Applied Quantitative Finance for Equity Derivatives, second edition - Hardcover

Healy, Jherek

Hardcover

ISBN 10: 0244741581 ISBN 13: 9780244741587

Publisher: Lulu.com, 2019

Synopsis

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.

Edition details

• Publisher: Lulu.com
• Publication date: 2019
• Language: English
• ISBN 10: 0244741581
• ISBN 13: 9780244741587
• Binding: Hardcover
• Number of pages: 516