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Structured finance modeling with object-oriented VBA / / Evan Tick
| Structured finance modeling with object-oriented VBA / / Evan Tick |
| Autore | Tick Evan <1959-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, Inc., c2007 |
| Descrizione fisica | 1 online resource (354 p.) |
| Disciplina | 332.01/13 |
| Collana | Wiley finance series |
| Soggetto topico |
Finance - Mathematical models
Investments - Mathematical models |
| ISBN |
1-118-16066-5
1-119-19668-X 1-280-83928-7 9786610839285 0-470-13041-5 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Structured Finance Modeling with Object-Oriented VBA; Contents; Preface; List of Acronyms; Acknowledgments; About the Author; Chapter 1: Cash-Flow Structures; Chapter 2: Modeling; Chapter 3: Assets; Chapter 4: Liabilities; Chapter 5: Sizing the Structure; Chapter 6: Analysis; Chapter 7: Stochastic Models; Appendix A: Excel and VBA; Appendix B: Bond Math; References; Index |
| Record Nr. | UNINA-9910877017503321 |
Tick Evan <1959->
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| Hoboken, N.J., : John Wiley & Sons, Inc., c2007 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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The volatility smile : an introduction for students and practitioners / / Emanuel Derman, Michael B. Miller
| The volatility smile : an introduction for students and practitioners / / Emanuel Derman, Michael B. Miller |
| Autore | Derman Emanuel |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2016 |
| Descrizione fisica | 1 online resource (531 p.) |
| Disciplina | 332.63/228301 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Finance - Mathematical models
Securities - Valuation |
| ISBN |
1-118-95918-3
1-118-95917-5 1-119-28925-4 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Preface About the Authors Chapter 1: Overview Chapter 2: The Principle of Replication Chapter 3: Static and Dynamic Replication Chapter 4: Variance Swaps: A Lesson in Replication Chapter 5: The P&L of Hedged Option Strategies in a Black-Scholes-Merton World Chapter 6: The Effect of Discrete Hedging on P&L Chapter 7: The Effect of Transactions Costs on P&L Chapter 8: The Smile: Stylized Facts and Their Interpretation Chapter 9: No-Arbitrage Bounds on the Smile Chapter 10: A Survey of Smile Models Chapter 11: Implied Distributions and Static Replication Chapter 12: Weak Static Replication Chapter 13: The Binomial Model and Its Extensions Chapter 14: Local Volatility Models Chapter 15: Consequences of Local Volatility Models Chapter 16: Local Volatility Models: Hedge Ratios and Exotic Option Values Chapter 17: Some Final Remarks on Local Volatility Models Chapter 18: Patterns of Volatility Change Chapter 19: Introducing Stochastic Volatility Models Chapter 20: Approximate Solutions to Some Stochastic Volatility Models Chapter 21: Stochastic Volatility Models: The Smile for Zero Correlation Chapter 22: Stochastic Volatility Models: The Smile with Mean Reversion and Correlation Chapter 23: Jump-Diffusion Models of the Smile: Introduction Chapter 24: The Full Jump-Diffusion Model Appendix A: Some Useful Derivatives of the Black-Scholes-Merton Model Appendix B: Backward Itô Integrals References Answers to End-of-Chapter Problems Index. |
| Record Nr. | UNINA-9910135014203321 |
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Derman Emanuel
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| Hoboken, New Jersey : , : Wiley, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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The volatility smile : an introduction for students and practitioners / / Emanuel Derman, Michael B. Miller
