LEADER 05911nam 22006015 450 001 9910163990303321 005 20240314161310.0 010 $a9783319340272 010 $a3319340271 024 7 $a10.1007/978-3-319-34027-2 035 $a(CKB)3710000001051621 035 $a(DE-He213)978-3-319-34027-2 035 $a(MiAaPQ)EBC4801184 035 $a(PPN)240208188 035 $a(Perlego)3497540 035 $a(EXLCZ)993710000001051621 100 $a20170207d2017 u| 0 101 0 $aeng 135 $aurnn#008mamaa 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aAnalytical Finance: Volume I $eThe Mathematics of Equity Derivatives, Markets, Risk and Valuation /$fby Jan R. M. Röman 205 $a1st ed. 2017. 210 1$aCham :$cSpringer International Publishing :$cImprint: Palgrave Macmillan,$d2017. 215 $a1 online resource (XXVII, 492 p. 3 illus., 1 illus. in color.) 311 08$a9783319340265 311 08$a3319340263 320 $aIncludes bibliographical references and index. 327 $a1.1. Clearing and settlement -- 1.2. About Risk -- 1.3. Credit and Counterparty Risk -- 1.4. Settlement Risk -- 1.5. Market Risk -- 1.6. Model Risk -- 2.1. Pricing via Arbitrage -- 2.2. Martingales -- 2.3. The Central Limit Theorem -- 2.4. A simple Random Walk -- 2.5. The Binomial model -- 2.6. Modern pricing theory based on risk-neutral valuation -- 2.7. More on Binomial models -- 2.8. Finite difference methods -- 2.9. Value-at-Risk - VaR -- 3.1. Introduction -- 3.2. A binomial model -- 3.3. Finite Probability Spaces -- 3.4. Properties of normal and log-normal distributions -- 3.5. The Itô Lemma -- 3.6. Stochastic integration -- 4.1. Classifications of Partial Differential Equations -- 4.2. Parabolic PDE's -- 4.3. The Black-Scholes-Merton model -- 4.4. Volatility -- 4.5. Parity relations -- 4.6. A practical guide to pricing -- 4.7. Currency options and the Garman-Kohlhagen model -- 4.8. Options on commodities -- 4.9. Black-Scholes and stochastic volatility -- 4.10. The Black-Scholes formulas -- 4.11. American versus European options -- 4.12. Analytical pricing formulas for American options -- 4.13. Poisson processes and jump diffusion -- 5.1. Martingale representation -- 5.2. Girsanov transformation -- 5.3. Securities paying dividends -- 5.4. Hedging -- 6.1. Contract for Difference - CFD -- 6.2. Binary options/ Digital options -- 6.3. Barrier options - Knock-out and Knock-in Options -- 6.4. Lookback Options -- 6.5. Asian Options -- 6.6. Chooser Options -- 6.7. Forward Options -- 6.8. Compound Options - Options on Options -- 6.9. Multi-Asset Options -- 6.10. Basket Options -- 6.11. Correlation Options -- 6.12. Exchange Options -- 6.13. Currency-Linked Options -- 6.14. Pay-Later Options -- 6.15. Extensible Options -- 6.16. Quantos -- 6.17. Structured products -- 6.18. Summary of exotic instruments -- 6.19. Something about weather derivatives -- 7.1. Introduction to deflators -- 8.1. Introduction -- 8.2. Strategies -- 8.3. A decreasing markets -- 8.4. An increasing market -- 8.5. Neutral markets -- 8.6.Volatile Markets -- 8.7. Using market indexes in pricing -- 8.8. Price direction matrix -- 8.9. Strategy matrix -- Appendix: Some source code. 330 $aThis book provides an introduction to the valuation of financial instruments on equity markets. Written from the perspective of trading, risk management and quantitative research functions and written by a practitioner with many years' experience in markets and in academia, it provides a valuable learning tool for students and new entrants to these markets. Coverage includes: Trading and sources of risk, including credit and counterparty risk, market and model risks, settlement and Herstatt risks. Numerical methods including discrete-time methods, finite different methods, binomial models and Monte Carlo simulations. ·Probability theory