LEADER 05677nam 22007453u 450 001 9910132342603321 005 20230803204446.0 010 $a1-118-82615-9 010 $a1-118-22185-0 035 $a(CKB)3710000000224360 035 $a(EBL)821759 035 $a(OCoLC)889674253 035 $a(SSID)ssj0001396791 035 $a(PQKBManifestationID)11752776 035 $a(PQKBTitleCode)TC0001396791 035 $a(PQKBWorkID)11404607 035 $a(PQKB)10524244 035 $a(MiAaPQ)EBC821759 035 $a(EXLCZ)993710000000224360 100 $a20141006d2014|||| u|| | 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 14$aThe Mathematics of Financial Models$b[electronic resource] $eSolving Real-World Problems with Quantitative Methods 210 $aHoboken $cWiley$d2014 215 $a1 online resource (346 pages) 225 1 $aWiley Finance ;$vv.658 300 $aDescription based upon print version of record. 311 $a1-118-00461-2 311 $a1-322-08121-2 327 $aThe Mathematics of Financial Models; Contents; Preface; Acknowledgments; 1 Setting the Stage; Why Is This Book Different?; Road Map of the Book; References; 2 Building Zero Curves; Market Instruments; Treasury Bills; Treasury Notes; Treasury Bonds; Eurodollar Futures; Swaps; Linear Interpolation; Step 1: Convert Eurodollar Futures Prices to Forward Rates; Step 2: Calibrate Zero Rates for First Year; Step 3: Calibrate to Obtain Zero Rates for First Two Years; Step 4: Calibrate to Obtain Zero Rates for First Five Years; Cubic Splining; Splining over One Time Interval 327 $aSplining over Two Time IntervalsSplining over Four Time Intervals; Splining over All Time Intervals; Appendix: Finding Swap Rates Using A Floating Coupon Bond Approach; References; 3 Valuing Vanilla Options; Black-Scholes Formulae; Adaptations of the Black-Scholes Formulae; Pricing Options on Dividend-Paying Stocks; Pricing Options on Futures Contracts; Pricing Options on Forward Contracts; Limitations of the Black-Scholes Formulae; Application in Currency Risk Management; Risk-Management Strategies-Pros and Cons; Incorporating Views into Strategies; Appendix; Finding a Forward Bond Yield 327 $aReferences4 Simulations; Uniform Number Generation; Random Sampling; Stratified Sampling; Latin Hypercube Sampling; Non-Uniform Number Generation; Inverse Transform Method; Related Distribution Method; Applications of Simulations; Valuing European-Style Options; Simulating a Queue; Estimating Pi; Variance Reduction Techniques; Antithetic Variable Technique; Control Variable Technique; References; 5 Valuing Exotic Options; Valuing Path-Independent, European-Style Options on a Single Variable; Binary Options; Pay-Later Options; Nonlinear Payoff Options 327 $aValuing Path-Dependent, European-Style Options on a Single VariableAveraging Options; Installment Options; Valuing path-Independent, European-Style Options on Two Variables; Exchange Options; Spread Options; Valuing Path-Dependent, European-Style Options on Multiple Variables; Averaging Spread Options; Lookback Basket Options; References; 6 Estimating Model Parameters; Calibration of Parameters in the Black-Scholes Model; Inferring qt,T; Using Implied Black-Scholes Volatility Surface and Zero Rate Term Structure to Value Options; Using Volatility Term Structure; Using Volatility Surface 327 $aGetting the Implied Stock Prices When i = 0Getting the Implied Probabilities When i = 0; Getting the Implied Stock Prices When i = 1; Getting the Implied Probabilities When i = 1; Calibration of Interest Rate Option Model Parameters; Statistical Estimation; Using Historical Implied Volatilities; Using Historical Underlying Values; References; 7 The Effectiveness of Hedging Strategies; Delta Hedging; Hedging the Sale of a Vanilla European-Style Call Option on a Nondividend-Paying Stock; Hedging the Sale of a Vanilla European-Style Call Option on a Dividend-Paying Stock 327 $aHedging the Sale of a Vanilla European-Style Put Option on a Dividend-Paying Stock 330 $aLearn how quantitative models can help fight client problems head-on Before financial problems can be solved, they need to be fully understood. Since in-depth quantitative modeling techniques are a powerful tool to understanding the drivers associated with financial problems, one would need a solid grasp of these techniques before being able to unlock their full potential of the methods used. In The Mathematics of Financial Models, the author presents real world solutions to the everyday problems facing financial professionals. With interactive tools such as spreadsheets for valuation, pricing 410 0$aWiley Finance 606 $aFinance -- Mathematical models 606 $aFinance 606 $aMicrosoft Excel (Computer file) 606 $aStochastic analysis 606 $aFinance$2HILCC 606 $aBusiness & Economics$2HILCC 606 $aFinance - General$2HILCC 615 4$aFinance -- Mathematical models. 615 4$aFinance. 615 4$aMicrosoft Excel (Computer file). 615 4$aStochastic analysis. 615 7$aFinance 615 7$aBusiness & Economics 615 7$aFinance - General 676 $a332.01/51 700 $aRavindran$b Kannoo$0988846 702 $aRavindran$b Kannoo 702 $aHeyer$b Daniel D 801 0$bAU-PeEL 801 1$bAU-PeEL 801 2$bAU-PeEL 906 $aBOOK 912 $a9910132342603321 996 $aThe Mathematics of Financial Models$92261320 997 $aUNINA