Equity Derivatives and Hybrids: Markets, Models and Methods (Applied Quantitative Finance)
| Author | : | |
| Rating | : | 4.46 (545 Votes) |
| Asin | : | B01FYBMZUM |
| Format Type | : | |
| Number of Pages | : | 264 Pages |
| Publish Date | : | 2017-08-25 |
| Language | : | English |
DESCRIPTION:
The choice of topics bears the mark of the author's experience as a professional quant, including for example a sophisticated treatment of dividend modeling techniques and clear explanations of CVA, DVA, and FVA. In summary: an excellent addition to any practitioner's library for both graduates at entry level as well as senior professionals more interested in advanced aspects of financial engineering.'-Peter Jäckel, PhD, Deputy Head of Quantitative Research, VTB Capital; Managing Director, OTC Analytics. The presentation is clear, the subject matter highly relevant, and the coverage is comprehensive yet focused. 'This deep, on-the-money account of equity derivatives and hybrids will appeal to finance professional
The content reflects the requirements of practitioners in financial institutions: Quants will find a survey of state-of-the-art models and guidance on how to efficiently implement them with regards to market data representation, calibration, and sensitivity computation. Written by a quant with many years of experience in the field this book provides an up-to-date account of equity and equity-hybrid (equity-rates, equity-credit, equity-foreign exchange) derivatives modeling from a practitioner's perspective. Traders and structurers will learn about structured products, selection of the most appropriate models, as well as efficient hedging methods while risk managers will better understand market, credit, and mod
Oliver Brockhaus is Senior Vice-President at MathFinance AG, an independent consulting company. He has 15 years of experience as front office quantitative analyst. Brockhaus has been responsible for developing state-of-the-art pricing models and risk management tools for front office trading operations across a number of areas, including equity and credit derivatives, commodities, life insuran