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The Black-Scholes model / / Marek Capinski, Ekkehard Kopp [[electronic resource]]
| The Black-Scholes model / / Marek Capinski, Ekkehard Kopp [[electronic resource]] |
| Autore | Capiński Marek <1951-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2013 |
| Descrizione fisica | 1 online resource (ix, 168 pages) : digital, PDF file(s) |
| Disciplina | 332.64/53 |
| Collana | Mastering mathematical finance |
| Soggetto topico | Options (Finance) - Prices - Mathematical models |
| ISBN |
1-316-08924-X
1-139-57933-9 1-283-63763-4 1-139-56984-8 1-107-25412-4 1-139-57250-4 1-139-02613-5 1-139-56894-9 1-139-57075-7 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; The Black-Scholes Model; Title; Copyright; Contents; Preface; 1 Introduction; 1.1 Asset dynamics; Model parameters; 1.2 Methods of option pricing; Risk-neutral probability approach; The PDE approach; 2 Strategies and risk-neutral probability; 2.1 Finding the risk-neutral probability; Removing the drift; Girsanov theorem - simple version; 2.2 Self-financing strategies; 2.3 The No Arbitrage Principle; 2.4 Admissible strategies; 2.5 Proofs; 3 Option pricing and hedging; 3.1 Martingale representation theorem; 3.2 Completeness of the model; 3.3 Derivative pricing
General derivative securitiesPut options; Call options; 3.4 The Black-Scholes PDE; From Black-Scholes PDE to option price; The replicating strategy; 3.5 The Greeks; 3.6 Risk and return; 3.7 Proofs; 4 Extensions and applications; 4.1 Options on foreign currency; Dividend paying stock; 4.2 Structural model of credit risk; 4.3 Compound options; 4.4 American call options; 4.5 Variable coefficients; 4.6 Growth optimal portfolios; 5 Path-dependent options; 5.1 Barrier options; 5.2 Distribution of the maximum; 5.3 Pricing barrier and lookback options; Hedging; Lookback option; 5.4 Asian options Continuous geometric averageDiscrete geometric average; 6 General models; 6.1 Two assets; The market; Strategies and risk-neutral probabilities; Two stocks, one Wiener process; One stock, two Wiener processes; 6.2 Many assets; 6.3 Ito formula; 6.4 Levy's Theorem; 6.5 Girsanov Theorem; 6.6 Applications; Index |
| Record Nr. | UNINA-9910462534803321 |
Capiński Marek <1951->
|
||
| Cambridge : , : Cambridge University Press, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The Black-Scholes model / / Marek Capinski, Ekkehard Kopp [[electronic resource]]
| The Black-Scholes model / / Marek Capinski, Ekkehard Kopp [[electronic resource]] |
| Autore | Capiński Marek <1951-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2013 |
| Descrizione fisica | 1 online resource (ix, 168 pages) : digital, PDF file(s) |
| Disciplina | 332.64/53 |
| Collana | Mastering mathematical finance |
| Soggetto topico | Options (Finance) - Prices - Mathematical models |
| ISBN |
1-316-08924-X
1-139-57933-9 1-283-63763-4 1-139-56984-8 1-107-25412-4 1-139-57250-4 1-139-02613-5 1-139-56894-9 1-139-57075-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; The Black-Scholes Model; Title; Copyright; Contents; Preface; 1 Introduction; 1.1 Asset dynamics; Model parameters; 1.2 Methods of option pricing; Risk-neutral probability approach; The PDE approach; 2 Strategies and risk-neutral probability; 2.1 Finding the risk-neutral probability; Removing the drift; Girsanov theorem - simple version; 2.2 Self-financing strategies; 2.3 The No Arbitrage Principle; 2.4 Admissible strategies; 2.5 Proofs; 3 Option pricing and hedging; 3.1 Martingale representation theorem; 3.2 Completeness of the model; 3.3 Derivative pricing
