FREE delivery to all EXCLUSIVE BOOKS stores nationwide. FREE delivery to your door on all orders over R450. Excludes all international deliveries.

Applied Quantitative Finance for Equity Derivatives, second edition

Jherek Healy
    Product form
      FORMAT: Hardback

      R 2,691.00 Price and availability exclusive to website

      YOU COULD EARN 2,691 FUTURE RETAIL DISCOUNTS.
      ESTIMATED DELIVERY: Approx. 20 - 30 Business Days
      BUY NOW PAY LATER
      From R 448.50 per month!
      3x monthly payments of R 897.00 with
      4x fortnightly payments of R 672.75 with
      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.
      Format: CONTRIBUTORS: Jherek Healy EAN: 9780244741587 COUNTRY: PAGES: WEIGHT: 907 g HEIGHT: 229 cm
      PUBLISHED BY: Lulu.com DATE PUBLISHED: 2019-01-22 CITY: GENRE: SCIENCE / General WIDTH: 152 cm SPINE:

      Book Themes:

      Science: general issues

      Customer Reviews

      Be the first to write a review
      0%
      (0)
      0%
      (0)
      0%
      (0)
      0%
      (0)
      0%
      (0)
      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.
      Format: CONTRIBUTORS: Jherek Healy EAN: 9780244741587 COUNTRY: PAGES: WEIGHT: 907 g HEIGHT: 229 cm
      PUBLISHED BY: Lulu.com DATE PUBLISHED: 2019-01-22 CITY: GENRE: SCIENCE / General WIDTH: 152 cm SPINE:

      Book Themes:

      Science: general issues

      Customer Reviews

      Be the first to write a review
      0%
      (0)
      0%
      (0)
      0%
      (0)
      0%
      (0)
      0%
      (0)

      Recently viewed products

      Login

      Forgot your password?

      Don't have an account yet?
      Create account