Applied Quantitative Finance for Equity Derivatives - Third Edition

2021-01-28

Author : Jherek Healy
Release : 2021-01-28
Genre :
Kind : eBook
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Book Synopsis Applied Quantitative Finance for Equity Derivatives - Third Edition by : Jherek Healy

Download or read book Applied Quantitative Finance for Equity Derivatives - Third Edition written by Jherek Healy. This book was released on 2021-01-28. Available in PDF, EPUB and Kindle. Book excerpt: In its third edition, this book presents the most significant equitya derivatives models used these days. It is not a book around esoteric or cutting-edge models, but rather a book on relatively simple and standard models, viewed from the angle of a practitioner. A few key subjects explained in this book are: cash dividends for European, American, or exotic options; issues of the Dupire local volatility model and possible fixes; finite difference techniques for American options and exotics; Non-parametric regression for American options in Monte-Carlo, randomized simulations; the particle method for stochastic-local-volatility model with quasi-random numbers; numerical methods for the variance and volatility swaps; quadratures for options under stochastic volatility models; VIX options and dividend derivatives; backward/forward representation of exotics.The January 2021 third edition adds significant details around the physical exercise feature, how to imply the Black-Scholes volatility, the projected successive over-relaxation as well as the recent policy iteration method for the pricing of American options (particularly relevant in the case of negative interest rates), the Andersen-Lake algorithm as fast pricing routine for the case of vanilla American options under the Black-Scholes model, random number generation, antithetic variates, the vectorization of the Monte-Carlo simulation, RBF interpolation of implied volatilities, the Cos method for European option under stochastic volatility models, the Vega in stochastic volatility models. The new text also includes important corrections around the pricing of forward starting and knock-in options with finite difference methods.

Applied Quantitative Finance for Equity Derivatives

2017-09-21

Author : Jherek Healy
Release : 2017-09-21
Genre :
Kind : eBook
Book Rating : 872/5 ( reviews)

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Book Synopsis Applied Quantitative Finance for Equity Derivatives by : Jherek Healy

Download or read book Applied Quantitative Finance for Equity Derivatives written by Jherek Healy. This book was released on 2017-09-21. Available in PDF, EPUB and Kindle. Book excerpt: This book presents the most significant equity derivatives models used these days. It is not a book around esoteric or cutting-edge models, but rather a book on relatively simple and standard models, viewed from the angle of a practitioner. Most books present models in an abstract manner, often disconnected from how to apply them in the real world. This book intends to fill that gap, with the ambitious goal of transforming a reader unfamiliar with equity derivatives models into a specialist of such models. What's special about it? The subject of cash dividends is absent of most books, and yet a real practical problem that every equity derivatives desk faces. This books gives a thorough treatment of the subject, be it for European, American, or more exotic options under the local volatility model. Similarly, Dupire local volatility issues are usually ignored while everybody face them. It presents various refinement for numerical techniques, for example, how to properly handle barriers in the TR-BDF2 finite difference method (and others) for a maximum accuracy, how to actually perform the parametric or non-parametric regression for American options in Monte-Carlo, how to do randomized Monte-Carlo simulations, which random number generators are pertinent these days, how to apply quasi Monte-Carlo to the particle stochastic-local-volatility calibration method,which quadrature should use consider for variance swap, volatility swap or vanilla options under stochastic volatility models with known characteristic function... It covers VIX options and dividend derivatives. The backward/forward representation of exotics is well known in the industry and yet rarely presented. It does not cover esoteric payoffs that might have a nice analytical formula but are never traded in practice, or models too complex to be practical.

Applied Quantitative Finance for Equity Derivatives, Second Edition

2019-01-22 Science

Author : Jherek Healy
Release : 2019-01-22
Genre : Science
Kind : eBook
Book Rating : 587/5 ( reviews)

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Book Synopsis Applied Quantitative Finance for Equity Derivatives, Second Edition by : Jherek Healy

Download or read book Applied Quantitative Finance for Equity Derivatives, Second Edition written by Jherek Healy. This book was released on 2019-01-22. Available in PDF, EPUB and Kindle. Book excerpt: Revised and corrected in December 2018, this book presents the most significant equity derivatives models used these days. It is not a book around esoteric or cutting-edge models, but rather a book on relatively simple and standard models, viewed from the angle of a practitioner. A few key subjects explained in this book are: cash dividends for European, American, or exotic options; issues of the Dupire local volatility model and possible fixes; finite difference techniques for American options and exotics; Non-parametric regression for American options in Monte-Carlo, randomized simulations; the particle method for stochastic-local-volatility model with quasi-random numbers; numerical methods for the variance and volatility swaps; quadratures for options under stochastic volatility models; VIX options and dividend derivatives; backward/forward representation of exotics. This second edition adds new arbitrage-free implied volatility interpolations, and covers various warrants, such as CBBCs.

