Kienitz Jorg (21 results)
Language: English
Published by Palgrave Macmillan 2018
Series: Financial Engineering Explained, Book 9 of 9. Book 9 of 9 - Financial Engineering Explained
- Softcover
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Language: English
Published by MacMillan 2018
Series: Financial Engineering Explained, Book 9 of 9. Book 9 of 9 - Financial Engineering Explained
- Softcover
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Hardcover. Condition: Good. 1st Edition. Hardcover, xiii + 719 pages, NOT ex-library. Weight: 1.4kg. Yellow highlighting on 3 pages; pencil marks on one page; faint grubby yellow marks in margins of a few leaves (not affecting the readability of text). Else interior is clean and bright, free of inscriptions and stamps, firmly bo…und. Grubby yellow marks on edges of a portion of leaves externally. Edgeworn dust jacket with a tear to lower front panel. -- Contents: Introduction; I Financial Markets and Popular Models 1 Financial Markets: Data, Basics and Derivatives [Introduction and Objectives; Financial Time-Series, Statistical Properties of Market Data and Invariants; Implied Volatility Surfaces and Volatility Dynamics; Applications; General Remarks on Notation; Summary and Conclusions; Appendix: Quotes] 2 Diffusion Models [Introduction and Objectives; Local Volatility Models; Stochastic Volatility Models; Stochastic Volatility and Stochastic Rates Models; Summary and Conclusions] 3 Models with Jumps [Introduction and Objectives; Poisson Processes and Jump Diffusions; Exponential Lévy Models; Other Models; Martingale Correction; Summary and Conclusions] 4 Multi-Dimensional Models [Introduction and Objectives; Multi-Dimensional Diffusions; Multi-Dimensional Heston and SABR Models; Parameter Averaging; Markovian Projection; Copulae; Multi-Dimensional Variance Gamma Processes; Summary and Conclusions]; II Numerical Methods and Recipes 5 Option Pricing by Transform Techniques and Direct Integration [Introduction and Objectives; Fourier Transform; Carr-Madan Method; Lewis Method; Attari Method; Convolution Method; Cosine Method; Comparison, Stability and Performance; Extending the Methods to Forward Start Options; Density Recovery; Summary and Conclusions] 6 Advanced Topics Using Transform Techniques [Introduction and Objectives; Pricing Non-Standard Vanilla Options; Bermudan and American Options; Cosine Method and Barrier Options; Greeks; Summary and Conclusions] 7 Monte Carlo Simulation and Applications [Introduction and Objectives; Sampling Diffusion Processes; Special Purpose Schemes; Adding Jumps; Bridge Sampling; Libor Market Model; Multi-Dimensional Lévy Models; Copulae; Summary and Conclusions] 8 Monte Carlo Simulation: Advanced Issues [Introduction and Objectives; Monte Carlo and Early Exercise; Greeks with Monte Carlo; Euler Schemes and General Greeks; Application to Trigger Swap; Summary and Conclusions; Appendix: Trees] 9 Calibration and Optimization [Introduction and Objectives; Nelder-Mead Method; Levenberg-Marquardt Method; L-BFGS Method; SQP Method; Differential Evolution; Simulated Annealing; Summary and Conclusions] 10 Model Risk: Calibration, Pricing and Hedging [Introduction and Objectives; Calibration; Pricing Exotic Options; Hedging; Summary and Conclusions]; III Implementation, Software Design and Mathematics 11 Matlab: Basics [Introduction and Objectives; General Remarks; Matrices, Vectors and Cell Arrays; Functions and Function Handles; Toolboxes; Useful Functions and Methods; Plotting; Summary and Conclusions] 12 Matlab: Object Oriented Development [Introduction and Objectives; Matlab OO Model; A Model Class Hierarchy; A Pricer Class Hierarchy; An Optimizer Class Hierarchy; Design Patterns; Example: Calibration Engine; Example: The Libor Market Model and Greeks; Summary and Conclusions] 13 Math Fundamentals [Introduction and Objectives; Probability Theory and Stochastic Processes; Numerical Methods for Stochastic Processes; Basics on Complex Analysis; Characteristic Function and Fourier Transform; Summary and Conclusions]; List of Figures; List of Tables; Bibliography; Index.