| The volatility smile : an introduction for students and practitioners / / Emanuel Derman, Michael B. Miller |
| Autore | Derman Emanuel |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2016 |
| Descrizione fisica | 1 online resource (531 p.) |
| Disciplina | 332.63/228301 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Finance - Mathematical models
Securities - Valuation |
| ISBN |
1-118-95918-3
1-118-95917-5 1-119-28925-4 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Machine generated contents note: Preface About the Authors Chapter 1: Overview Chapter 2: The Principle of Replication Chapter 3: Static and Dynamic Replication Chapter 4: Variance Swaps: A Lesson in Replication Chapter 5: The P&L of Hedged Option Strategies in a Black-Scholes-Merton World Chapter 6: The Effect of Discrete Hedging on P&L Chapter 7: The Effect of Transactions Costs on P&L Chapter 8: The Smile: Stylized Facts and Their Interpretation Chapter 9: No-Arbitrage Bounds on the Smile Chapter 10: A Survey of Smile Models Chapter 11: Implied Distributions and Static Replication Chapter 12: Weak Static Replication Chapter 13: The Binomial Model and Its Extensions Chapter 14: Local Volatility Models Chapter 15: Consequences of Local Volatility Models Chapter 16: Local Volatility Models: Hedge Ratios and Exotic Option Values Chapter 17: Some Final Remarks on Local Volatility Models Chapter 18: Patterns of Volatility Change Chapter 19: Introducing Stochastic Volatility Models Chapter 20: Approximate Solutions to Some Stochastic Volatility Models Chapter 21: Stochastic Volatility Models: The Smile for Zero Correlation Chapter 22: Stochastic Volatility Models: The Smile with Mean Reversion and Correlation Chapter 23: Jump-Diffusion Models of the Smile: Introduction Chapter 24: The Full Jump-Diffusion Model Appendix A: Some Useful Derivatives of the Black-Scholes-Merton Model Appendix B: Backward Itô Integrals References Answers to End-of-Chapter Problems Index. |
| Record Nr. | UNINA-9910822185903321 |
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Derman Emanuel
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| Hoboken, New Jersey : , : Wiley, , 2016 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Who will provide the next financial model? : Asia's financial muscle and Europe's financial maturity / / Sahoko Kaji, Eiji Ogawa, editors
| Who will provide the next financial model? : Asia's financial muscle and Europe's financial maturity / / Sahoko Kaji, Eiji Ogawa, editors |
| Edizione | [1st ed. 2013.] |
| Pubbl/distr/stampa | Tokyo ; ; New York, : Springer, c2013 |
| Descrizione fisica | 1 online resource (296 p.) |
| Disciplina | 338.9 |
| Altri autori (Persone) |
KajiSahoko
OgawaEiji <1931-> |
| Soggetto topico |
Economic policy
Finance - Mathematical models |
| ISBN | 4-431-54282-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Who Will Provide the Next Financial Model?; Preface; Contents; List of Contributors; Editors; Authors; EU Studies Institute; Part I: Financial Regulation; The EU's Approach to Improving Financial Regulation; 1 Phases of the Crisis; 2 A Rapidly-Evolving Governance Agenda; 2.1 The Supervisory Framework; 2.2 Stress Tests and Other Measures; 2.3 Resolution Procedures; 2.4 Complementary Macroeconomic Coordination Changes; 3 The Challenges and Next Stages; 3.1 Accommodating Different Interests; 3.2 The Role of the ECB; 3.3 Unfinished Business; 4 Conclusions
