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The mathematics of financial models : solving real-world problems with quantitative methods

The mathematics of financial models : solving real-world problems with quantitative methods (Loan 2 times)

Material type
단행본
Personal Author
Ravindran, Kannoo.
Title Statement
The mathematics of financial models : solving real-world problems with quantitative methods / Kannoo Ravindran.
Publication, Distribution, etc
Hoboken :   John Wiley & Sons Inc,   2014.  
Physical Medium
xi, 331 p. : ill. ; 24 cm.
ISBN
9781118004616
Bibliography, Etc. Note
Includes bibliographical references and index.
Subject Added Entry-Topical Term
Finance -- Mathematical models.
000 00746namuu2200217 a 4500
001 000045812386
005 20141007173245
008 141007s2014 njua b 001 0 eng
020 ▼a 9781118004616
040 ▼a 211009 ▼c 211009 ▼d 211009
082 0 4 ▼a 332.015118 ▼2 23
084 ▼a 332.015118 ▼2 DDCK
090 ▼a 332.015118 ▼b R256m
100 1 ▼a Ravindran, Kannoo.
245 1 4 ▼a The mathematics of financial models : ▼b solving real-world problems with quantitative methods / ▼c Kannoo Ravindran.
260 ▼a Hoboken : ▼b John Wiley & Sons Inc, ▼c 2014.
300 ▼a xi, 331 p. : ▼b ill. ; ▼c 24 cm.
504 ▼a Includes bibliographical references and index.
650 0 ▼a Finance ▼x Mathematical models.
945 ▼a KLPA

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/Western Books/ Call Number 332.015118 R256m Accession No. 111724528 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of Contents

Preface ix

Acknowledgments xi

CHAPTER 1 Setting the Stage 1

Why Is This Book Different? 2

Road Map of the Book 3

References 5

CHAPTER 2 Building Zero Curves 7

Market Instruments 8

Linear Interpolation 16

Cubic Splining 25

Appendix: Finding Swap Rates Using a Floating Coupon

Bond Approach 41

References 43

CHAPTER 3 Valuing Vanilla Options 45

Black-Scholes Formulae 47

Adaptations of the Black-Scholes Formulae 53

Limitations of the Black-Scholes Formulae 70

Application in Currency Risk Management 74

Appendix 78

References 80

CHAPTER 4 Simulations 81

Uniform Number Generation 82

Non-Uniform Number Generation 86

Applications of Simulations 93

Variance Reduction Techniques 100

References 104

CHAPTER 5 Valuing Exotic Options 107

Valuing Path-Independent, European-Style Options on a Single Variable 108

Valuing Path-Dependent, European-Style Options on a Single Variable 114

Valuing Path-Independent, European-Style Options on Two Variables 135

Valuing Path-Dependent, European-Style Options on Multiple Variables 152

References 157

CHAPTER 6 Estimating Model Parameters 159

Calibration of Parameters in the Black-Scholes Model 161

Using Implied Black-Scholes Volatility Surface and Zero Rate Term Structure to Value Options 169

Using Volatility Surface 178

Calibration of Interest Rate Option Model Parameters 190

Statistical Estimation 196

References 203

CHAPTER 7 The Effectiveness of Hedging Strategies 205

Delta Hedging 206

Assumptions Underlying Delta Hedging 216

Beyond Delta Hedging 223

Testing Hedging Strategies 230

Analysis Associated with the Hedging of a European-Style Vanilla Put Option 235

References 244

CHAPTER 8 Valuing Variable Annuity Guarantees 245

Basic GMDB 246

Death Benefit Riders 261

Other Details Associated with GMDB Products 269

Improving Modeling Assumptions 273

Living Benefit Riders 276

References 279

CHAPTER 9 Real Options 281

 Surrendering a GMAB Rider 282

Adding Servers in a Queue 300

References 314

CHAPTER 10 Parting Thoughts 315

About the Author 317

About the Website 319

Index 321


Information Provided By: : Aladin

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