Theory of financial risk and derivative pricing

from statistical physics to risk management

Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising recent theoretical developments in the field, this ...

Fourier transform methods in finance

Auts. Umberto Cherubini...[et.al]. In recent years, Fourier transform methods have emerged as one of the major methodologies for the evaluation of derivative contracts, largely due to the need to strike a balance between the extension of existing pricing models beyond the traditional Black-Scholes ...

Strategy, value and risk

the real options approach

The surge of innovation in information technology at the end of the twentieth century reduced the cost of communications, which facilitated the globalization of the production and capital markets. Globalization has in turn spurred competition and consequently innovation. Sustainable competitive advantage is an increasingly difficult ...

Demystifying exotic products

interest rates, equities and foreign exchange

One reason for financial crises is investors misusing and misunderstanding exotic products. Proper understanding of exotic structures might have helped. "Demystifying Exotic Products" contains the fundamentals on exotic products in relation to Interest rates, equity and FX exotics. This practical guidebook discusses how the product ...

Stop orders

a practical guide to using stop orders for traders and investors

A stop order is an essential tool used for money management and risk limitation, but for many investors and traders it is not terribly well understood. Do you know how to apply stop orders effectively at entry, and maintain them properly until exit, so as ...

The art of credit derivatives

demystifying the black swan

Looks at how some aspects of quantitative modelling led to the credit crisis. This book shows how a mind-shift is needed within the quant community to move from simple modelers to a more hands on mindset where the modeller understands trading implicitly.

Swaps and other derivatives

It accompanie CD-ROM. The swaps market is a central market to many businesses, especially among the most liquid of financial contracts. Fully revised and updated from the first edition, "Swaps and Other Derivatives" offers a new insight on the growth of swaps markets worldwide. Additionally ...

Introduction to derivatives

options, futures and swaps

Derivatives: Markets, Strategies, and Applications provides a thorough explanation of derivatives from the basic concepts, strategies, and fundamentals to a more detailed understanding of the advanced strategies and pricing models. Including more than 300 end-of-chapter problems and web exercises at the end of most chapters ...

Financial derivatives

pricing, applications and mathematics

This book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito's lemma are discussed heuristically ...

Derivatives and internal models

Now in its fourth edition, this classic book provides a comprehensive and thorough introduction to derivative pricing, risk management and portfolio optimization, covering all relevant topics with enough hands- on, depth of detail to enable readers to develop their own pricing and risk tools. The ...

Winning spread betting strategies

how to make money in the medium term in up, down and sideways markets

From the author of the best seller 'The Financial Spread Betting Handbook' comes a book about constructing winning spread betting strategies. Seven strategies are presented covering all types of market; up, down and sideways. Key ingredients for each strategy include overall market direction, entry and ...

Stock market efficiency, insider dealing and market abuse

The recent turbulence in the stock market has brought into question the way, and prices at which, shares are traded, and how the market effectively values companies. It has also raised public concern as to the way by which dealers and investors take advantage of ...

Own the world

how smart investors create global portfolios

Global investing isn't new. In fact, investors have been looking to overseas markets for hundreds of years, and with good reason. A global portfolio bestows innumerable rewards on the savvy investor, yet we in the US remain woefully under exposed to foreign equities. Despite ...

Option spread strategies

trading up, down, and sideways markets

Complex option structures are no longer traded only by professionals; these strategies are now available and actively traded by individual investors and traders. In Option Spread Strategies, Anthony J. Saliba discusses which strategy to employ, various nuances of each, how to manage the position, and ...

Trade options online

In this fully updated book, options trading innovator George Fontanills arms you with the knowledge and skills you need to unleash the phenomenal power of your computer to become a successful online options trader. Following a concise review of the basics of online trading - including ...

CFDs made simple

a straightforward guide to contracts for difference

CFDs are flexible trading instruments that offer high degrees of leverage; however, they are high risk. This work presents a straightforward, practical guide to trading CFDs.

Sell short

A simpler, safer way to profit when stocks go down

In "Sell Short", author Michael Shulman demystifies the art of short- selling and reveals how investors can successfully use this approach to profit from busted stocks in both up and down markets. "Sell Short" provides readers with a comprehensive overview of how to capture significant ...

Equity derivatives

documenting and understanding equity derivative products

Ed. Edmund Parker. Equity derivatives are financial instruments whose value is based on underlying equity securities, such as stocks or stock market indices. They allow market participants to transfer risks associated with the underlying securities. In recent years their popularity has grown spectacularly: by the ...

The SABR/LIBOR Market Model

pricing, calibration and hedging for complex interest-rate derivatives

This book presents a major innovation in the interest rate space. It explains a financially motivated extension of the LIBOR Market model which accurately reproduces the prices for plain vanilla hedging instruments (swaptions and caplets) of all strikes and maturities produced by the SABR model ...

The practical guide to Wall Street

equities and derivatives

"The Practical Guide to Wall Street" is an indispensable resource for anyone who aspires to a front-office sales or trading position on Wall Street and an essential desk reference for market practitioners and those who interact with this exciting but widely misunderstood industry. Written by ...