and stochastic processes from the financial modeling perspective, including probability spaces, sigma algebras, measures and filtrations. ·Continuous time models such as Black-Scholes-Merton; Delta-hedging and Delta-Gamma-hedging; general diffusion models and how to solve Partial Differential Equation using the Feynmann-Kac representation. ·The trading, structuring and hedging several kinds of exotic options, including: Binary/Digital options; Barrier options; Lookbacks; Asian options; Chooses; Forward options; Ratchets; Compounded options; Basket options; Exchange and Currency-linked options; Pay later options and Quantos. ·A detailed explanation of how to construct synthetic instruments and strategies for different market conditions, discussing more than 30 different option strategies. With source code for many of the models featured in the book provided and extensive examples and illustrations throughout, this book provides a comprehensive introduction to this topic and will prove an invaluable learning tool and reference for anyone studying or working in this field. . 606 $aFinancial engineering 606 $aSocial sciences$xMathematics 606 $aCapital market 606 $aFinancial risk management 606 $aFinancial Engineering 606 $aMathematics in Business, Economics and Finance 606 $aCapital Markets 606 $aRisk Management 615 0$aFinancial engineering. 615 0$aSocial sciences$xMathematics. 615 0$aCapital market. 615 0$aFinancial risk management. 615 14$aFinancial Engineering. 615 24$aMathematics in Business, Economics and Finance. 615 24$aCapital Markets. 615 24$aRisk Management. 676 $a332.6457015195 700 $aRöman$b Jan R. M$4aut$4http://id.loc.gov/vocabulary/relators/aut$0929458 906 $aBOOK 912 $a9910163990303321 996 $aAnalytical Finance: Volume I$92252809 997 $aUNINA LEADER 02453nas 2200721-a 450 001 9910338749403321 005 20260127110401.0 011 $a1875-8983 024 7 $a04760247 035 $a(DE-599)ZDB2187805-5 035 $a(CKB)1000000000018641 035 $a(CONSER)--2006208905 035 $a(DE-599)2187805-5 035 $a(EXLCZ)991000000000018641 100 $a20020926a20019999 --- - 101 0 $aeng 135 $aur|n||||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 00$aJournal of computational methods in sciences and engineering $eJCMSE 210 $aCambridge $cCambridge International Science Pub.$d2001- 210 3 $aAmsterdam, The Netherlands $cIOS Press 215 $a1 online resource 300 $aRefereed/Peer-reviewed 300 $aTitle from cover. 311 08$aPrint version: Journal of computational methods in sciences and engineering : 1472-7978 (DLC) 2006208905 (OCoLC)50681592 517 3 $aJCMSE 531 $aJ COMPUT METHODS SCI ENG 606 $aMathematics$vPeriodicals 606 $aEngineering mathematics$vPeriodicals 606 $aScience$xMathematics$vPeriodicals 606 $aMathematical physics$vPeriodicals 606 $aMathématiques de l'ingénieur$vPériodiques 606 $aSciences$xMathématiques$vPériodiques 606 $aPhysique mathématique$vPériodiques 606 $aEngineering mathematics$2fast$3(OCoLC)fst00910601 606 $aMathematical physics$2fast$3(OCoLC)fst01012104 606 $aMathematics$2fast$3(OCoLC)fst01012163 606 $aScience$xMathematics$2fast$3(OCoLC)fst01108310 608 $aPeriodicals.$2fast 615 0$aMathematics 615 0$aEngineering mathematics 615 0$aScience$xMathematics 615 0$aMathematical physics 615 6$aMathématiques de l'ingénieur 615 6$aSciences$xMathématiques 615 6$aPhysique mathématique 615 7$aEngineering mathematics. 615 7$aMathematical physics. 615 7$aMathematics. 615 7$aScience$xMathematics. 676 $a515.05 686 $a11$2ssgn 686 $a30.03$2bcl 686 $a50.03$2bcl 686 $a900$2zdbs 686 $aP 44$2blsrissc 906 $aJOURNAL 912 $a9910338749403321 920 $aexl_impl conversion 996 $aJournal of computational methods in sciences and engineering$92193266 997 $aUNINA