Appendix: The EU Legislative Programme on Financial RegulationReferences; Asia's Approach to Improve Financial Regulation; 1 The G20 and FSB as New International Forums for Financial Regulation and Supervision; 1.1 G20; 1.2 FSB; 2.2 Asia Speaking as One Voice; 3 Asia's Approach: Efforts Towards Regional Coordination; 3.1 Multilateral Forums; 3.2 Other Regional Dialogues; 3.3 Need for Emerging and Developing Economies' Perspectives; 4 Conclusion; Comment Paper to Chapters "The EU's Approach to Improving Financial Regulation" and "Asia's Approach to Improve Financial Regulation" Comment Paper to Chapters "The EU's Approach to Improving Financial Regulation" and "Asia's Approach to Improve Financial Regulation"Part II: Monetary Policy; The European Central Bank and Implications of the Sovereign Debt Crisis; 1 Introduction; 2 The Interaction Between Monetary and Fiscal Dominance Against a Background of Financial Stability Concerns; 2.1 Theoretical Background; 2.2 Where Do We Stand in the Euro Area?; 2.2.1 Treaty Provisions; 2.2.2 The Policy of the ECB; 3 A Chronological Bird's Eye View of the 2007-2011 Financial Crisis 3.1 Financial Turmoil: 9 August 2007-14 September 20083.2 The Global Financial Crisis: 15 September 2008-7 May 2010; 3.3 Sovereign Debt Crisis: Today; 4 What Is the Reasoning Behind the ECB Policy Decisions?; 5 Some Concluding Remarks; Appendix; References; Comment Paper to Chapter "The European Central Bank and Implications of the Sovereign Debt Crisis"; Evolution of Quantitative Easing; 1 Introduction; 2 Role of Central Bank Balance Sheet; 3 Central Bank Balance Sheet Under Financial Crises; 4 Discussion; 4.1 Unconventional Policy Versus Policy Commitment 4.2 Portfolio Rebalancing Channel on Yield Curve4.3 Border with Fiscal Policy; 4.4 Acute Pain Versus Chronic Illness; 5 Concluding Remarks; References; Comment Paper to Chapter "Evolution of Quantitative Easing"; Lessons Learned, Lessons Not Learned and the Lessons to Be Learned: From the Asian Crisis to the European Crises; 1 The Asian Crisis; 1.1 Causes; 1.2 Lesson Learned; 1.3 The Asian View of Lessons Learned; 1.4 Applying the Lessons: Coping with Large Post-crisis Capital Inflows; 2 European Crisis; 2.1 Lessons Not Learned; 2.1.1 Crisis Prevention; 2.1.2 Crisis Management 2.2 Lessons to Be Learned |
| Record Nr. | UNINA-9910739436003321 |
| Tokyo ; ; New York, : Springer, c2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Wilmott journal
| Wilmott journal |
| Pubbl/distr/stampa | Chichester, West Sussex, : Wilmott Magazine |
| Descrizione fisica | 1 online resource |
| Disciplina | 332 |
| Soggetto topico |
Finance - Mathematical models
Finances - Modèles mathématiques |
| Soggetto genere / forma | Periodicals. |
| ISSN | 1759-636X |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-996213000003316 |
| Chichester, West Sussex, : Wilmott Magazine | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Wilmott journal
| Wilmott journal |
| Pubbl/distr/stampa | Chichester, West Sussex, : Wilmott Magazine |
| Descrizione fisica | 1 online resource |
| Disciplina | 332 |
| Soggetto topico |
Finance - Mathematical models
Finances - Modèles mathématiques |
| Soggetto genere / forma | Periodicals. |
| ISSN | 1759-636X |
| Formato | Materiale a stampa |
| Livello bibliografico | Periodico |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910329392203321 |
| Chichester, West Sussex, : Wilmott Magazine | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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A workout in computational finance / / Michael Aichinger, Andreas Binder
| A workout in computational finance / / Michael Aichinger, Andreas Binder |
| Autore | Aichinger Michael <1979-> |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, N.J., : John Wiley & Sons, Inc., 2013 |
| Descrizione fisica | 1 online resource (354 p.) |
| Disciplina | 332.01/51 |
| Altri autori (Persone) | BinderAndreas <1964-> |
| Collana | Wiley finance series |
| Soggetto topico | Finance - Mathematical models |
| ISBN |
1-119-97351-1
