Financial modelling : theory, implementation and practice (with Matlab source) / Joerg Kienitz, Daniel Wetterau.
Financial Modelling - Theory, Implementation and Practice is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and as...
Saved in:
| Online Access: |
Full Text (via ProQuest) |
|---|---|
| Main Author: | |
| Other Authors: | |
| Other title: | Financial modeling. |
| Format: | eBook |
| Language: | English |
| Published: |
Chichester, West Sussex, UK :
John Wiley & Sons Ltd,
2012.
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| Series: | Wiley finance series.
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| Subjects: |
MARC
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| 100 | 1 | |a Kienitz, Joerg. | |
| 245 | 1 | 0 | |a Financial modelling : |b theory, implementation and practice (with Matlab source) / |c Joerg Kienitz, Daniel Wetterau. |
| 246 | 3 | |a Financial modeling. | |
| 260 | |a Chichester, West Sussex, UK : |b John Wiley & Sons Ltd, |c 2012. | ||
| 300 | |a 1 online resource. | ||
| 336 | |a text |b txt |2 rdacontent. | ||
| 337 | |a computer |b c |2 rdamedia. | ||
| 338 | |a online resource |b cr |2 rdacarrier. | ||
| 490 | 1 | |a Wiley finance. | |
| 504 | |a Includes bibliographical references and index. | ||
| 505 | 0 | |a Financial Modelling; Contents; Introduction; 1 Introduction and Management Summary; 2 Why We Have Written this Book; 3 Why You Should Read this Book; 4 The Audience; 5 The Structure of this Book; 6 What this Book Does Not Cover; 7 Credits; 8 Code; PART I FINANCIAL MARKETS AND POPULAR MODELS; 1 Financial Markets -- Data, Basics and Derivatives; 1.1 Introduction and Objectives; 1.2 Financial Time-Series, Statistical Properties of Market Data and Invariants; 1.2.1 Real World Distribution; 1.3 Implied Volatility Surfaces and Volatility Dynamics; 1.3.1 Is There More than just a Volatility? | |
| 505 | 8 | |a 1.3.2 Implied Volatility1.3.3 Time-Dependent Volatility; 1.3.4 Stochastic Volatility; 1.3.5 Volatility from Jumps; 1.3.6 Traders' Rule of Thumb; 1.3.7 The Risk Neutral Density; 1.4 Applications; 1.4.1 Asset Allocation; 1.4.2 Pricing, Hedging and Risk Management; 1.5 General Remarks on Notation; 1.6 Summary and Conclusions; 1.7 Appendix -- Quotes; 2 Diffusion Models; 2.1 Introduction and Objectives; 2.2 Local Volatility Models; 2.2.1 The Bachelier and the Black-Scholes Model; 2.2.2 The Hull-White Model; 2.2.3 The Constant Elasticity of Variance Model; 2.2.4 The Displaced Diffusion Model. | |
| 505 | 8 | |a 2.2.5 CEV and DD Models2.3 Stochastic Volatility Models; 2.3.1 Pricing European Options; 2.3.2 Risk Neutral Density; 2.3.3 The Heston Model (and Extensions); 2.3.4 The SABR Model; 2.3.5 SABR -- Further Remarks; 2.4 Stochastic Volatility and Stochastic Rates Models; 2.4.1 The Heston-Hull-White Model; 2.5 Summary and Conclusions; 3 Models with Jumps; 3.1 Introduction and Objectives; 3.2 Poisson Processes and Jump Diffusions; 3.2.1 Poisson Processes; 3.2.2 The Merton Model; 3.2.3 The Bates Model; 3.2.4 The Bates-Hull-White Model; 3.3 Exponential Lévy Models; 3.3.1 The Variance Gamma Model. | |
| 505 | 8 | |a 3.3.2 The Normal Inverse Gaussian Model3.4 Other Models; 3.4.1 Exponential Lévy Models with Stochastic Volatility; 3.4.2 Stochastic Clocks; 3.5 Martingale Correction; 3.6 Summary and Conclusions; 4 Multi-Dimensional Models; 4.1 Introduction and Objectives; 4.2 Multi-Dimensional Diffusions; 4.2.1 GBM Baskets; 4.2.2 Libor Market Models; 4.3 Multi-Dimensional Heston and SABR Models; 4.3.1 Stochastic Volatility Models; 4.4 Parameter Averaging; 4.4.1 Applications to CMS Spread Options; 4.5 Markovian Projection; 4.5.1 Baskets with Local Volatility. | |
| 505 | 8 | |a 4.5.2 Markovian Projection on Local Volatility and Heston Models4.5.3 Markovian Projection onto DD SABR Models; 4.6 Copulae; 4.6.1 Measures of Concordance and Dependency; 4.6.2 Examples; 4.6.3 Elliptical Copulae; 4.6.4 Archimedean Copulae; 4.6.5 Building New Copulae from Given Copulae; 4.6.6 Asymmetric Copulae; 4.6.7 Applying Copulae to Option Pricing; 4.6.8 Applying Copulae to Asset Allocation; 4.7 Multi-Dimensional Variance Gamma Processes; 4.8 Summary and Conclusions; PART II NUMERICAL METHODS AND RECIPES; 5 Option Pricing by Transform Techniques and Direct Integration. | |
| 520 | |a Financial Modelling - Theory, Implementation and Practice is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving prices and Greeks using (semi- ) analytic and simulation techniques, and calibration even for exotic options. The book is split into three parts. The first part considers f. | ||
| 588 | 0 | |a Print version record and CIP data provided by publisher. | |
| 630 | 0 | 0 | |a MATLAB. |
| 650 | 0 | |a Finance |x Mathematical models. | |
| 650 | 0 | |a Numerical analysis. | |
| 650 | 0 | |a Finance |x Mathematical models |x Computer programs. | |
| 650 | 0 | |a Numerical analysis |x Computer programs. | |
| 630 | 0 | 7 | |a MATLAB. |2 fast |0 (OCoLC)fst01365096. |
| 650 | 7 | |a Finance |x Mathematical models. |2 fast |0 (OCoLC)fst00924398. | |
| 650 | 7 | |a Finance |x Mathematical models |x Computer programs. |2 fast |0 (OCoLC)fst00924399. | |
| 650 | 7 | |a Numerical analysis. |2 fast |0 (OCoLC)fst01041273. | |
| 650 | 7 | |a Numerical analysis |x Computer programs. |2 fast |0 (OCoLC)fst01041276. | |
| 700 | 1 | |a Wetterau, Daniel, |d 1981- | |
| 776 | 0 | 8 | |i Print version: |a Kienitz, Joerg. |t Financial modelling. |d Hoboken, N.J. : Wiley, 2012 |z 9780470744895 |w (DLC) 2012029238. |
| 830 | 0 | |a Wiley finance series. | |
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