Fundamentals and Advanced Techniques in Derivatives Hedging

2016-06-23 Mathematics

Author : Bruno Bouchard
Release : 2016-06-23
Genre : Mathematics
Kind : eBook
Book Rating : 904/5 ( reviews)

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Book Synopsis Fundamentals and Advanced Techniques in Derivatives Hedging by : Bruno Bouchard

Download or read book Fundamentals and Advanced Techniques in Derivatives Hedging written by Bruno Bouchard. This book was released on 2016-06-23. Available in PDF, EPUB and Kindle. Book excerpt: This book covers the theory of derivatives pricing and hedging as well as techniques used in mathematical finance. The authors use a top-down approach, starting with fundamentals before moving to applications, and present theoretical developments alongside various exercises, providing many examples of practical interest.A large spectrum of concepts and mathematical tools that are usually found in separate monographs are presented here. In addition to the no-arbitrage theory in full generality, this book also explores models and practical hedging and pricing issues. Fundamentals and Advanced Techniques in Derivatives Hedging further introduces advanced methods in probability and analysis, including Malliavin calculus and the theory of viscosity solutions, as well as the recent theory of stochastic targets and its use in risk management, making it the first textbook covering this topic. Graduate students in applied mathematics with an understanding of probability theory and stochastic calculus will find this book useful to gain a deeper understanding of fundamental concepts and methods in mathematical finance.

Pricing and Hedging Financial Derivatives

2014-06-19 Business & Economics

Author : Leonardo Marroni
Release : 2014-06-19
Genre : Business & Economics
Kind : eBook
Book Rating : 584/5 ( reviews)

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Book Synopsis Pricing and Hedging Financial Derivatives by : Leonardo Marroni

Download or read book Pricing and Hedging Financial Derivatives written by Leonardo Marroni. This book was released on 2014-06-19. Available in PDF, EPUB and Kindle. Book excerpt: The only guide focusing entirely on practical approaches to pricing and hedging derivatives One valuable lesson of the financial crisis was that derivatives and risk practitioners don't really understand the products they're dealing with. Written by a practitioner for practitioners, this book delivers the kind of knowledge and skills traders and finance professionals need to fully understand derivatives and price and hedge them effectively. Most derivatives books are written by academics and are long on theory and short on the day-to-day realities of derivatives trading. Of the few practical guides available, very few of those cover pricing and hedging—two critical topics for traders. What matters to practitioners is what happens on the trading floor—information only seasoned practitioners such as authors Marroni and Perdomo can impart. Lays out proven derivatives pricing and hedging strategies and techniques for equities, FX, fixed income and commodities, as well as multi-assets and cross-assets Provides expert guidance on the development of structured products, supplemented with a range of practical examples Packed with real-life examples covering everything from option payout with delta hedging, to Monte Carlo procedures to common structured products payoffs The Companion Website features all of the examples from the book in Excel complete with source code

Hedging Derivatives

2011 Business & Economics

Author : Thorsten Rheinlander
Release : 2011
Genre : Business & Economics
Kind : eBook
Book Rating : 80X/5 ( reviews)

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Book Synopsis Hedging Derivatives by : Thorsten Rheinlander

Download or read book Hedging Derivatives written by Thorsten Rheinlander. This book was released on 2011. Available in PDF, EPUB and Kindle. Book excerpt: Valuation and hedging of financial derivatives are intrinsically linked concepts. Choosing appropriate hedging techniques depends on both the type of derivative and assumptions placed on the underlying stochastic process. This volume provides a systematic treatment of hedging in incomplete markets. Mean-variance hedging under the risk-neutral measure is applied in the framework of exponential L(r)vy processes and for derivatives written on defaultable assets. It is discussed how to complete markets based upon stochastic volatility models via trading in both stocks and vanilla options. Exponential utility indifference pricing is explored via a duality with entropy minimization. Backward stochastic differential equations offer an alternative approach and are moreover applied to study markets with trading constraints including basis risk. A range of optimal martingale measures are discussed including the entropy, Esscher and minimal martingale measures. Quasi-symmetry properties of stochastic processes are deployed in the semi-static hedging of barrier options. This book is directed towards both graduate students and researchers in mathematical finance, and will also provide an orientation to applied mathematicians, financial economists and practitioners wishing to explore recent progress in this field."

Accounting for Derivatives

2015-01-23 Business & Economics

Author : Juan Ramirez
Release : 2015-01-23
Genre : Business & Economics
Kind : eBook
Book Rating : 94X/5 ( reviews)

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Book Synopsis Accounting for Derivatives by : Juan Ramirez

Download or read book Accounting for Derivatives written by Juan Ramirez. This book was released on 2015-01-23. Available in PDF, EPUB and Kindle. Book excerpt: The derivative practitioner’s expert guide to IFRS 9 application Accounting for Derivatives explains the likely accounting implications of a proposed transaction on derivatives strategy, in alignment with the IFRS 9 standards. Written by a Big Four advisor, this book shares the author’s insights from working with companies to minimise the earnings volatility impact of hedging with derivatives. This second edition includes new chapters on hedging inflation risk and stock options, with new cases on special hedging situations including hedging components of commodity risk. This new edition also covers the accounting treatment of special derivatives situations, such as raising financing through commodity-linked loans, derivatives on own shares and convertible bonds. Cases are used extensively throughout the book, simulating a specific hedging strategy from its inception to maturity following a common pattern. Coverage includes instruments such as forwards, swaps, cross-currency swaps, and combinations of standard options, plus more complex derivatives like knock-in forwards, KIKO forwards, range accruals, and swaps in arrears. Under IFRS, derivatives that do not qualify for hedge accounting may significantly increase earnings volatility. Compliant application of hedge accounting requires expertise across both the standards and markets, with an appropriate balance between derivatives expertise and accounting knowledge. This book helps bridge the divide, providing comprehensive IFRS coverage from a practical perspective. Become familiar with the most common hedging instruments from an IFRS 9 perspective Examine FX risk and hedging of dividends, earnings, and net assets of foreign subsidies Learn new standards surrounding the hedge of commodities, equity, inflation, and foreign and domestic liabilities Challenge the qualification for hedge accounting as the ultimate objective IFRS 9 is set to replace IAS 39, and many practitioners will need to adjust their accounting policies and hedging strategies to conform to the new standard. Accounting for Derivatives is the only book to cover IFRS 9 specifically for the derivatives practitioner, with expert guidance and practical advice.

Dynamic Hedging

1997-01-14 Business & Economics

Author : Nassim Nicholas Taleb
Release : 1997-01-14
Genre : Business & Economics
Kind : eBook
Book Rating : 804/5 ( reviews)

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Book Synopsis Dynamic Hedging by : Nassim Nicholas Taleb

Download or read book Dynamic Hedging written by Nassim Nicholas Taleb. This book was released on 1997-01-14. Available in PDF, EPUB and Kindle. Book excerpt: Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management. Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.

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