| Description |
1 online resource (ix, 326 pages) : illustrations. |
| Series |
[Wiley finance] |
|
Wiley finance series.
|
| Bibliography |
Includes bibliographical references (pages 313-321) and index. |
| Contents |
Modeling Volatility. Theory -- Applications -- Equity Interest Rate Hybrids. Short-Rate Models -- Hybrid Products -- Constant Proportion Portfolio Insurance -- Equity Credit Hybrids. Credit Modeling -- Advanced Pricing Techniques. Copulas Applied to Derivatives Pricing -- Forward PDEs and Local Volatility Calibration -- Numerical Solution of Multifactor Pricing Problems Using Lagrange-Galerkin with Duality Methods -- American Monte Carlo. |
| Summary |
Take an in-depth look at equity hybrid derivatives. Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book presents leading-edge thinking in modeling, valuing, and hedging for this market, which is increasingly used for investment by hedge funds. You'll gain a balanced, integrated presentation of theory and practice, with an emphasis on understanding new techniques for analyzing volatility and credit derivative transactions linked to equity. In every instance, theory is illustrated along with practical application. Marcus Overhaus, PhD, is Managing Director and Global Head of Quantitative Research and Equity Structuring. Ana Bermudez, PhD, is an Associate in Global Quantitative Research. Hans Buehler, PhD, is a Vice President in Global Quantitative Research. Andrew Ferraris, DPhil, is a Managing Director in Global Quantitative Research. Christopher Jordinson, PhD, is a Vice President in Global Quantitative Research. Aziz Lamnouar, DEA, is a Vice President in Global Quantitative Research. All are associated with Deutsche Bank AG, London. |
| Language |
English. |
| Subject |
Derivative securities.
|
|
Convertible securities.
|
|
Instruments dérivés (Finances) |
|
Titres convertibles. |
|
Convertible securities |
|
Derivative securities |
|
Finance. |
|
Business & Economics. |
|
Investment & Speculation. |
| Added Author |
Overhaus, Marcus.
|
| Other Form: |
Print version: Equity hybrid derivatives. Hoboken, N.J. : John Wiley & Sons, ©2007 0471770582 (DLC) 2006005369 (OCoLC)64084832 |
| ISBN |
9781119201816 (electronic bk.) |
|
1119201810 (electronic bk.) |
|
(cloth) |
|
(cloth) |
|
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