General derivative securitiesPut options; Call options; 3.4 The Black-Scholes PDE; From Black-Scholes PDE to option price; The replicating strategy; 3.5 The Greeks; 3.6 Risk and return; 3.7 Proofs; 4 Extensions and applications; 4.1 Options on foreign currency; Dividend paying stock; 4.2 Structural model of credit risk; 4.3 Compound options; 4.4 American call options; 4.5 Variable coefficients; 4.6 Growth optimal portfolios; 5 Path-dependent options; 5.1 Barrier options; 5.2 Distribution of the maximum; 5.3 Pricing barrier and lookback options; Hedging; Lookback option; 5.4 Asian options Continuous geometric averageDiscrete geometric average; 6 General models; 6.1 Two assets; The market; Strategies and risk-neutral probabilities; Two stocks, one Wiener process; One stock, two Wiener processes; 6.2 Many assets; 6.3 Ito formula; 6.4 Levy's Theorem; 6.5 Girsanov Theorem; 6.6 Applications; Index |
| Record Nr. | UNINA-9910785989103321 |
|
Capiński Marek <1951->
|
||
| Cambridge : , : Cambridge University Press, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The Black-Scholes model / / Marek Capinski, Ekkehard Kopp [[electronic resource]]
| The Black-Scholes model / / Marek Capinski, Ekkehard Kopp [[electronic resource]] |
| Autore | Capiński Marek <1951-> |
| Pubbl/distr/stampa | Cambridge : , : Cambridge University Press, , 2013 |
| Descrizione fisica | 1 online resource (ix, 168 pages) : digital, PDF file(s) |
| Disciplina | 332.64/53 |
| Collana | Mastering mathematical finance |
| Soggetto topico | Options (Finance) - Prices - Mathematical models |
| ISBN |
1-316-08924-X
1-139-57933-9 1-283-63763-4 1-139-56984-8 1-107-25412-4 1-139-57250-4 1-139-02613-5 1-139-56894-9 1-139-57075-7 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; The Black-Scholes Model; Title; Copyright; Contents; Preface; 1 Introduction; 1.1 Asset dynamics; Model parameters; 1.2 Methods of option pricing; Risk-neutral probability approach; The PDE approach; 2 Strategies and risk-neutral probability; 2.1 Finding the risk-neutral probability; Removing the drift; Girsanov theorem - simple version; 2.2 Self-financing strategies; 2.3 The No Arbitrage Principle; 2.4 Admissible strategies; 2.5 Proofs; 3 Option pricing and hedging; 3.1 Martingale representation theorem; 3.2 Completeness of the model; 3.3 Derivative pricing
General derivative securitiesPut options; Call options; 3.4 The Black-Scholes PDE; From Black-Scholes PDE to option price; The replicating strategy; 3.5 The Greeks; 3.6 Risk and return; 3.7 Proofs; 4 Extensions and applications; 4.1 Options on foreign currency; Dividend paying stock; 4.2 Structural model of credit risk; 4.3 Compound options; 4.4 American call options; 4.5 Variable coefficients; 4.6 Growth optimal portfolios; 5 Path-dependent options; 5.1 Barrier options; 5.2 Distribution of the maximum; 5.3 Pricing barrier and lookback options; Hedging; Lookback option; 5.4 Asian options Continuous geometric averageDiscrete geometric average; 6 General models; 6.1 Two assets; The market; Strategies and risk-neutral probabilities; Two stocks, one Wiener process; One stock, two Wiener processes; 6.2 Many assets; 6.3 Ito formula; 6.4 Levy's Theorem; 6.5 Girsanov Theorem; 6.6 Applications; Index |
| Record Nr. | UNINA-9910821032803321 |
|
Capiński Marek <1951->
|
||
| Cambridge : , : Cambridge University Press, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Central counterparties : mandatory clearing and bilateral margin requirements for OTC derivatives / / Jon Gregory
| Central counterparties : mandatory clearing and bilateral margin requirements for OTC derivatives / / Jon Gregory |
| Autore | Gregory Jon |
| Pubbl/distr/stampa | West Sussex, England : , : John Wiley & Sons, Inc., , 2014 |
| Descrizione fisica | 1 online resource (329 p.) |
| Disciplina | 332.632 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Credit derivatives
Options (Finance) - Prices - Mathematical models |
| ISBN |
1-118-89157-0
