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Cover: 9781137335715 | Smile Pricing Explained | P. Austing | Taschenbuch | xiv | Englisch
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Smile Pricing Explained
Taschenbuch von P. Austing
Sprache: Englisch

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Beschreibung
Smile Pricing Explained provides a clear and thorough explanation of the concepts of smile modelling that are at the forefront of modern derivatives pricing. The key models used in practice are covered, together with numerical techniques and calibration.
Smile Pricing Explained provides a clear and thorough explanation of the concepts of smile modelling that are at the forefront of modern derivatives pricing. The key models used in practice are covered, together with numerical techniques and calibration.
Über den Autor
In Smile Pricing Explained, Peter Austing draws on a decade of experience building the mathematical models for derivatives trading at major investment banks, most recently Barclays Capital where he was a Director in Quantitative Analytics.

Before moving to finance, Dr Austing held research positions in theoretical physics studying candidate theories of quantum gravity. It was at Oxford University, while teaching mathematics at St John's College, that he developed his love for teaching and accessible style.

A seasoned quantitative practitioner, and regular conference speaker, Peter Austing is best known for his work on multi-asset derivative pricing with correlation smile. He is currently engaged in research at Imperial College, London.
Inhaltsverzeichnis
1. Introduction to Derivatives 2. Stochastic Calculus 3. Martingale Pricing 4. Dynamic Hedging and Replication 5. Exotic Options in Black-Scholes 6. Smile Models 7. Stochastic Volatility 8. Numerical Techniques 9. Local Stochastic Volatility 10. Volatility Products 11. Multi-Asset
Details
Erscheinungsjahr: 2014
Fachbereich: Management
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
Inhalt: xiv
221 S.
ISBN-13: 9781137335715
ISBN-10: 1137335718
Sprache: Englisch
Einband: Kartoniert / Broschiert
Autor: Austing, P.
Auflage: 2014 edition
Hersteller: Palgrave Macmillan
Palgrave MacMillan UK
Maße: 231 x 152 x 18 mm
Von/Mit: P. Austing
Erscheinungsdatum: 29.08.2014
Gewicht: 0,386 kg
Artikel-ID: 105367217
Über den Autor
In Smile Pricing Explained, Peter Austing draws on a decade of experience building the mathematical models for derivatives trading at major investment banks, most recently Barclays Capital where he was a Director in Quantitative Analytics.

Before moving to finance, Dr Austing held research positions in theoretical physics studying candidate theories of quantum gravity. It was at Oxford University, while teaching mathematics at St John's College, that he developed his love for teaching and accessible style.

A seasoned quantitative practitioner, and regular conference speaker, Peter Austing is best known for his work on multi-asset derivative pricing with correlation smile. He is currently engaged in research at Imperial College, London.
Inhaltsverzeichnis
1. Introduction to Derivatives 2. Stochastic Calculus 3. Martingale Pricing 4. Dynamic Hedging and Replication 5. Exotic Options in Black-Scholes 6. Smile Models 7. Stochastic Volatility 8. Numerical Techniques 9. Local Stochastic Volatility 10. Volatility Products 11. Multi-Asset
Details
Erscheinungsjahr: 2014
Fachbereich: Management
Genre: Wirtschaft
Rubrik: Recht & Wirtschaft
Medium: Taschenbuch
Inhalt: xiv
221 S.
ISBN-13: 9781137335715
ISBN-10: 1137335718
Sprache: Englisch
Einband: Kartoniert / Broschiert
Autor: Austing, P.
Auflage: 2014 edition
Hersteller: Palgrave Macmillan
Palgrave MacMillan UK
Maße: 231 x 152 x 18 mm
Von/Mit: P. Austing
Erscheinungsdatum: 29.08.2014
Gewicht: 0,386 kg
Artikel-ID: 105367217
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