Market Practice in Financial Modelling - Hardcover

Tan, Chia Chiang

Hardcover

ISBN 10: 9814366544 ISBN 13: 9789814366540

Publisher: World Scientific Publishing Co Pte Ltd, 2012

Synopsis

Written to bridge the gap between foundational quantitative finance and market practice, this book goes beyond the basics covered in most textbooks by presenting content concerning actual industry norms, thus resulting in a clearer picture of the field for the readers. These include, for instance, the practitioner's perspective of how local versus stochastic volatility affects forward smile, or the implications of mean reversion on forward volatility.Key considerations for modelling in rates, equities and foreign exchange are presented from the perspective of common themes across various assets, as well as their individual characteristics.The discussion on models emphasizes the key aspects that are relevant to the pricing of different types of financial derivatives, so that the reader can observe how an appropriate choice of models is essential in reflecting the risk profile and hedging considerations for different products.With the knowledge gleaned from this book, readers will attain a more comprehensive understanding of market practice in derivatives modelling.

About this title

From the Back Cover

Written to bridge the gap between foundational quantitative finance and market practice, this book goes beyond the basics covered in most textbooks by presenting content concerning actual industry norms, thus resulting in a clearer picture of the field for the readers. These include, for instance, the practitioner's perspective of how local versus stochastic volume affects forward smile, or the implications of mean reversion on forward volume.

Key considerations for modeling in rates, equities and foreign exchange are presented from the perspective of common themes across various assets, as well as their individual characteristics.

The discussion on models emphasizes the key aspects that are relevant to the pricing of different types of financial derivatives, so that the reader can observe how an appropriate choice of models is essential in reflecting the risk profile and hedging considerations for different products.

With the knowledge gleaned from this book, readers will attain a more comprehensive understanding of market practice in derivatives modeling.

Edition details

• Publisher: World Scientific Publishing Co Pte Ltd
• Publication date: 2012
• Language: English
• ISBN 10: 9814366544
• ISBN 13: 9789814366540
• Binding: Hardcover
• Number of pages: 440