1-118-89156-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Title Page; Copyright Page; Contents; Acknowledgements; PART I: BACKGROUND; 1 Introduction; 1.1 The crisis; 1.2 The move towards central clearing; 1.3 What is a CCP?; 1.4 Initial margins; 1.5 Possible drawbacks; 1.6 Clearing in context; 2 Exchanges, OTC Derivatives, DPCs and SPVs; 2.1 Exchanges; 2.1.1 What is an exchange?; 2.1.2 The need for clearing; 2.1.3 Direct clearing; 2.1.4 Clearing rings; 2.1.5 Complete clearing; 2.2 OTC derivatives; 2.2.1 OTC vs. exchange-traded; 2.2.2 Market development; 2.2.3 OTC derivatives and clearing; 2.3 Counterparty risk mitigation in OTC markets
2.3.1 Systemic risk 2.3.2 Special purpose vehicles; 2.3.3 Derivatives product companies; 2.3.4 Monolines and CDPCs; 2.3.5 Lessons for central clearing; 2.3.6 Clearing in OTC derivatives markets; 2.4 Summary; 3 Basic Principles of Central Clearing; 3.1 What is clearing?; 3.2 Functions of a CCP; 3.2.1 Financial markets topology; 3.2.2 Novation; 3.2.3 Multilateral offset; 3.2.4 Margining; 3.2.5 Auctions; 3.2.6 Loss mutualisation; 3.3 Basic questions; 3.3.1 What can be cleared?; 3.3.2 Who can clear?; 3.3.3 How many OTC CCPs will there be?; 3.3.4 Utilities or profit-making organisations? 3.3.5 Can CCPs fail? 3.4 The impact of central clearing; 3.4.1 General points; 3.4.2 Comparing OTC and centrally cleared markets; 3.4.3 Advantages of CCPs; 3.4.4 Disadvantages of CCPs; 3.4.5 Impact of central clearing; 4 The Global Financial Crisis and the Clearing of OTC Derivatives; 4.1 The global financial crisis; 4.1.1 Build-up; 4.1.2 Impact of the GFC; 4.1.3 CCPs in the GFC; 4.1.4 LCH.Clearnet and Swap Clear; 4.1.5 Lehman and other CCPs; 4.1.6 Responses; 4.1.7 Objections; 4.2 Regulatory changes; 4.2.1 Basel III; 4.2.2 Dodd-Frank; 4.2.3 EMIR; 4.2.4 Differences between the US and Europe 4.2.5 Bilateral margin requirements 4.2.6 Exemptions; 4.3 Regulation of CCPS; 4.3.1 Problems with mandates; 4.3.2 Oversight; 4.3.3 CCPs and liquidity support; PART II: COUNTERPARTY RISK, NETTING AND MARGIN; 5 Netting; 5.1 Bilateral netting; 5.1.1 Origins of netting; 5.1.2 Payment netting and CLS; 5.1.3 Close out netting; 5.1.4 The ISDA Master Agreement; 5.1.5 The impact of netting; 5.1.6 Netting impact outside OTC derivatives markets; 5.2 Multilateral netting; 5.2.1 The classic bilateral problem; 5.2.2 Aim of multilateral netting; 5.2.3 Trade compression 5.2.4 Trade compression and standardisation 5.2.5 Central clearing; 5.2.6 Multilateral netting increasing exposure; 6 Margining; 6.1 Basics of margin; 6.1.1 Rationale; 6.1.2 Title transfer and security interest; 6.1.3 Simple example; 6.1.4 The margin period of risk; 6.1.5 Haircuts; 6.2 Margin and funding; 6.2.1 Funding costs; 6.2.2 Reuse and rehypothecation; 6.2.3 Segregation; 6.2.4 Margin transformation; 6.3 Margin in bilateral OTC derivatives markets; 6.3.1 The credit support annex (CSA); 6.3.2 Types of CSA; 6.3.3 Thresholds and initial margins; 6.3.4 Disputes; 6.3.5 Standard CSA 6.3.6 Margin practices in bilateral OTC markets |
| Record Nr. | UNINA-9910141553003321 |
|
Gregory Jon
|
||
| West Sussex, England : , : John Wiley & Sons, Inc., , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Central counterparties : mandatory clearing and bilateral margin requirements for OTC derivatives / / Jon Gregory
| Central counterparties : mandatory clearing and bilateral margin requirements for OTC derivatives / / Jon Gregory |
| Autore | Gregory Jon |
| Pubbl/distr/stampa | West Sussex, England : , : John Wiley & Sons, Inc., , 2014 |
| Descrizione fisica | 1 online resource (329 p.) |
| Disciplina | 332.632 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Credit derivatives
Options (Finance) - Prices - Mathematical models |
| ISBN |
1-118-89157-0
