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Theory Of Financial Risk And Derivative Pricing

Author : Jean-Philippe Bouchaud
ISBN : 0521819164
Genre : Business & Economics
File Size : 68.19 MB
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Risk control and derivative pricing have become of major concern to financial institutions, and there is a real need for adequate statistical tools to measure and anticipate the amplitude of the potential moves of the financial markets. Summarising theoretical developments in the field, this 2003 second edition has been substantially expanded. Additional chapters now cover stochastic processes, Monte-Carlo methods, Black-Scholes theory, the theory of the yield curve, and Minority Game. There are discussions on aspects of data analysis, financial products, non-linear correlations, and herding, feedback and agent based models. This book has become a classic reference for graduate students and researchers working in econophysics and mathematical finance, and for quantitative analysts working on risk management, derivative pricing and quantitative trading strategies.
Category: Business & Economics

Theory Of Financial Risks

Author : Jean-Philippe Bouchaud
ISBN : 0521782325
Genre : Business & Economics
File Size : 50.98 MB
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This book summarizes recent theoretical developments inspired by statistical physics in the description of the potential moves in financial markets, and its application to derivative pricing and risk control. The possibility of accessing and processing huge quantities of data on financial markets opens the path to new methodologies where systematic comparison between theories and real data not only becomes possible, but mandatory. This book takes a physicist's point of view to financial risk by comparing theory with experiment. Starting with important results in probability theory, the authors discuss the statistical analysis of real data, the empirical determination of statistical laws, the definition of risk, the theory of optimal portfolio, and the problem of derivatives (forward contracts, options). This book will be of interest to physicists interested in finance, quantitative analysts in financial institutions, risk managers and graduate students in mathematical finance.
Category: Business & Economics

Advanced Derivatives Pricing And Risk Management

Author : Claudio Albanese
ISBN : 9780120476824
Genre : Business & Economics
File Size : 58.59 MB
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Book and CDROM include the important topics and cutting-edge research in financial derivatives and risk management.
Category: Business & Economics

Derivatives Pricing And Modeling

Author : Jonathan Batten
ISBN : 9781780526171
Genre : Business & Economics
File Size : 31.99 MB
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Highlights research in derivatives modelling and markets in a post-crisis world across a number of dimensions or themes. This book addresses the following main areas: derivatives models and pricing, model application and performance backtesting, and new products and market features.
Category: Business & Economics


Author : John Hull
ISBN : 386894043X
Genre : Financial institutional
File Size : 43.45 MB
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Category: Financial institutional

Financial Derivatives In Theory And Practice

Author : Philip Hunt
ISBN : 9780470863602
Genre : Mathematics
File Size : 40.29 MB
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The term Financial Derivative is a very broad term which has come to mean any financial transaction whose value depends on the underlying value of the asset concerned. Sophisticated statistical modelling of derivatives enables practitioners in the banking industry to reduce financial risk and ultimately increase profits made from these transactions. The book originally published in March 2000 to widespread acclaim. This revised edition has been updated with minor corrections and new references, and now includes a chapter of exercises and solutions, enabling use as a course text. Comprehensive introduction to the theory and practice of financial derivatives. Discusses and elaborates on the theory of interest rate derivatives, an area of increasing interest. Divided into two self-contained parts ? the first concentrating on the theory of stochastic calculus, and the second describes in detail the pricing of a number of different derivatives in practice. Written by well respected academics with experience in the banking industry. A valuable text for practitioners in research departments of all banking and finance sectors. Academic researchers and graduate students working in mathematical finance.
Category: Mathematics

Exotic Derivatives And Risk

Author : Mondher Bellalah
ISBN : 9789812797476
Genre : Business & Economics
File Size : 78.44 MB
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This book discusses in detail the workings of financial markets and over-the-counter (OTC) markets, focusing specifically on standard and complex derivatives. The subjects covered range from the fundamental products in OTC markets, standard and exotic options, the concepts of value at risk, credit derivatives and risk management, to the applications of option pricing theory to real assets.To further elucidate these complex concepts and formulas, this book also explains in each chapter how theory and practice go hand-in-hand. This volume, a culmination of the author's 12 years of professional experience in the field of finance, derivative analysis and risk management, is a valuable guide for postgraduate students, academics and practitioners in the field of finance.
Category: Business & Economics

Derivative Instruments

Author : Brian Eales
ISBN : 9780080503899
Genre : Business & Economics
File Size : 45.68 MB
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The authors concentrate on the practicalities of each class of derivative, so that readers can apply the techniques in practice. Product descriptions are supported by detailed spreadsheet models, illustrating the techniques employed. This book is ideal reading for derivatives traders, salespersons, financial engineers, risk managers, and other professionals involved to any extent in the application and analysis of OTC derivatives. Combines theory with valuation to provide overall coverage of the topic area Covers all the latest developments in derivatives
Category: Business & Economics