Problems and Solutions in Mathematical Finance, Volume 2 (eBook)

Equity Derivatives

Dian Nel, Sverrir Ólafsson (Autoren)

eBook Download: PDF

2017 | 1. Auflage
856 Seiten
John Wiley & Sons (Verlag)
978-1-119-96610-4 (ISBN)

Infos

Detailed guidance on the mathematics behind equity
derivatives

Problems and Solutions in Mathematical Finance Volume II
is an innovative reference for quantitative practitioners and
students, providing guidance through a range of mathematical
problems encountered in the finance industry. This volume focuses
solely on equity derivatives problems, beginning with basic
problems in derivatives securities before moving on to more
advanced applications, including the construction of volatility
surfaces to price exotic options. By providing a methodology for
solving theoretical and practical problems, whilst explaining the
limitations of financial models, this book helps readers to develop
the skills they need to advance their careers. The text covers a
wide range of derivatives pricing, such as European, American,
Asian, Barrier and other exotic options. Extensive appendices
provide a summary of important formulae from calculus, theory of
probability, and differential equations, for the convenience of
readers.

As Volume II of the four-volume Problems and Solutions in
Mathematical Finance series, this book provides clear
explanation of the mathematics behind equity derivatives, in order
to help readers gain a deeper understanding of their mechanics and
a firmer grasp of the calculations.

* Review the fundamentals of equity derivatives

* Work through problems from basic securities to advanced exotics
pricing

* Examine numerical methods and detailed derivations of
closed-form solutions

* Utilise formulae for probability, differential equations, and
more

Mathematical finance relies on mathematical models, numerical
methods, computational algorithms and simulations to make trading,
hedging, and investment decisions. For the practitioners and
graduate students of quantitative finance, Problems and
Solutions in Mathematical Finance Volume II provides essential
guidance principally towards the subject of equity derivatives.

Autor

Dr. Eric Chin (London, UK) is a quantitative analyst at Standard Chartered Bank where he is involved in providing guidance on price testing methodologies and their implementation, formulating model calibration and model appropriateness across all asset classes. Dian Nel (London, UK) is a quantitative analyst currently working for Norwegian Energy and has many years experience in energy markets where his main interests include exotic options, portfolio optimisation and hedging in incomplete markets. Dr. Sverrir ?lafsson?(Reykjavik, Iceland) is a professor in the School of Business at the University of Reykjavik, Iceland and a visiting professor in the Department of Electrical Engineering and Computer Science at Queen Mary University of London. He is also the director of Riskcon Ltd a UK based consultancy on risk management.

Inhalt

Preface ix

About the Authors xi

1 Basic Equity Derivatives Theory 1

1.1 Introduction 1

1.2 Problems and Solutions 8

1.2.1 Forward and Futures Contracts 8

1.2.2 Options Theory 15

1.2.3 Hedging Strategies 27

2 European Options 63

2.1 Introduction 63

2.2 Problems and Solutions 74

2.2.1 Basic Properties 74

2.2.2 Black-Scholes Model 89

2.2.3 Tree-Based Methods 190

2.2.4 The Greeks 218

3 American Options 267

3.1 Introduction 267

3.2 Problems and Solutions 271

3.2.1 Basic Properties 271

3.2.2 Time-Independent Options 292

3.2.3 Time-Dependent Options 305

4 Barrier Options 351

4.1 Introduction 351

4.2 Problems and Solutions 357

4.2.1 Probabilistic Approach 357

4.2.2 Reflection Principle Approach 386

4.2.3 Further Barrier-Style Options 408

5 Asian Options 439

5.1 Introduction 439

5.2 Problems and Solutions 443

5.2.1 Discrete Sampling 443

5.2.2 Continuous Sampling 480

6 Exotic Options 531

6.1 Introduction 531

6.2 Problems and Solutions 532

6.2.1 Path-Independent Options 532

6.2.2 Path-Dependent Options 586

7 Volatility Models 647

7.1 Introduction 647

7.2 Problems and Solutions 652

7.2.1 Historical and Implied Volatility 652

7.2.2 Local Volatility 685

7.2.3 Stochastic Volatility 710

7.2.4 Volatility Derivatives 769

A Mathematics Formulae 787

B Probability Theory Formulae 797

C Differential Equations Formulae 813

Bibliography 821

Notation 825

Index 829

Produkt-Details

• Erscheint lt. Verlag: 4.1.2017
• Reihe/Serie: Wiley Finance Series
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Angewandte Mathematik
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Schlagworte: Finance & Investments • Financial products • Finanzprodukte • Finanz- u. Anlagewesen
• ISBN-10: 1-119-96610-8 / 1119966108
• ISBN-13: 978-1-119-96610-4 / 9781119966104