1-118-89156-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Title Page; Copyright Page; Contents; Acknowledgements; PART I: BACKGROUND; 1 Introduction; 1.1 The crisis; 1.2 The move towards central clearing; 1.3 What is a CCP?; 1.4 Initial margins; 1.5 Possible drawbacks; 1.6 Clearing in context; 2 Exchanges, OTC Derivatives, DPCs and SPVs; 2.1 Exchanges; 2.1.1 What is an exchange?; 2.1.2 The need for clearing; 2.1.3 Direct clearing; 2.1.4 Clearing rings; 2.1.5 Complete clearing; 2.2 OTC derivatives; 2.2.1 OTC vs. exchange-traded; 2.2.2 Market development; 2.2.3 OTC derivatives and clearing; 2.3 Counterparty risk mitigation in OTC markets
2.3.1 Systemic risk 2.3.2 Special purpose vehicles; 2.3.3 Derivatives product companies; 2.3.4 Monolines and CDPCs; 2.3.5 Lessons for central clearing; 2.3.6 Clearing in OTC derivatives markets; 2.4 Summary; 3 Basic Principles of Central Clearing; 3.1 What is clearing?; 3.2 Functions of a CCP; 3.2.1 Financial markets topology; 3.2.2 Novation; 3.2.3 Multilateral offset; 3.2.4 Margining; 3.2.5 Auctions; 3.2.6 Loss mutualisation; 3.3 Basic questions; 3.3.1 What can be cleared?; 3.3.2 Who can clear?; 3.3.3 How many OTC CCPs will there be?; 3.3.4 Utilities or profit-making organisations? 3.3.5 Can CCPs fail? 3.4 The impact of central clearing; 3.4.1 General points; 3.4.2 Comparing OTC and centrally cleared markets; 3.4.3 Advantages of CCPs; 3.4.4 Disadvantages of CCPs; 3.4.5 Impact of central clearing; 4 The Global Financial Crisis and the Clearing of OTC Derivatives; 4.1 The global financial crisis; 4.1.1 Build-up; 4.1.2 Impact of the GFC; 4.1.3 CCPs in the GFC; 4.1.4 LCH.Clearnet and Swap Clear; 4.1.5 Lehman and other CCPs; 4.1.6 Responses; 4.1.7 Objections; 4.2 Regulatory changes; 4.2.1 Basel III; 4.2.2 Dodd-Frank; 4.2.3 EMIR; 4.2.4 Differences between the US and Europe 4.2.5 Bilateral margin requirements 4.2.6 Exemptions; 4.3 Regulation of CCPS; 4.3.1 Problems with mandates; 4.3.2 Oversight; 4.3.3 CCPs and liquidity support; PART II: COUNTERPARTY RISK, NETTING AND MARGIN; 5 Netting; 5.1 Bilateral netting; 5.1.1 Origins of netting; 5.1.2 Payment netting and CLS; 5.1.3 Close out netting; 5.1.4 The ISDA Master Agreement; 5.1.5 The impact of netting; 5.1.6 Netting impact outside OTC derivatives markets; 5.2 Multilateral netting; 5.2.1 The classic bilateral problem; 5.2.2 Aim of multilateral netting; 5.2.3 Trade compression 5.2.4 Trade compression and standardisation 5.2.5 Central clearing; 5.2.6 Multilateral netting increasing exposure; 6 Margining; 6.1 Basics of margin; 6.1.1 Rationale; 6.1.2 Title transfer and security interest; 6.1.3 Simple example; 6.1.4 The margin period of risk; 6.1.5 Haircuts; 6.2 Margin and funding; 6.2.1 Funding costs; 6.2.2 Reuse and rehypothecation; 6.2.3 Segregation; 6.2.4 Margin transformation; 6.3 Margin in bilateral OTC derivatives markets; 6.3.1 The credit support annex (CSA); 6.3.2 Types of CSA; 6.3.3 Thresholds and initial margins; 6.3.4 Disputes; 6.3.5 Standard CSA 6.3.6 Margin practices in bilateral OTC markets |
| Record Nr. | UNINA-9910808289203321 |
|
Gregory Jon
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||
| West Sussex, England : , : John Wiley & Sons, Inc., , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The concepts and practice of mathematical finance / Mark S. Joshi
| The concepts and practice of mathematical finance / Mark S. Joshi |
| Autore | Joshi, Mark Suresh |
| Pubbl/distr/stampa | Cambridge, UK : Cambridge University Press, 2003 |
| Descrizione fisica | xvii, 473 p. : ill. ; 26 cm |
| Disciplina | 332.0151 |
| Collana | Mathematics, finance, and risk |
| Soggetto topico |
Derivative securities - Prices - Mathematical models
Options (Finance) - Prices - Mathematical models Interest rates - Mathematical models Finance - Mathematical models Investments - Mathematics Risk management - Mathematical models |
| ISBN | 0521823552 |
| Classificazione |
AMS 93A
LC HG6024.A3J67 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991000497689707536 |
|
Joshi, Mark Suresh
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| Cambridge, UK : Cambridge University Press, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
