LEADER 07786nam 22008055 450 001 9910254952303321 005 20200703015242.0 010 $a1-137-34949-2 024 7 $a10.1057/9781137349491 035 $a(CKB)3710000000651970 035 $a(SSID)ssj0001668963 035 $a(PQKBManifestationID)16460027 035 $a(PQKBTitleCode)TC0001668963 035 $a(PQKBWorkID)12618441 035 $a(PQKB)10562355 035 $a(DE-He213)978-1-137-34949-1 035 $a(MiAaPQ)EBC4720590 035 $a(PPN)228320801 035 $a(EXLCZ)993710000000651970 100 $a20160404d2016 u| 0 101 0 $aeng 135 $aurnn|008mamaa 181 $ctxt 182 $cc 183 $acr 200 10$aEquity Derivatives and Hybrids$b[electronic resource] $eMarkets, Models and Methods /$fby Oliver Brockhaus 205 $a1st ed. 2016. 210 1$aLondon :$cPalgrave Macmillan UK :$cImprint: Palgrave Macmillan,$d2016. 215 $a1 online resource (XVI, 287 p.) 225 1 $aApplied Quantitative Finance 300 $aBibliographic Level Mode of Issuance: Monograph 311 $a1-137-34948-4 311 $a1-349-55987-3 320 $aIncludes bibliographical references and index. 327 $aMachine generated contents note: -- 1 Empirical Evidence -- 1.1 Distribution -- 1.2 Drift -- 1.3 Autocorrelation -- 1.4 Jumps -- 2 Equity Derivatives Market -- 2.1 Underlyings -- 2.2 Dividends -- 2.3 Repo Rate -- 2.4 Delta One Products -- 2.5 Vanilla Options -- 3 Exotic Equity Derivatives -- 3.1 Barriers -- 3.2 Cliquets -- 3.3 Asians -- 3.4 Compound -- 3.5 Lookback -- 3.6 Autocallable -- 3.7 Volatility Products -- 3.8 Multi Asset Products -- 3.9 Dynamic Strategies -- 3.10 Dividend Products -- 4 Implied Volatility -- 4.1 Skew Parameterization -- 4.2 Tail Behaviour -- 4.3 Time Dependence -- 5 Dividends -- 5.1 Forward -- 5.2 Proportional Dividends -- 5.3 Deterministic Dividends -- 5.4 Affine Models -- 5.5 Dividend Discount Models -- 5.6 Stochastic Dividend Yield -- 5.7 Stochastic Hazard And Interest Rates -- 5.8 Variance Swap -- 6 Short Volatility Models -- 6.1 Local Volatility -- 6.2 Stochastic Volatility -- 6.3 Local Stochastic Volatility -- 6.4 Jump Diffusion -- 6.5 Non-Markovian Models -- 6.6 Calibration And Hedging Stochastic Volatility -- 7 Implied Volatility Dynamics -- 7.1 Implied Volatility Delta -- 7.2 Forward Volatility -- 7.3 Modelling Implied Volatility -- 7.4 Discrete Time Models -- 8 Correlation -- 8.1 Implied Correlation -- 8.2 Correlation Term Structure -- 8.3 Decorrelation -- 8.4 Langnau's Local Correlation -- 8.5 Stochastic Correlation -- 9 Copulas -- 9.1 Definition -- 9.2 Dependence Measures -- 9.3 Archimedean Copulas -- 9.4 Marshall-Olkin Copula -- 9.5 T-Copula -- 9.6 Factor Copula -- 9.7 Convex Combination -- 9.8 Model Independent Arbitrage Bounds -- 9.9 Gauss Copula Model -- 10 Fixed Income -- 10.1 Market -- 10.2 Short Rate -- 10.3 Heath-Jarrow-Morton -- 10.4 Hull-White -- 10.5 Cox-Ingersoll-Ross -- 10.6 Markov Functional -- 11 Equity-Interest Rate Hybrids -- 11.1 Constant Equity Volatility -- 11.2 Gauss Copula -- 11.3 Local Equity Volatility -- 11.4 Stochastic Equity Volatility -- 11.5 Dynamic Hedging Of Variance Swaps -- 12 Credit -- 12.1 Market -- 12.2 Reduced Form Models -- 12.3 Structural Models -- 12.4 Portfolio Credit Derivatives -- 13 Defaultable Equity -- 13.1 Reduced Form Models -- 13.2 Structural Models -- 14 Counterparty Credit Risk -- 14.1 Sources Of Credit Risk -- 14.2 Credit Valuation Adjustment -- 14.3 Wrong Way Risk -- 14.4 Structural Models -- 14.5 Reduced Form Models -- 14.6 Funding Valuation Adjustment -- 15 Foreign Exchange -- 15.1 Cross Currency Basis Swap -- 15.2 Market Smile -- 15.3 Vanna-Volga Approach -- 15.4 Models -- 15.5 Quanto Options -- 15.6 Government Intervention -- 16 Affine Processes -- 16.1 General Framework -- 16.2 European Options And Fourier Transform -- 17 Monte Carlo -- 17.1 Method -- 17.2 Random Numbers -- 17.3 Path Construction For Brownian Motion -- 17.4 Discretization -- 17.5 Greeks -- 17.6 Variance Reduction -- 18 Gauss -- 18.1 Brownian Motion -- 18.2 Black-Scholes -- 18.3 Barrier -- 18.4 Outside Barrier -- 18.5 Useful Integrals -- Notation -- References. 