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Applied Quantitative Finance for Equity Derivatives, second edition

by Jherek Healy
Save 11% Save 11%
Current price ₹6,488.00
Original price ₹7,268.00
Original price ₹7,268.00
Original price ₹7,268.00
(-11%)
₹6,488.00
Current price ₹6,488.00

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Book cover type: Hardcover
  • ISBN13: 9780244741587
  • Binding: Hardcover
  • Subject: N/A
  • Publisher: Lulu.com
  • Publisher Imprint: Lulu.com
  • Publication Date:
  • Pages: 516
  • Original Price: GBP 57.45
  • Language: English
  • Edition: N/A
  • Item Weight: 908 grams
  • BISAC Subject(s): General

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.

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