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Introduction To Derivative Securities, Financial Markets, And Risk Management, An (Second Edition)
Written by two of the most distinguished finance scholars in the industry, this introductory textbook on derivatives and risk management is highly accessible in terms of the concepts as well as the mathematics.With its economics perspective, this rewritten and streamlined second edition textbook, is closely connected to real markets, and:Beginning at a level that is comfortable to lower division college students, the book gradually develops the content so that its lessons can be profitably used by business majors, arts, science, and engineering graduates as well as MBAs who would work in the finance industry. Supplementary materials are available to instructors who adopt this textbook for their courses. These include:Solutions Manual with detailed solutions to nearly 500 end-of-chapter questions and problemsPowerPoint slides and a Test Bank for adoptersPRICED! In line with current teaching trends, we have woven spreadsheet applications throughout the text. Our aim is for students to achieve self-sufficiency so that they can generate all the models and graphs in this book via a spreadsheet software, Priced!
Risk Management
Key readings in risk management from CFA Institute, the preeminent organization representing financial analysts Risk management may have been the single most important topic in finance over the past two decades. To appreciate its complexity, one must understand the art as well as the science behind it. Risk Management: Foundations for a Changing Financial World provides investment professionals with a solid framework for understanding the theory, philosophy, and development of the practice of risk management by Outlining the evolution of risk management and how the discipline has adapted to address the future of managing risk Covering the full range of risk management issues, including firm,...
Financial Risk and Derivatives
Financial Risk and Derivatives provides an excellent illustration of the links that have developed in recent years between the theory of finance on one hand and insurance economics and actuarial science on the other. Advances in contingent claims analysis and developments in the academic and practical literature dealing with the management of financial risks reflect the close relationships between insurance and innovations in finance. The book represents an overview of the present state of the art in theoretical research dealing with financial issues of significance for insurance science. It will hopefully provide an impetus to further developments in applied insurance research.
Operations Research ’93
This proceedings volume contains extended abstracts of talks presented at the 18th Symposium on Operations Research held at the University of Cologne, September 1-3, 1993. The Symposia on Operations Research are the annual meetings of the Gesellschaft fiir Mathematik, Okonometrie und Operations Research (GMOOR), a scientific society providing a link between research and applications in the areas of applied mathematics, economics and operations research. The broad range of interests and scientific activities covered by GMOOR and its members was demonstrated by about 250 talks presented at the 18th Symposium. As in l'ecent years, emphasis was placed on optimization and stochastics, this year w...
Risk Assessment
New developments in assessing and managing risk are discussed in this volume. Addressing both practitioners in the banking sector and research institutions, the book provides a manifold view on the most-discussed topics in finance. Among the subjects treated are important issues such as: risk measures and allocation of risks, factor modeling, risk premia in the hedge funds industry and credit risk management. The volume provides an overview of recent developments as well as future trends in the area of risk assessment.
The LIBOR Market Model in Practice
The LIBOR Market Model (LMM) is the first model of interest rates dynamics consistent with the market practice of pricing interest rate derivatives and therefore it is widely used by financial institution for valuation of interest rate derivatives. This book provides a full practitioner's approach to the LIBOR Market Model. It adopts the specific language of a quantitative analyst to the largest possible level and is one of first books on the subject written entirely by quants. The book is divided into three parts - theory, calibration and simulation. New and important issues are covered, such as various drift approximations, various parametric and nonparametric calibrations, and the uncertain volatility approach to smile modelling; a version of the HJM model based on market observables and the duality between BGM and HJM models. Co-authored by Dariusz Gatarek, the 'G' in the BGM model who is internationally known for his work on LIBOR market models, this book offers an essential perspective on the global benchmark for short-term interest rates.
Dynamic Term Structure Modeling
Praise for Dynamic Term Structure Modeling "This book offers the most comprehensive coverage of term-structure models I have seen so far, encompassing equilibrium and no-arbitrage models in a new framework, along with the major solution techniques using trees, PDE methods, Fourier methods, and approximations. It is an essential reference for academics and practitioners alike." --Sanjiv Ranjan Das Professor of Finance, Santa Clara University, California, coeditor, Journal of Derivatives "Bravo! This is an exhaustive analysis of the yield curve dynamics. It is clear, pedagogically impressive, well presented, and to the point." --Nassim Nicholas Taleb author, Dynamic Hedging and The Black Swan ...
Financial Engineering and Computation
A comprehensive text and reference, first published in 2002, on the theory of financial engineering with numerous algorithms for pricing, risk management, and portfolio management.
FINANCIAL DERIVATIVES
Designed as a text for postgraduate students of management, commerce, and financial studies, this compact text clearly explains the subject without the mathematical complexities one comes across in many textbooks. The book deals with derivatives and their pricing, keeping the Indian regulatory and trading environment as the backdrop. What’s more, each product is explained in detail with illustrative examples so as to make it easier for comprehension. The book first introduces the readers to the derivatives market and the quantitative foundations. Then it goes on to give a detailed description of the Forward Agreements, Interest Rate Futures, and Stock Index Futures and Swaps. The text also focuses on Options—Option Pricing, Option Hedging and Option Trading Strategies. It concludes with a discussion on OTC derivatives. KEY FEATURES : The application of each derivative product is illustrated with the help of solved examples. Practice problems are given at the end of each chapter. A detailed glossary, important formulae and major website addresses are included in the book. This book would also be of immense benefit to students pursuing courses in CA, ICWA and CFA.
Options Markets
This collection of articles draws from work on derivatives from the last 25 years. The three volumes cover topics including: the theory, pricing and empirical evidence evidence on equity derivatives; fixed-income derivatives; exotics; real options; numerical methods; and risk management. The historical perspective offered by the book aims to offer fresh insight into derivatives.
