The Value of Uncertainty: Dealing with Risk in the Equity Derivatives Market - Hardcover

George Kaye

Hardcover

ISBN 10: 1848167725 ISBN 13: 9781848167728

Publisher: Imperial College Press, 2013

Synopsis

The Value of Uncertainty begins by tracing the growth in the equity derivative markets prior to the events of September 2008, and demonstrates how exotic derivatives formed a significant component of that growth. It goes on to show that, with this growth, the mere decision of whether to use one model versus another became a significant contributor to valuation uncertainty. The book then focuses on equity derivative models, charting, step by step, how key assumptions on the dynamics of stocks impact on the value of exotics. The presentation is technical, but always maintains a strong focus on intuition and practical applicability to the current market.

About this title

Review

"In his timely book, George Kaye, a Cambridge-trained physicist with over a dozen years of experience as a quantitative analyst at leading investment banks in the City of London, covers a wide variety of topics in the context of equity option pricing and risk management. He presents a broad and thorough survey of the relevant mathematical methods, and shows how they can be used in practice. Both students of the subject and seasoned market practitioners will greatly benefit from reading this book. I recommend it to the readers without reservations."-- Alexander Lipton, Bank of America Merrill Lynch and Imperial College London

"Model valuation used to inhabit the boring corner of derivatives pricing. After the valuation debacles of the last few years, it has moved firmly to centre stage, and now captures the attention of regulators, practitioners and CEOs as it never did before. And so it should, as it goes to the very heart of the question: What is the value of a derivative product? With this book, George Kaye makes a timely and well-informed contribution to the debate. One of the strengths of the book is to be found in the author's ability to deal with the nittygritty details of modelling while keeping the big picture constantly in sharp focus. This volume provides a useful contribution to the debate, and a treasure trove of insights on derivatives pricing and hedging." --Riccardo Rebonato, Global Head of Interest Rates and FX Analytics, PIMCO and, Visiting Lecturer, Mathematical Finance, Oxford University

About the Author

George Kaye is an independent financial consultant with over a decade of experience as a quantitative analyst ( quant ) in the investment banking industry. Starting at Credit Suisse First Boston's Product Development Group in 1999, George quickly specialised in the field of equity derivatives, building models and infrastructure for the trading desks. In 2006, he left to join the Derivative Analysis Group of Goldman Sachs, where his responsibilities focused on building a methodology for model risk analysis of the firm's equity derivatives positions. In 2010 he returned to the front office, working in the equity derivatives section of the Quantitative Analysis Group of UBS Investment Bank, leaving at the end of 2011 to build his own derivatives software company.

Edition details

• Publisher: Imperial College Press
• Publication date: 2013
• ISBN 10: 1848167725
• ISBN 13: 9781848167728
• Binding: Hardcover
• Language: English
• Number of pages: 440