VALUE OF UNCERTAINTY, THE: DEALING WITH RISK IN THE EQUITY DERIVATIVES MARKET - Hardcover

Kaye George

Hardcover

ISBN 10: 1848167725 ISBN 13: 9781848167728

Publisher: Imperial College Press, 2012

Synopsis

Along with the extraordinary growth in the derivatives market over the last decade, the impact of model choice, and model parameter usage, has become a major source of valuation uncertainty. This book concentrates on equity derivatives and charts, step by step, how key assumptions on the dynamics of stocks impact on the value of exotics. The presentation is technical, but maintains a strong focus on intuition and practical application.

About this title

From the Back Cover

The Value of Uncertainty begins by tracing the growth in the equity derivative markets prior to the events of September 2008, and demonstrates how exotic derivatives formed a significant component of that growth. It goes on to show that, with this growth, the mere decision of whether to use one model versus another became a significant contributor to valuation uncertainty. The book then focuses on equity derivative models, charting, step by step, how key assumptions on the dynamics of stocks impact on the value of exotics. The presentation is technical, but always maintains a strong focus on intuition and practical applicability to the current market.

Edition details

• Publisher: Imperial College Press
• Publication date: 2012
• Language: English
• ISBN 10: 1848167725
• ISBN 13: 9781848167728
• Binding: Hardcover
• Edition number: 1
• Number of pages: 440