Market Risk Analysis - Pricing, Hedging And Trading Financial Instruments Volume Iii +Cd
- ISBN13:9780470997895
- 出版社:John Wiley & Sons Inc
- 作者:Alexander
- 裝訂/頁數:精裝/416頁
- 附件:附CD
- 出版日:2008/05/09
商品簡介
All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include:
- Duration-Convexity approximation to bond portfolios, and portfolio immunization;
- Pricing floaters and vanilla, basis and variance swaps;
- Coupon stripping and yield curve fitting;
- Proxy hedging, and hedging international securities and energy futures portfolios;
- Pricing models for European exotics, including barriers, Asians, look-backs, choosers, capped, contingent, power, quanto, compo, exchange, ‘best-of’ and spread options;
- Libor model calibration;
- Dynamic models for implied volatility based on principal component analysis;
- Calibration of stochastic volatility models (Matlab code);
- Simulations from stochastic volatility and jump models;
- Duration, PV01 and volatility invariant cash flow mappings;
- Delta-gamma-theta-vega mappings for options portfolios;
- Volatility beta mapping to volatility indices.
作者簡介
目次
List of Tables.
List of Examples.
Foreword.
Preface to Volume III.
III.1 Bonds and Swaps.
III.1.1 Introduction.
III.1.2 Interest Rates.
III.1.3 Categorization of Bonds.
III.1.4 Characteristics of Bonds and Interest Rates.
III.1.5 Duration and Convexity.
III.1.6 Bonds with Semi-Annual and Floating Coupons.
III.1.7 Forward Rate Agreements and Interest Rate Swaps.
III.1.8 Present Value of Basis Point.
III.1.9 Yield Curve Fitting.
III.1.10 Convertible Bonds.
III.1.10.1 Characteristics of Convertible Bonds.
III.1.10.2 Survey of Pricing Models for Convertible Bonds.
III.1.11 Summary and Conclusions.
III.2 Futures and Forwards.
III.2.1 Introduction.
III.2.2 Characteristics of Futures and Forwards.
III.2.3 Theoretical Relationships between Spot, Forward and Futures.
III.2.4 The Basis.
III.2.5 Hedging with Forwards and Futures.
III.2.6 Hedging in Practice.
III.2.7 Using Futures for Short Term Hedging.
III.2.8 Summary and Conclusions.
III.3 Options.
III.3.1 Introduction.
III.3.2 Foundations.
III.3.3 Characteristics of Vanilla Options.
III.3.4 Hedging Options.
III.3.5 Trading Options.
III.3.6 The Black–Scholes–Merton Model.
III.3.7 The Black–Scholes–Merton Greeks.
III.3.8 Interest Rate Options.
III.3.9 Pricing Exotic Options.
III.3.10 Summary and Conclusions.
III.4 Volatility.
III.4.1 Introduction.
III.4.2 Implied Volatility.
III.4.3 Local Volatility.
III.4.4 Modelling the Dynamics of Implied Volatility.
III.4.5 Stochastic Volatility Models.
III.4.6 Scale Invariance and Hedging.
III.4.7 Trading Volatility.
III.4.8 Summary and Conclusion.
III.5 Portfolio Mapping.
III.5.1 Introduction.
III.5.2 Risk Factors and Risk Factor Sensitivities.
III.5.3 Cash Flow Mapping.
III.5.4 Applications of Cash Flow Mapping to Market Risk Management.
III.5.5 Mapping an Options Portfolio to Price Risk Factors.
III.5.6 Mapping Implied Volatility.
III.5.7 Case Study: Volatility Risk in FTSE 100 Options.
III.5.8 Summary and Conclusions.
References.
Index.
主題書展
更多主題書展
更多書展本週66折
您曾經瀏覽過的商品
購物須知
外文書商品之書封,為出版社提供之樣本。實際出貨商品,以出版社所提供之現有版本為主。部份書籍,因出版社供應狀況特殊,匯率將依實際狀況做調整。
無庫存之商品,在您完成訂單程序之後,將以空運的方式為你下單調貨。為了縮短等待的時間,建議您將外文書與其他商品分開下單,以獲得最快的取貨速度,平均調貨時間為1~2個月。
為了保護您的權益,「三民網路書店」提供會員七日商品鑑賞期(收到商品為起始日)。
若要辦理退貨,請在商品鑑賞期內寄回,且商品必須是全新狀態與完整包裝(商品、附件、發票、隨貨贈品等)否則恕不接受退貨。