By Mondher Bellalah
This e-book covers basic recommendations in monetary markets and asset pricing resembling hedging, arbitrage, hypothesis in several markets, classical versions for pricing of easy and complicated derivatives, mathematical foundations, dealing with and tracking portfolios of derivatives in actual time, and so on. It explains varied functions of those innovations utilizing actual global examples. The publication additionally covers subject matters like monetary markets and tools, alternative pricing versions, choice pricing thought, unique derivatives, moment iteration techniques, and so forth. Written in an easy demeanour and amply supported by means of genuine global examples, questions and workouts, the ebook might be of curiosity to scholars, lecturers and practitioners alike. monetary Markets and monetary tools: simple innovations and methods Pricing Derivatives and Their Underlying resources in a Discrete-Time surroundings choice Pricing in a Continuous-Time atmosphere: easy versions, Extensions and purposes Mathematical Foundations of alternative Pricing versions in a Continuous-Time environment: simple techniques and Extensions Extensions of alternative Pricing conception to American techniques and rate of interest tools in a Continuous-Time surroundings: Dividends, Coupons and Stochastic rates of interest Generalization of choice Pricing versions and Stochastic Volatility choice Pricing versions and Numerical research unique Derivatives
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Extra info for Derivatives Risk Management & Value
1. The model of default risk . . . . . . . 2. Asset market value and volatility . . . . . 8. Credit Derivatives: Deﬁnitions and Main Concepts . . . 1. Forward contracts . . . . . . . . . 2. The structure of credit-default instruments . . 1. Total return swaps . . . . . . 2. Credit-default swaps . . . . . . 3. Basket default swaps . . . . . . 4. Credit-default exchange swap . . . 5. Credit-linked notes (CLNs) . . . . 9. The Rating Agencies Models and the Proprietary Models .
1. Numerical Analysis and Simulation Techniques: An Introduction to Finite Diﬀerence Methods . . . . . 1. The implicit diﬀerence scheme . . . . . . 2. Explicit diﬀerence scheme . . . . . . . 3. An extension to account for information costs . . 2. Application to European Options on Non-Dividend Paying Stocks . . . . . . . . . . . . . . . 1. The analytic solution . . . . . . . . . 2. The numerical solution . . . . . . . . 3. 3. 1. The eﬀect of interest rate volatility on the index volatility .
3. The Black’s model and valuation of interest rate caps . . . . . . . . . . . . The Extension to Foreign Currencies: The Garman and Kohlhagen Model and its Applications . . . . . . 1. The currency call formula . . . . . . . 2. The currency put formula . . . . . . . 3. The interest-rate theorem and the pricing of forward currency options . . . . . . . The Extension to Other Commodities: The Merton, Barone-Adesi and Whaley Model, and Its Applications .
Derivatives Risk Management & Value by Mondher Bellalah