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- Product code: 14699
- ISBN: 0471436461,
ISBN13: 9780471436461,
240 pages, hardback
Published by John Wiley & Sons Inc on 2001
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Description of Equity Derivatives |
Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book acquaints readers with leading--edge thinking in modeling and hedging these transactions. Equity Derivatives offers a balanced, integrated presentation of theory and practice in equity derivative markets. It provides a theoretical treatment of each new modeling and hedging concept first, and then demonstrates their practical application. The book covers: the newest and fastest--growing class of derivative instruments, fund derivatives; cutting--edge developments in equity derivative modeling; new developments in correlation modeling and understanding volatility skews; and new Web--based implementation/delivery methods. Marcus Overhaus, PhD, Andrew Ferraris, DPhil, Thomas Knudsen, PhD, Frank Mao, PhD, Ross Milward, Laurent Nguyen--Ngoc, PhD, and Gero Schindlmayr, PhD, are members of the Quantitative Research team of Deutsche Bank's Global Equity Division, which is based in London and headed by Dr. Overhaus.
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Contents of Equity Derivatives |
Mathematical Introduction
Incomplete Markets
Levy Processes
Finite Difference Methods
Convertible Bonds and Asset Swaps
Data Representation
Application Connectivity
Web-Based Quantitative Services
Portfolio and Hedging Simulation
References
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About Marcus Overhaus, Andrew Ferraris and Thomas E. Knudsen |
MARCUS OVERHAUS, PhD, ANDREW FERRARIS, DPhil, THOMAS KNUDSEN, PhD, ROSS MILWARD, LAURENT NGUYEN--NGOC, PhD, and GERO SCHINDLMAYR, PhD, are members of the quantitative research team of Deutsche Bank's Global Equity Division, which is based in London and headed by Dr. Overhaus.
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