Market Risk Analysis pdf epub mobi txt 电子书 下载 2024


Market Risk Analysis

简体网页||繁体网页
Carol Alexander
Wiley
2008-06-30
416
USD 120.00
Hardcover
9780470997895

图书标签: 金融  市场风险  trading  Carol.Alexander  产品定价  risk  英文  quantitative   


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发表于2024-12-25

Market Risk Analysis epub 下载 mobi 下载 pdf 下载 txt 电子书 下载 2024

Market Risk Analysis epub 下载 mobi 下载 pdf 下载 txt 电子书 下载 2024

Market Risk Analysis pdf epub mobi txt 电子书 下载 2024



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Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and Trading Financial Instruments forms part three of the Market Risk Analysis four volume set. This book is an in-depth, practical and accessible guide to the models that are used for pricing and the strategies that are used for hedging financial instruments, and to the markets in which they trade. It provides a comprehensive, rigorous and accessible introduction to bonds, swaps, futures and forwards and options, including variance swaps, volatility indices and their futures and options, to stochastic volatility models and to modelling the implied and local volatility surfaces. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Duration-Convexity approximation to bond portfolios, and portfolio immunization; Pricing floaters and vanilla, basis and variance swaps; Coupon stripping and yield curve fitting; Proxy hedging, and hedging international securities and energy futures portfolios; Pricing models for European exotics, including barriers, Asians, look-backs, choosers, capped, contingent, power, quanto, compo, exchange, ‘best-of’ and spread options; Libor model calibration; Dynamic models for implied volatility based on principal component analysis; Calibration of stochastic volatility models (Matlab code); Simulations from stochastic volatility and jump models; Duration, PV01 and volatility invariant cash flow mappings; Delta-gamma-theta-vega mappings for options portfolios; Volatility beta mapping to volatility indices.

Market Risk Analysis 下载 mobi epub pdf txt 电子书

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