Autore	Sengupta Chandan
Pubbl/distr/stampa	[Place of publication not identified], : J Wiley & Sons, 2007
Disciplina	332.0285/5362
Soggetto topico	Finance - Mathematical models C++ (Computer program language) Finance Business & Economics Finance - General
ISBN	1-119-20199-3 0-470-16747-5
Formato	Materiale a stampa
Livello bibliografico	Monografia
Lingua di pubblicazione	eng
Nota di contenuto	Overview of programming and C++ -- A first look at C++ -- Variables, constants, and arrays -- Operators -- Inputs and outputs -- Program flow control: branching -- Program flow control : looping -- Functions -- Strings -- Pointers -- Debugging -- The model development process -- Time value of money -- Options and the Black-Scholes model -- Binomial trees -- Simulations -- Overview of advanced C++ -- Class and encapsulation -- Inheritance -- Polymorphism -- Templates and vectors.
Record Nr.	UNINA-9910138906403321

Autore	Sarrazin Jean-Pierre
Pubbl/distr/stampa	[Place of publication not identified], : L'Harmattan, 2014
Descrizione fisica	1 online resource (230 p.)
Collana	Biographies. Sâerie XIXe siáecle Gabriel Julien Ouvrard
Soggetto topico	Capitalists and financiers - History - 1789-1871 - France Finance, Public - France Finance Business & Economics Finance - General
Formato	Materiale a stampa
Livello bibliografico	Monografia
Lingua di pubblicazione	fre
Record Nr.	UNINA-9910165012103321

Autore	Bannock Graham
Pubbl/distr/stampa	[Place of publication not identified], : Profile Books, 2003
Disciplina	332.03
Collana	Economist books International dictionary of finance
Soggetto topico	Finance Business & Economics Finance - General
Formato	Materiale a stampa
Livello bibliografico	Monografia
Lingua di pubblicazione	eng
Record Nr.	UNISA-996214184803316

Autore	Ravindran Kannoo
Pubbl/distr/stampa	Hoboken, : Wiley, 2014
Descrizione fisica	1 online resource (346 pages)
Disciplina	332.01/51
Collana	Wiley Finance
Soggetto topico	Finance -- Mathematical models Finance Microsoft Excel (Computer file) Stochastic analysis Business & Economics Finance - General
ISBN	1-118-82615-9 1-118-22185-0
Formato	Materiale a stampa
Livello bibliografico	Monografia
Lingua di pubblicazione	eng
Nota di contenuto	The 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 Splining 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 References4 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 Valuing 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 Getting 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 Hedging the Sale of a Vanilla European-Style Put Option on a Dividend-Paying Stock
Record Nr.	UNINA-9910132342603321

Autore	Ravindran Kannoo
Edizione	[1st ed.]
Pubbl/distr/stampa	Hoboken, : Wiley, 2014
Descrizione fisica	1 online resource (346 pages)
Disciplina	332.01/51
Collana	Wiley Finance
Soggetto topico	Finance -- Mathematical models Finance Microsoft Excel (Computer file) Stochastic analysis Business & Economics Finance - General
ISBN	9781118826157 1118826159 9781118221853 1118221850
Formato	Materiale a stampa
Livello bibliografico	Monografia
Lingua di pubblicazione	eng
Nota di contenuto	The 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 Splining 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 References4 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 Valuing 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 Getting 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 Hedging the Sale of a Vanilla European-Style Put Option on a Dividend-Paying Stock
Record Nr.	UNINA-9910812067803321