Open Daily: 10am - 10pm | Alley door pickup 10am - 7pm 3038 Hennepin Ave Minneapolis, MN
612-822-4611

  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Applied Quantitative Finance for Equity Derivatives, second edition

Applied Quantitative Finance for Equity Derivatives, second edition

Healy, Jherek

Hardcover

General Science

ISBN10: 0244741581
ISBN13: 9780244741587
Publisher: Lulu Pr
Published: Jan 22 2019
Pages: 516
Weight: 2.00
Height: 1.31 Width: 6.00 Depth: 9.00
Language: English
Revised and corrected in December 2018, this book presents the most significant equity derivatives models used these days. It is not a book around esoteric or cutting-edge models, but rather a book on relatively simple and standard models, viewed from the angle of a practitioner. A few key subjects explained in this book are: cash dividends for European, American, or exotic options; issues of the Dupire local volatility model and possible fixes; finite difference techniques for American options and exotics; Non-parametric regression for American options in Monte-Carlo, randomized simulations; the particle method for stochastic-local-volatility model with quasi-random numbers; numerical methods for the variance and volatility swaps; quadratures for options under stochastic volatility models; VIX options and dividend derivatives; backward/forward representation of exotics. This second edition adds new arbitrage-free implied volatility interpolations, and covers various warrants, such as CBBCs.

Also in

General Science

View All