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Derivatives: Models on Models
Espen Gaarder Haug
€ 86.02
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Description for Derivatives: Models on Models
Hardcover. A high level, theoretical and practical look at the latest and most important derivatives pricing models which will include illustrative comic strips and interviews with top traders. Haug aims to bring (an often dry) subject to life through entertaining cartoons and interviews with practitioners. Series: Wiley Finance Series. Num Pages: 384 pages, ill. BIC Classification: KFFM. Category: (P) Professional & Vocational. Dimension: 252 x 195 x 31. Weight in Grams: 1070.
Derivatives Models on Models 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 are covered, including valuation methods on stocks paying discrete dividend, Asian options, American barrier options, Complex barrier options, reset options, and electricity derivatives.
Derivatives Models on Models 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 are 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-ROM with additional Excel sheets includes the mathematical models covered ... Read more
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:
- Clive Granger, Nobel Prize winner in Economics 2003, on Cointegration
- Nassim Taleb on Black Swans
- Stephen Ross on Arbitrage Pricing Theory
- Emanuel Derman the Wall Street Quant
- Edward Thorp on Gambling and Trading
- Peter Carr the Wall Street Wizard of Option Symmetry and Volatility
- Aaron Brown on Gambling, Poker and Trading
- David Bates on Crash and Jumps
- Andrei Khrennikov on Negative Probabilities
- Elie Ayache on Option Trading and Modeling
- Peter Jaeckel on Monte Carlo Simulation
- Alan Lewis on Stochastic Volatility and Jumps
- Paul Wilmott on Paul Wilmott
- Knut Aase on Catastrophes and Financial Economics
- Eduardo Schwartz the Yoga Master of Quantitative Finance
- Bruno Dupire on Local and Stochastic Volatility Models
Product Details
Format
Hardback
Publication date
2007
Publisher
John Wiley & Sons Inc United Kingdom
Number of pages
384
Condition
New
Series
Wiley Finance Series
Number of Pages
384
Place of Publication
New York, United States
ISBN
9780470013229
SKU
V9780470013229
Shipping Time
Usually ships in 7 to 11 working days
Ref
99-50
About Espen Gaarder Haug
Dr Espen Gaarder Haug has more than 15 years of experience in Derivatives research and trading, and has worked for more than 20 years as a trader. Until recently he worked as a proprietary trader in J.P. Morgan New York, and as a derivatives trader for two multi-billion dollar hedge funds; Amaranth Investor and Paloma Partners, located in Greenwich Connecticut. ... Read more
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