are closely related to traditional models of options pricing, although they may also contain other derivative categories such as Author: Katrina Lamb.
The Das Swaps & Financial Derivatives Library - Third Edition, Revised is the successor to Swaps & Financial Derivatives, which was first published in (as Swap Financing).A second edition was published in (as Swaps & Financial Derivatives - Second Edition (in most of the world) and Swaps & Derivative Financing - Second Edition (in the USA).).
The/5(8). Derivative products The second course on derivatives and options products digs a little deeper into products, pricing, sensitivities and product variations over ten easy to read chapters. Starting again from vanilla products we touch upon options on currencies and Forex, options on interest rates, forwards, futures an Interest Rate Swaps.
Derivative: A derivative is a security with a price that is dependent upon or derived from one or more underlying assets. The derivative itself is a.
Derivative products initially emerged as hedging devices against fluctuations in commodity prices, and commodity-linked derivatives remained the sole form of such products for almost three hundred years.
Financial derivatives came into spotlight in the post period due to growing instability in the financial markets. However, since their.Derivatives Pricing.
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I am sure it will prove to be of great value not only.