Haug Derivatives Models on Models

Models on Models
1. Auflage 2008
ISBN: 978-0-470-06547-1
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 384 Seiten, E-Book

Reihe: The Wiley Finance Series

Derivatives Models on Models takes a theoretical andpractical look at some of the latest and most important ideasbehind derivatives pricing models. In each chapter the authorhighlights the latest thinking and trends in the area. A wide rangeof topics are covered, including valuation methods on stocks payingdiscrete dividend, Asian options, American barrier options, Complexbarrier options, reset options, and electricity derivatives.
The book also discusses the latest ideas surrounding financelike the robustness of dynamic delta hedging, option hedging,negative probabilities and space-time finance. The accompanyingCD-ROM with additional Excel sheets includes the mathematicalmodels covered in the book.
The book also includes interviews with some of the world'stop names in the industry, and an insight into the history behindsome of the greatest discoveries in quantitative finance.Interviewees include:
* Clive Granger, Nobel Prize winner in Economics 2003, onCointegration
* Nassim Taleb on Black Swans
* Stephen Ross on Arbitrage Pricing Theory
* Emanuel Derman the Wall Street Quant
* Edward Thorp on Gambling and Trading
* Peter Carr the Wall Street Wizard of Option Symmetry andVolatility
* Aaron Brown on Gambling, Poker and Trading
* David Bates on Crash and Jumps
* Andrei Khrennikov on Negative Probabilities
* Elie Ayache on Option Trading and Modeling
* Peter Jaeckel on Monte Carlo Simulation
* Alan Lewis on Stochastic Volatility and Jumps
* Paul Wilmott on Paul Wilmott
* Knut Aase on Catastrophes and Financial Economics
* Eduardo Schwartz the Yoga Master of Quantitative Finance
* Bruno Dupire on Local and Stochastic Volatility Models

Autoren/Hrsg.

Haug, Espen Gaarder

Über Autor(innen)

Dr Espen Gaarder Haug has more than 15 years of experiencein Derivatives research and trading, and has worked for more than20 years as a trader. Until recently he worked as a proprietarytrader in J.P. Morgan New York, and as a derivatives trader for twomulti-billion dollar hedge funds; Amaranth Investor and PalomaPartners, located in Greenwich Connecticut. Before that he workedfor Tempus Financial Engineering, Chase Manhattan Bank (now J.P.Morgan Chase) and Den Norske Bank.
He is the author of The Complete Guide of Option PricingFormulas, which has become a reference manual among Wall Streetprofessionals. He has a PhD from the Norwegian University ofScience and Technology where he specialized in Option Valuation andTrading and has published extensively in practitioner and academicjournals. He is currently considering setting up his own investmentcompany - possibly the first Anti-Hedge fund!