07690cam a2201117 a 4500 ocn803474283 OCoLC 20170612141630.0 m o d cr |n||||||||| 120731s2012 nju ob 001 0 eng 2012030997 DLC eng pn DLC YDX CDX N$T YDXCP EBLCP U9X OCLCF CUI DG1 TEFOD DEBSZ STF DKDLA E7B UKMGB MHW NKT TEFOD OCLCQ OCLCO COO AZK DG1 016111222 Uk 809977254 811504960 815507880 862507025 961497061 962650122 9781118413296 (ePub) 1118413296 (ePub) 9781118413302 (MobiPocket) 111841330X (MobiPocket) 9781118413319 (Adobe PDF) 1118413318 (Adobe PDF) 9781118818565 (electronic bk.) 1118818563 (electronic bk.) 9780470744895 (cloth) 0470744898 9786613905468 AU@ 000049681152 CHNEW 000620778 CHVBK 303186690 DEBBG BV041053676 DEBSZ 397379552 DEBSZ 431218153 DKDLA 820120-katalog:000600220 NZ1 14926883 NZ1 15290990 DEBSZ 449322491 DEBBG BV041877185 (OCoLC)803474283 (OCoLC)809977254 (OCoLC)811504960 (OCoLC)815507880 (OCoLC)862507025 (OCoLC)961497061 (OCoLC)962650122 390546 MIL 0BC8539D-0336-4C38-81C6-90FC6B9063B8 OverDrive, Inc. http://www.overdrive.com pcc HG106 FIN eflch BUS 027000 bisacsh 332.0285/53 23 MAIN Kienitz, Joerg. Financial modelling [electronic resource] : theory, implementation and practice (with Matlab source) / Joerg Kienitz, Daniel Wetterau. Financial modeling Chichester, West Sussex, UK : John Wiley & Sons Ltd, 2012. 1 online resource. text txt rdacontent computer c rdamedia online resource cr rdacarrier data file rda Bibliography Wiley finance Includes bibliographical references and index. Print version record and CIP data provided by publisher. 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? 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. 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. 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. 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. 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. MATLAB. MATLAB. fast (OCoLC)fst01365096 Finance Mathematical models. Numerical analysis. Finance Mathematical models Computer programs. Numerical analysis Computer programs. Finance Mathematical models. Finance Mathematical models Computer programs. MATLAB. Numerical analysis Computer programs. BUSINESS & ECONOMICS Finance. bisacsh Finance Mathematical models. fast (OCoLC)fst00924398 Finance Mathematical models Computer programs. fast (OCoLC)fst00924399 Numerical analysis. fast (OCoLC)fst01041273 Numerical analysis Computer programs. fast (OCoLC)fst01041276 Electronic books. Electronic books. Electronic books. local Wetterau, Daniel, 1981- Print version: Kienitz, Joerg. Financial modelling. Hoboken, N.J. : Wiley, 2012 9780470744895 (DLC) 2012029238 Wiley finance series. http://onlinelibrary.wiley.com/book/10.1002/9781118818565 Wiley Online Library Coutts Information Services COUT 23409067 70.00 GBP EBL - Ebook Library EBLB EBL1020709 ebrary EBRY ebr10598744 EBSCOhost EBSC 480265 YBP Library Services YANK 9654975 YBP Library Services YANK 11129856 YBP Library Services YANK 12672530 92 DG1 206072 206072