Equity Derivatives
Theory and Applications
Wiley Finance Editions
1. Edition February 2002
240 Pages, Hardcover
Wiley & Sons Ltd
Short Description
This book acquaints readers with leading-edge thinking in the modeling and hedging of equity derivative transactions. Unlike other books on the subject, which tend to be highly theoretical, this book offers a balanced, integrated presentation of theory and practice, in each case, beginning with an accessible explanation of the theory behind each idea covered and then providing illustrated guidelines for its applications.
Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book acquaints readers with leading-edge thinking in modeling and hedging these transactions. Equity Derivatives offers a balanced, integrated presentation of theory and practice in equity derivative markets. It provides a theoretical treatment of each new modeling and hedging concept first, and then demonstrates their practical application. The book covers: the newest and fastest-growing class of derivative instruments, fund derivatives; cutting-edge developments in equity derivative modeling; new developments in correlation modeling and understanding volatility skews; and new Web-based implementation/delivery methods.
Marcus Overhaus, PhD, Andrew Ferraris, DPhil, Thomas Knudsen, PhD, Frank Mao, PhD, Ross Milward, Laurent Nguyen-Ngoc, PhD, and Gero Schindlmayr, PhD, are members of the Quantitative Research team of Deutsche Bank's Global Equity Division, which is based in London and headed by Dr. Overhaus.
Incomplete Markets.
Financial Modeling with Lévy Processes.
Finite Difference Methods for Multifactor Models.
Convertible Bonds and Asset Swaps.
Data Representation.
Application Connectivity.
Web-Based Quantitative Services.
Portfolio and Hedging Simulation.
References.
Index.