Equity Derivatives and Hybrids

2016-04-29 Business & Economics

Author : Oliver Brockhaus
Release : 2016-04-29
Genre : Business & Economics
Kind : eBook
Book Rating : 492/5 ( reviews)

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Book Synopsis Equity Derivatives and Hybrids by : Oliver Brockhaus

Download or read book Equity Derivatives and Hybrids written by Oliver Brockhaus. This book was released on 2016-04-29. Available in PDF, EPUB and Kindle. Book excerpt: Since the development of the Black-Scholes model, research on equity derivatives has evolved rapidly to the point where it is now difficult to cut through the myriad of literature to find relevant material. Written by a quant with many years of experience in the field this book provides an up-to-date account of equity and equity-hybrid (equity-rates, equity-credit, equity-foreign exchange) derivatives modeling from a practitioner's perspective. The content reflects the requirements of practitioners in financial institutions: Quants will find a survey of state-of-the-art models and guidance on how to efficiently implement them with regards to market data representation, calibration, and sensitivity computation. Traders and structurers will learn about structured products, selection of the most appropriate models, as well as efficient hedging methods while risk managers will better understand market, credit, and model risk and find valuable information on advanced correlation concepts. Equity Derivatives and Hybrids provides exhaustive coverage of both market standard and new approaches, including: -Empirical properties of stock returns including autocorrelation and jumps -Dividend discount models -Non-Markovian and discrete-time volatility processes -Correlation skew modeling via copula as well as local and stochastic correlation factors -Hybrid modeling covering local and stochastic processes for interest rate, hazard rate, and volatility as well as closed form solutions -Credit, debt, and funding valuation adjustment (CVA, DVA, FVA) -Monte Carlo techniques for sensitivities including algorithmic differentiation, path recycling, as well as multilevel. Written in a highly accessible manner with examples, applications, research, and ideas throughout, this book provides a valuable resource for quantitative-minded practitioners and researchers.

Applied Quantitative Finance

2017-08-02 Business & Economics

Author : Wolfgang Karl Härdle
Release : 2017-08-02
Genre : Business & Economics
Kind : eBook
Book Rating : 865/5 ( reviews)

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Book Synopsis Applied Quantitative Finance by : Wolfgang Karl Härdle

Download or read book Applied Quantitative Finance written by Wolfgang Karl Härdle. This book was released on 2017-08-02. Available in PDF, EPUB and Kindle. Book excerpt: This volume provides practical solutions and introduces recent theoretical developments in risk management, pricing of credit derivatives, quantification of volatility and copula modeling. This third edition is devoted to modern risk analysis based on quantitative methods and textual analytics to meet the current challenges in banking and finance. It includes 14 new contributions and presents a comprehensive, state-of-the-art treatment of cutting-edge methods and topics, such as collateralized debt obligations, the high-frequency analysis of market liquidity, and realized volatility. The book is divided into three parts: Part 1 revisits important market risk issues, while Part 2 introduces novel concepts in credit risk and its management along with updated quantitative methods. The third part discusses the dynamics of risk management and includes risk analysis of energy markets and for cryptocurrencies. Digital assets, such as blockchain-based currencies, have become popular b ut are theoretically challenging when based on conventional methods. Among others, it introduces a modern text-mining method called dynamic topic modeling in detail and applies it to the message board of Bitcoins. The unique synthesis of theory and practice supported by computational tools is reflected not only in the selection of topics, but also in the fine balance of scientific contributions on practical implementation and theoretical concepts. This link between theory and practice offers theoreticians insights into considerations of applicability and, vice versa, provides practitioners convenient access to new techniques in quantitative finance. Hence the book will appeal both to researchers, including master and PhD students, and practitioners, such as financial engineers. The results presented in the book are fully reproducible and all quantlets needed for calculations are provided on an accompanying website. The Quantlet platform quantlet.de, quantlet.com, quantlet.org is an integrated QuantNet environment consisting of different types of statistics-related documents and program codes. Its goal is to promote reproducibility and offer a platform for sharing validated knowledge native to the social web. QuantNet and the corresponding Data-Driven Documents-based visualization allows readers to reproduce the tables, pictures and calculations inside this Springer book.

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