330 $aSince the development of the Black-Scholes model, research on equity derivatives has evolved rapidly to the point where it is now difficult to cut through the myriad of literature to find relevant material. Written by a quant with many years of experience in the field this book provides an up-to-date account of equity and equity-hybrid (equity-rates, equity-credit, equity-foreign exchange) derivatives modeling from a practitioner's perspective. The content reflects the requirements of practitioners in financial institutions: Quants will find a survey of state-of-the-art models and guidance on how to efficiently implement them with regards to market data representation, calibration, and sensitivity computation. Traders and structurers will learn about structured products, selection of the most appropriate models, as well as efficient hedging methods while risk managers will better understand market, credit, and model risk and find valuable information on advanced correlation concepts. Equity Derivatives and Hybrids provides exhaustive coverage of both market standard and new approaches, including: -Empirical properties of stock returns including autocorrelation and jumps -Dividend discount models -Non-Markovian and discrete-time volatility processes -Correlation skew modeling via copula as well as local and stochastic correlation factors -Hybrid modeling covering local and stochastic processes for interest rate, hazard rate, and volatility as well as closed form solutions -Credit, debt, and funding valuation adjustment (CVA, DVA, FVA) -Monte Carlo techniques for sensitivities including algorithmic differentiation, path recycling, as well as multilevel. Written in a highly accessible manner with examples, applications, research, and ideas throughout, this book provides a valuable resource for quantitative-minded practitioners and researchers. 410 0$aApplied Quantitative Finance 606 $aBusiness mathematics 606 $aBanks and banking 606 $aBusiness enterprises?Finance 606 $aFinance 606 $aRisk management 606 $aEconomics 606 $aManagement science 606 $aBusiness Mathematics$3https://scigraph.springernature.com/ontologies/product-market-codes/523000 606 $aBanking$3https://scigraph.springernature.com/ontologies/product-market-codes/626010 606 $aBusiness Finance$3https://scigraph.springernature.com/ontologies/product-market-codes/512000 606 $aFinance, general$3https://scigraph.springernature.com/ontologies/product-market-codes/600000 606 $aRisk Management$3https://scigraph.springernature.com/ontologies/product-market-codes/612040 606 $aEconomics, general$3https://scigraph.springernature.com/ontologies/product-market-codes/W00000 615 0$aBusiness mathematics. 615 0$aBanks and banking. 615 0$aBusiness enterprises?Finance. 615 0$aFinance. 615 0$aRisk management. 615 0$aEconomics. 615 0$aManagement science. 615 14$aBusiness Mathematics. 615 24$aBanking. 615 24$aBusiness Finance. 615 24$aFinance, general. 615 24$aRisk Management. 615 24$aEconomics, general. 676 $a332.64/57 686 $aBUS004000$aBUS017000$aBUS027000$aBUS033070$2bisacsh 700 $aBrockhaus$b Oliver$4aut$4http://id.loc.gov/vocabulary/relators/aut$0931719 906 $aBOOK 912 $a9910254952303321 996 $aEquity Derivatives and Hybrids$92095760 997 $aUNINA