Language: English
Published by MacMillan 2017
Series: Financial Engineering Explained, Book 9 of 9. Book 9 of 9 - Financial Engineering Explained
- Hardcover
Seller: Books Puddle, New York, U.S.A.Books Puddle
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Language: English
Published by Palgrave Macmillan 2015
Series: Financial Engineering Explained, Book 5 of 9. Book 5 of 9 - Financial Engineering Explained
- Softcover
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More imagesLanguage: English
Published by Palgrave Macmillan 2018
Series: Financial Engineering Explained, Book 9 of 9. Book 9 of 9 - Financial Engineering Explained
- Softcover
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Taschenbuch. Condition: Neu. Interest Rate Derivatives Explained: Volume 2 | Term Structure and Volatility Modelling | Jörg Kienitz (u. a.) | Taschenbuch | Financial Engineering Explained | xxvii | Englisch | 2018 | Palgrave Macmillan | EAN 9781349953783 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 1…7, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu.
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Language: English
Published by Palgrave Macmillan 2018
Series: Financial Engineering Explained, Book 9 of 9. Book 9 of 9 - Financial Engineering Explained
- Softcover
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Language: English
Published by Palgrave Macmillan 2017
Series: Financial Engineering Explained, Book 9 of 9. Book 9 of 9 - Financial Engineering Explained
- Hardcover
- Print on Demand
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Language: English
Published by Palgrave Macmillan 2018
Series: Financial Engineering Explained, Book 9 of 9. Book 9 of 9 - Financial Engineering Explained
- Softcover
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Paperback / softback. Condition: New. This item is printed on demand. New copy - Usually dispatched within 5-9 working days.
Language: English
Published by MacMillan 2018
Series: Financial Engineering Explained, Book 9 of 9. Book 9 of 9 - Financial Engineering Explained
- Softcover
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Language: English
Published by MacMillan 2017
Series: Financial Engineering Explained, Book 9 of 9. Book 9 of 9 - Financial Engineering Explained
- Hardcover
- Print on Demand
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Language: English
Published by MacMillan 2018
Series: Financial Engineering Explained, Book 9 of 9. Book 9 of 9 - Financial Engineering Explained
- Softcover
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Language: English
Published by MacMillan 2017
Series: Financial Engineering Explained, Book 9 of 9. Book 9 of 9 - Financial Engineering Explained
- Hardcover
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Language: English
Published by Palgrave Macmillan UK 2018
Series: Financial Engineering Explained, Book 9 of 9. Book 9 of 9 - Financial Engineering Explained
- Softcover
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Joerg Kienitz is Partner at Quaternion Risk Management where he is responsible for business development, pricing models research and risk management consulting. Prior to this he was a Director at Deloitte and Co-lead…of the quant team. Before joini.
Language: English
Published by Palgrave Macmillan UK 2017
Series: Financial Engineering Explained, Book 9 of 9. Book 9 of 9 - Financial Engineering Explained
- Hardcover
- Print on Demand
Seller: moluna, Greven, Germanymoluna
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Joerg Kienitz is Partner at Quaternion Risk Management where he is responsible for business development, pricing models research and risk management consulting. Prior to this he was a Director at Deloitte and Co-lead…of the quant team. Before joini.
Language: English
Published by Palgrave Macmillan Aug 2018 2018
Series: Financial Engineering Explained, Book 9 of 9. Book 9 of 9 - Financial Engineering Explained
- Softcover
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Taschenbuch. Condition: Neu. This item is printed on demand - Print on Demand Titel. Neuware -¿Reviews and analyses the Heston and the SABR model in detailSpringer-Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 276 pp. Englisch.
Language: English
Published by Palgrave Macmillan 2018
Series: Financial Engineering Explained, Book 9 of 9. Book 9 of 9 - Financial Engineering Explained
- Softcover
- Print on Demand
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Taschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - This book on Interest Rate Derivatives has three parts. The first part is on financial products and extends the range of products considered in Interest Rate Derivatives Explained I. In particular we consider callable products such as Be…rmudan swaptions or exotic derivatives. The second part is on volatility modelling. The Heston and the SABR model are reviewed and analyzed in detail. Both models are widely applied in practice. Such models are necessary to account for the volatility skew/smile and form the fundament for pricing and risk management of complex interest rate structures such as Constant Maturity Swap options. Term structure models are introduced in the third part. We consider three main classes namely short rate models, instantaneous forward rate models and market models. For each class we review one representative which is heavily used in practice. We have chosen the Hull-White, the Cheyette and the Libor Market model. For all the models we consider the extensions bya stochastic basis and stochastic volatility component. Finally, we round up the exposition by giving an overview of the numerical methods that are relevant for successfully implementing the models considered in the book.
