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

Along with the extraordinary growth in the derivatives market over the last decade, the impact of model choice, and model parameter usage, has become a major source of valuation uncertainty. This book concentrates on equity derivatives and charts, step by step, how key assumptions on the dynamics of stocks impact on the value of exotics. The presentation is technical, but maintains a strong focus on intuition and practical application. Contents: Introduction; Preliminaries; Dividends; Volatility; Default; Jumps; Rates; Correlation; Control.

About this title

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.

From the Back Cover

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.

Edition details

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