1-119-97348-1 1-119-97349-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Intro -- A Workout in Computational Finance -- Contents -- Acknowledgements -- About the Authors -- 1 Introduction and Reading Guide -- 2 Binomial Trees -- 2.1 Equities and Basic Options -- 2.2 The One Period Model -- 2.3 The Multiperiod Binomial Model -- 2.4 Black-Scholes and Trees -- 2.5 Strengths and Weaknesses of Binomial Trees -- 2.5.1 Ease of Implementation -- 2.5.2 Oscillations -- 2.5.3 Non-recombining Trees -- 2.5.4 Exotic Options and Trees -- 2.5.5 Greeks and Binomial Trees -- 2.5.6 Grid Adaptivity and Trees -- 2.6 Conclusion -- 3 Finite Differences and the Black-Scholes PDE -- 3.1 A Continuous Time Model for Equity Prices -- 3.2 Black-Scholes Model: From the SDE to the PDE -- 3.3 Finite Differences -- 3.4 Time Discretization -- 3.5 Stability Considerations -- 3.6 Finite Differences and the Heat Equation -- 3.6.1 Numerical Results -- 3.7 Appendix: Error Analysis -- 4 Mean Reversion and Trinomial Trees -- 4.1 Some Fixed Income Terms -- 4.1.1 Interest Rates and Compounding -- 4.1.2 Libor Rates and Vanilla Interest Rate Swaps -- 4.2 Black76 for Caps and Swaptions -- 4.3 One-Factor Short Rate Models -- 4.3.1 Prominent Short Rate Models -- 4.4 The Hull-White Model in More Detail -- 4.5 Trinomial Trees -- 5 Upwinding Techniques for Short Rate Models -- 5.1 Derivation of a PDE for Short Rate Models -- 5.2 Upwind Schemes -- 5.2.1 Model Equation -- 5.3 A Puttable Fixed Rate Bond under the Hull-White One Factor Model -- 5.3.1 Bond Details -- 5.3.2 Model Details -- 5.3.3 Numerical Method -- 5.3.4 An Algorithm in Pseudocode -- 5.3.5 Results -- 6 Boundary, Terminal and Interface Conditions and their Influence -- 6.1 Terminal Conditions for Equity Options -- 6.2 Terminal Conditions for Fixed Income Instruments -- 6.3 Callability and Bermudan Options -- 6.4 Dividends -- 6.5 Snowballs and TARNs -- 6.6 Boundary Conditions.
6.6.1 Double Barrier Options and Dirichlet Boundary Conditions -- 6.6.2 Artificial Boundary Conditions and the Neumann Case -- 7 Finite Element Methods -- 7.1 Introduction -- 7.1.1 Weighted Residual Methods -- 7.1.2 Basic Steps -- 7.2 Grid Generation -- 7.3 Elements -- 7.3.1 1D Elements -- 7.3.2 2D Elements -- 7.4 The Assembling Process -- 7.4.1 Element Matrices -- 7.4.2 Time Discretization -- 7.4.3 Global Matrices -- 7.4.4 Boundary Conditions -- 7.4.5 Application of the Finite Element Method to Convection-Diffusion-Reaction Problems -- 7.5 A Zero Coupon Bond Under the Two Factor Hull-White Model -- 7.6 Appendix: Higher Order Elements -- 7.6.1 3D Elements -- 7.6.2 Local and Natural Coordinates -- 8 Solving Systems of Linear Equations -- 8.1 Direct Methods -- 8.1.1 Gaussian Elimination -- 8.1.2 Thomas Algorithm -- 8.1.3 LU Decomposition -- 8.1.4 Cholesky Decomposition -- 8.2 Iterative Solvers -- 8.2.1 Matrix Decomposition -- 8.2.2 Krylov Methods -- 8.2.3 Multigrid Solvers -- 8.2.4 Preconditioning -- 9 Monte Carlo Simulation -- 9.1 The Principles of Monte Carlo Integration -- 9.2 Pricing Derivatives with Monte Carlo Methods -- 9.2.1 Discretizing the Stochastic Differential Equation -- 9.2.2 Pricing Formalism -- 9.2.3 Valuation of a Steepener under a Two Factor Hull-White Model -- 9.3 An Introduction to the Libor Market Model -- 9.4 Random Number Generation -- 9.4.1 Properties of a Random Number Generator -- 9.4.2 Uniform Variates -- 9.4.3 Random Vectors -- 9.4.4 Recent Developments in Random Number Generation -- 9.4.5 Transforming Variables -- 9.4.6 Random Number Generation for Commonly Used Distributions -- 10 Advanced Monte Carlo Techniques -- 10.1 Variance Reduction Techniques -- 10.1.1 Antithetic Variates -- 10.1.2 Control Variates -- 10.1.3 Conditioning -- 10.1.4 Additional Techniques for Variance Reduction -- 10.2 Quasi Monte Carlo Method. 