| ||
The fitted finite volume and power penalty methods for option pricing / / Song Wang
| The fitted finite volume and power penalty methods for option pricing / / Song Wang |
| Autore | Wang Song |
| Edizione | [1st ed. 2020.] |
| Pubbl/distr/stampa | Singapore : , : Springer, , [2020] |
| Descrizione fisica | 1 online resource (VIII, 94 p. 14 illus.) |
| Disciplina | 332.63228 |
| Collana | SpringerBriefs in applied sciences and technology |
| Soggetto topico |
Options (Finance) - Prices - Mathematical models
Engineering mathematics Mathematical optimization |
| ISBN | 981-15-9558-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. Introduction -- 2. European options on one asset -- 3. American options on one asset -- 4. Two-factor option models -- 5. The super-convergent finite volume method for pricing options. |
| Record Nr. | UNINA-9910483554903321 |
|
Wang Song
|
||
| Singapore : , : Springer, , [2020] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The fitted finite volume and power penalty methods for option pricing / / Song Wang
| The fitted finite volume and power penalty methods for option pricing / / Song Wang |
| Autore | Wang Song |
| Edizione | [1st ed. 2020.] |
| Pubbl/distr/stampa | Singapore : , : Springer, , [2020] |
| Descrizione fisica | 1 online resource (VIII, 94 p. 14 illus.) |
| Disciplina | 332.63228 |
| Collana | SpringerBriefs in applied sciences and technology |
| Soggetto topico |
Options (Finance) - Prices - Mathematical models
Engineering mathematics Mathematical optimization |
| ISBN | 981-15-9558-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. Introduction -- 2. European options on one asset -- 3. American options on one asset -- 4. Two-factor option models -- 5. The super-convergent finite volume method for pricing options. |
| Record Nr. | UNISA-996418185503316 |
|
Wang Song
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| Singapore : , : Springer, , [2020] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
An introduction to financial option valuation : mathematics, stochastics, and computation / Desmond J. Higham
| An introduction to financial option valuation : mathematics, stochastics, and computation / Desmond J. Higham |
| Autore | Higham, Desmond J. |
| Pubbl/distr/stampa | Cambridge, UK ; New York : Cambridge University Press, 2004 |
| Descrizione fisica | xxi, 273 p. : ill. ; 25 cm |
| Disciplina | 332.6453 |
| Soggetto topico |
Options (Finance) - Valuation - Mathematical models
Options (Finance) - Prices - Mathematical models Derivative securities |
| ISBN | 0521547571 |
| Classificazione |
AMS 91B28
AMS 91-01 LC HG6024.A3H532 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991000837389707536 |
|
Higham, Desmond J.
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| Cambridge, UK ; New York : Cambridge University Press, 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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Nonlinear models in mathematical finance [[electronic resource] ] : new research trends in option pricing / / Matthias Ehrhardt, editor
| Nonlinear models in mathematical finance [[electronic resource] ] : new research trends in option pricing / / Matthias Ehrhardt, editor |
| Pubbl/distr/stampa | New York, : Nova Science Publishers, c2008 |
| Descrizione fisica | 1 online resource (374 p.) |
| Disciplina | 332.64/53 |
| Altri autori (Persone) | EhrhardtMatthias |
| Soggetto topico |
Options (Finance) - Prices - Mathematical models
Investments - Mathematical models |
| Soggetto genere / forma | Electronic books. |
| ISBN | 1-60876-421-4 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910452462003321 |
| New York, : Nova Science Publishers, c2008 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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