05835nam 2200781Ia 450 991013907720332120200520144314.01-118-41329-61-118-81856-31-283-59301-797866139054681-118-41331-8(CKB)2560000000092944(EBL)1020709(OCoLC)803474283(SSID)ssj0000740949(PQKBManifestationID)11451354(PQKBTitleCode)TC0000740949(PQKBWorkID)10700836(PQKB)10217580(PQKBManifestationID)16121036(PQKB)23901464(MiAaPQ)EBC1020709(DLC) 2012030997(Au-PeEL)EBL1020709(CaPaEBR)ebr10598744(CaONFJC)MIL390546(PPN)183755138(EXLCZ)99256000000009294420120730d2012 uy 0engurcn|||||||||txtccrFinancial modelling[electronic resource] theory, implementation and practice (with Matlab source) /Joerg Kienitz, Daniel WetterauHoboken, N.J. Wiley20121 online resource (735 p.)The Wiley Finance SeriesDescription based upon print version of record.0-470-74489-8 Includes bibliographical references and index.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 Volatility 1.3.3 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 Model2.2.5 CEV and DD Models 2.3 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 Model3.3.2 The Normal Inverse Gaussian Model 3.4 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 Volatility4.5.2 Markovian Projection on Local Volatility and Heston Models 4.5.3 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 Integration5.1 Introduction and ObjectivesFinancial 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 considersWiley finance series.FinanceMathematical modelsNumerical analysisFinanceMathematical modelsComputer programsNumerical analysisComputer programsFinanceMathematical models.Numerical analysis.FinanceMathematical modelsComputer programs.Numerical analysisComputer programs.332.0285/53Kienitz Joerg934064Wetterau Daniel1981-934065MiAaPQMiAaPQMiAaPQBOOK9910139077203321Financial modelling2103023UNINA03557nam 2200841Ia 450 991096547830332120200520144314.0978088132144908813214439781134825684113482568497811348256911134825692978128013973412801397309780203984291020398429310.4324/9780203984291 (CKB)1000000000360894(EBL)235142(OCoLC)560373114(SSID)ssj0000133912(PQKBManifestationID)11146322(PQKBTitleCode)TC0000133912(PQKBWorkID)10046440(PQKB)11652108(MiAaPQ)EBC235142(Au-PeEL)EBL235142(CaPaEBR)ebr10095121(CaONFJC)MIL13973(OCoLC)936904043(OCoLC)252970263(FR-PaCSA)41000692(FRCYB41000692)41000692(EXLCZ)99100000000036089419950907d1996 uy 0engurcn|||||||||txtccrCurrency convertibility the gold standard and beyond /edited by Jorge Braga de Macedo, Barry Eichengreen, and Jaime Reis1st ed.London ;New York Routledge19961 online resource (292 p.)Routledge explorations in economic history,1359-7892 ;3Description based upon print version of record.9780415513548 0415513545 9780415140577 0415140579 Includes bibliographical references and index.Preliminaries; CONTENTS; 1 INTRODUCTION; 2 THE OPERATION OF THE SPECIE STANDARD; 3 THE ORIGINS OF THE GOLD STANDARD; 4 SHORT-TERM CAPITAL MOVEMENTS UNDER THE GOLD STANDARD; 5 THE GEOGRAPHY OF THE GOLD STANDARD Barry Eichengreen Marc Flandreau; 6 FIRST TO JOIN THE GOLD STANDARD, 1854; 7 LAST TO JOIN THE GOLD STANDARD, 1931; 8 MONETARY STABILITY, FISCAL DISCIPLINE AND ECONOMIC PERFORMANCE; 9 CONVERGING TOWARDS A EUROPEAN CURRENCY STANDARD; IndexThe spread of currency convertibility is one of the most dramatic trends of the late twentieth century. It reflects the desire of policymakers to integrate their economies into the global trading system and to attract financial capital and direct investment from abroad.In this book a team of leading international economists and economic historians look at parallel situations in the history of the international monetary system, focusing in particular on the gold standard. The concluding chapter uses a case study of modern Portugal to draw out implications for modern international monetaryRoutledge explorations in economic history ;3.MoneyHistory20th centuryCurrency convertibilityHistory20th centuryGold standardHistory20th centuryMoneyHistoryCurrency convertibilityHistoryGold standardHistory332.422209332.452Macedo Jorge Braga de120697Eichengreen Barry J318418Reis Jaime120698MiAaPQMiAaPQMiAaPQBOOK9910965478303321Currency convertibility4337915UNINA