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- Product code: 23769
- ISBN: 0471770582,
ISBN13: 9780471770589,
336 pages, hardback
Published by John Wiley & Sons Inc on 2007
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Description of Equity Hybrid Derivatives |
Take an in-depth look at equity hybrid derivatives. Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book presents leading-edge thinking in modeling, valuing, and hedging for this market, which is increasingly used for investment by hedge funds. You'll gain a balanced, integrated presentation of theory and practice, with an emphasis on understanding new techniques for analyzing volatility and credit derivative transactions linked to equity. In every instance, theory is illustrated along with practical application. Marcus Overhaus, PhD, is Managing Director and Global Head of Quantitative Research and Equity Structuring. Ana Bermudez, PhD, is an Associate in Global Quantitative Research. Hans Buehler, PhD, is a Vice President in Global Quantitative Research. Andrew Ferraris, DPhil, is a Managing Director in Global Quantitative Research. Christopher Jordinson, PhD, is a Vice President in Global Quantitative Research. Aziz Lamnouar, DEA, is a Vice President in Global Quantitative Research. All are associated with Deutsche Bank AG, London.
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Contents of Equity Hybrid Derivatives |
PART I: MODELLING VOLATILITY.
1. Theory.
2. Application.
PART II: EQUITY INTEREST RATE HYBRIDS.
3. Short Rate Models.
4. Hybrids Products.
5. Constant Proportion Portfolio Insurance.
PART III: EQUITY CREDIT HYBRIDS.
6. Credit Modelling.
7. Equity Default Swaps.
PART IV: ADVANCED PRICING TECHNIQUES.
8. Copula Applied to Derivatives Pricing.
9. Forward PDEs and Local Volatility Calibration.
10. Langrange-Galerkin with Duality Methods.
11. American Monte Carlo.
Index.
Bibliography.
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About Marcus Overhaus, Ana Bermudez and Hans Buehler |
MARCUS OVERHAUS, PhD, is Managing Director and Global Head of Quantitative Products at Deutsche Bank AG. He holds a PhD in pure mathematics. ANA BERMUDEZ, PhD, is an Associate in Quantitative Products at Deutsche Bank AG. Her work focuses on numerical methods for partial differential equations. She holds a PhD in applied mathematics. HANS BUEHLER, PhD, is a Director in Quantitative Products at Deutsche Bank AG. His work focuses on volatility modeling. He holds a PhD in stochastic analysis. ANDREW FERRARIS, DPhil, is a Managing Director in Quantitative Products at Deutsche Bank AG. His work focuses on applying advanced numerical methods to finance. He holds a DPhil in experimental particle physics. CHRISTOPHER JORDINSON, PhD, is a Vice President in Quantitative Products at Deutsche Bank AG. His work focuses on calibration and equity interest rate hybrid models. He holds a PhD in astrophysics. AZIZ LAMNOUAR, DEA, is a Vice President in Quantitative Products at Deutsche Bank AG. His work focuses on credit and credit hybrid modeling. He holds a DEA in stochastics and finance.
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