10.2.1 Low-Discrepancy Sequences -- 10.2.2 Randomizing QMC -- 10.3 Brownian Bridge Technique -- 10.3.1 A Steepener under a Libor Market Model -- 11 Valuation of Financial Instruments with Embedded American/Bermudan Options within Monte Carlo Frameworks -- 11.1 Pricing American options using the Longstaff and Schwartz algorithm -- 11.2 A Modified Least Squares Monte Carlo Algorithm for Bermudan Callable Interest Rate Instruments -- 11.2.1 Algorithm: Extended LSMC Method for Bermudan Options -- 11.2.2 Notes on Basis Functions and Regression -- 11.3 Examples -- 11.3.1 A Bermudan Callable Floater under Different Short-rate Models -- 11.3.2 A Bermudan Callable Steepener Swap under a Two Factor Hull-White Model -- 11.3.3 A Bermudan Callable Steepener Cross Currency Swap in a 3D IR/FX Model Framework -- 12 Characteristic Function Methods for Option Pricing -- 12.1 Equity Models -- 12.1.1 Heston Model -- 12.1.2 Jump Diffusion Models -- 12.1.3 Infinite Activity Models -- 12.1.4 Bates Model -- 12.2 Fourier Techniques -- 12.2.1 Fast Fourier Transform Methods -- 12.2.2 Fourier-Cosine Expansion Methods -- 13 Numerical Methods for the Solution of PIDEs -- 13.1 A PIDE for Jump Models -- 13.2 Numerical Solution of the PIDE -- 13.2.1 Discretization of the Spatial Domain -- 13.2.2 Discretization of the Time Domain -- 13.2.3 A European Option under the Kou Jump Diffusion Model -- 13.3 Appendix: Numerical Integration via Newton-Cotes Formulae -- 14 Copulas and the Pitfalls of Correlation -- 14.1 Correlation -- 14.1.1 Pearson's ρ -- 14.1.2 Spearman's ρ -- 14.1.3 Kendall's ρ -- 14.1.4 Other Measures -- 14.2 Copulas -- 14.2.1 Basic Concepts -- 14.2.2 Important Copula Functions -- 14.2.3 Parameter estimation and sampling -- 14.2.4 Default Probabilities for Credit Derivatives -- 15 Parameter Calibration and Inverse Problems -- 15.1 Implied Black-Scholes Volatilities. 15.2 Calibration Problems for Yield Curves -- 15.3 Reversion Speed and Volatility -- 15.4 Local Volatility -- 15.4.1 Dupire's Inversion Formula -- 15.4.2 Identifying Local Volatility -- 15.4.3 Results -- 15.5 Identifying Parameters in Volatility Models -- 15.5.1 Model Calibration for the FTSE-100 -- 16 Optimization Techniques -- 16.1 Model Calibration and Optimization -- 16.1.1 Gradient-Based Algorithms for Nonlinear Least Squares Problems -- 16.2 Heuristically Inspired Algorithms -- 16.2.1 Simulated Annealing -- 16.2.2 Differential Evolution -- 16.3 A Hybrid Algorithm for Heston Model Calibration -- 16.4 Portfolio Optimization -- 17 Risk Management -- 17.1 Value at Risk and Expected Shortfall -- 17.1.1 Parametric VaR -- 17.1.2 Historical VaR -- 17.1.3 Monte Carlo VaR -- 17.1.4 Individual and Contribution VaR -- 17.2 Principal Component Analysis -- 17.2.1 Principal Component Analysis for Non-scalar Risk Factors -- 17.2.2 Principal Components for Fast Valuation -- 17.3 Extreme Value Theory -- 18 Quantitative Finance on Parallel Architectures -- 18.1 A Short Introduction to Parallel Computing -- 18.2 Different Levels of Parallelization -- 18.3 GPU Programming -- 18.3.1 CUDA and OpenCL -- 18.3.2 Memory -- 18.4 Parallelization of Single Instrument Valuations using (Q)MC -- 18.5 Parallelization of Hybrid Calibration Algorithms -- 18.5.1 Implementation Details -- 18.5.2 Results -- 19 Building Large Software Systems for the Financial Industry -- Bibliography -- Index. |
| Record Nr. | UNINA-9910265226803321 |
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Aichinger Michael <1979->
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| Hoboken, N.J., : John Wiley & Sons, Inc., 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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