Financial modelling theory, implementation and practice (with Matlab source) /

Financial modelling theory, implementation and practice (with Matlab source) /

Financial Modelling - Theory, Implementation and Practice is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and as...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριος συγγραφέας: Kienitz, Joerg
Άλλοι συγγραφείς: Wetterau, Daniel, 1981-
Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
Γλώσσα:English
Έκδοση: Chichester, West Sussex, UK : John Wiley & Sons Ltd, 2012.
Σειρά:Wiley finance series.
Θέματα:
MATLAB.
Finance > Mathematical models.
Numerical analysis.
Finance > Mathematical models > Computer programs.
Numerical analysis > Computer programs.
BUSINESS & ECONOMICS > Finance.
Electronic books.
Διαθέσιμο Online:Full Text via HEAL-Link
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100 1 |a Kienitz, Joerg. 
245 1 0 |a Financial modelling  |h [electronic resource] :  |b theory, implementation and practice (with Matlab source) /  |c Joerg Kienitz, Daniel Wetterau. 
246 3 |a Financial modeling 
264 1 |a Chichester, West Sussex, UK :  |b John Wiley & Sons Ltd,  |c 2012. 
300 |a 1 online resource. 
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380 |a Bibliography 
490 1 |a Wiley finance 
504 |a Includes bibliographical references and index. 
588 0 |a Print version record and CIP data provided by publisher. 
505 0 |a Financial Modelling; Contents; Introduction; 1 Introduction and Management Summary; 2 Why We Have Written this Book; 3 Why You Should Read this Book; 4 The Audience; 5 The Structure of this Book; 6 What this Book Does Not Cover; 7 Credits; 8 Code; PART I FINANCIAL MARKETS AND POPULAR MODELS; 1 Financial Markets -- Data, Basics and Derivatives; 1.1 Introduction and Objectives; 1.2 Financial Time-Series, Statistical Properties of Market Data and Invariants; 1.2.1 Real World Distribution; 1.3 Implied Volatility Surfaces and Volatility Dynamics; 1.3.1 Is There More than just a Volatility? 
505 8 |a 1.3.2 Implied Volatility1.3.3 Time-Dependent Volatility; 1.3.4 Stochastic Volatility; 1.3.5 Volatility from Jumps; 1.3.6 Traders' Rule of Thumb; 1.3.7 The Risk Neutral Density; 1.4 Applications; 1.4.1 Asset Allocation; 1.4.2 Pricing, Hedging and Risk Management; 1.5 General Remarks on Notation; 1.6 Summary and Conclusions; 1.7 Appendix -- Quotes; 2 Diffusion Models; 2.1 Introduction and Objectives; 2.2 Local Volatility Models; 2.2.1 The Bachelier and the Black-Scholes Model; 2.2.2 The Hull-White Model; 2.2.3 The Constant Elasticity of Variance Model; 2.2.4 The Displaced Diffusion Model. 
505 8 |a 2.2.5 CEV and DD Models2.3 Stochastic Volatility Models; 2.3.1 Pricing European Options; 2.3.2 Risk Neutral Density; 2.3.3 The Heston Model (and Extensions); 2.3.4 The SABR Model; 2.3.5 SABR -- Further Remarks; 2.4 Stochastic Volatility and Stochastic Rates Models; 2.4.1 The Heston-Hull-White Model; 2.5 Summary and Conclusions; 3 Models with Jumps; 3.1 Introduction and Objectives; 3.2 Poisson Processes and Jump Diffusions; 3.2.1 Poisson Processes; 3.2.2 The Merton Model; 3.2.3 The Bates Model; 3.2.4 The Bates-Hull-White Model; 3.3 Exponential Lévy Models; 3.3.1 The Variance Gamma Model. 
505 8 |a 3.3.2 The Normal Inverse Gaussian Model3.4 Other Models; 3.4.1 Exponential Lévy Models with Stochastic Volatility; 3.4.2 Stochastic Clocks; 3.5 Martingale Correction; 3.6 Summary and Conclusions; 4 Multi-Dimensional Models; 4.1 Introduction and Objectives; 4.2 Multi-Dimensional Diffusions; 4.2.1 GBM Baskets; 4.2.2 Libor Market Models; 4.3 Multi-Dimensional Heston and SABR Models; 4.3.1 Stochastic Volatility Models; 4.4 Parameter Averaging; 4.4.1 Applications to CMS Spread Options; 4.5 Markovian Projection; 4.5.1 Baskets with Local Volatility. 
505 8 |a 4.5.2 Markovian Projection on Local Volatility and Heston Models4.5.3 Markovian Projection onto DD SABR Models; 4.6 Copulae; 4.6.1 Measures of Concordance and Dependency; 4.6.2 Examples; 4.6.3 Elliptical Copulae; 4.6.4 Archimedean Copulae; 4.6.5 Building New Copulae from Given Copulae; 4.6.6 Asymmetric Copulae; 4.6.7 Applying Copulae to Option Pricing; 4.6.8 Applying Copulae to Asset Allocation; 4.7 Multi-Dimensional Variance Gamma Processes; 4.8 Summary and Conclusions; PART II NUMERICAL METHODS AND RECIPES; 5 Option Pricing by Transform Techniques and Direct Integration. 
520 |a Financial Modelling - Theory, Implementation and Practice is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving prices and Greeks using (semi- ) analytic and simulation techniques, and calibration even for exotic options. The book is split into three parts. The first part considers f. 
630 0 0 |a MATLAB. 
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650 0 |a Finance  |x Mathematical models. 
650 0 |a Numerical analysis. 
650 0 |a Finance  |x Mathematical models  |x Computer programs. 
650 0 |a Numerical analysis  |x Computer programs. 
650 4 |a Finance  |x Mathematical models. 
650 4 |a Finance  |x Mathematical models  |x Computer programs. 
650 4 |a MATLAB. 
650 4 |a Numerical analysis  |x Computer programs. 
650 7 |a BUSINESS & ECONOMICS  |x Finance.  |2 bisacsh 
650 7 |a Finance  |x Mathematical models.  |2 fast  |0 (OCoLC)fst00924398 
650 7 |a Finance  |x Mathematical models  |x Computer programs.  |2 fast  |0 (OCoLC)fst00924399 
650 7 |a Numerical analysis.  |2 fast  |0 (OCoLC)fst01041273 
650 7 |a Numerical analysis  |x Computer programs.  |2 fast  |0 (OCoLC)fst01041276 
655 4 |a Electronic books. 
655 0 |a Electronic books. 
655 7 |a Electronic books.  |2 local 
700 1 |a Wetterau, Daniel,  |d 1981- 
776 0 8 |i Print version:  |a Kienitz, Joerg.  |t Financial modelling.  |d Hoboken, N.J. : Wiley, 2012  |z 9780470744895  |w (DLC) 2012029238 
830 0 |a Wiley finance series. 
856 4 0 |u https://doi.org/10.1002/9781118818565  |z Full Text via HEAL-Link 
994 |a 92  |b DG1 

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