Smile Pricing Explained (Financial Engineering Explained)

Austing, Peter

ISBN 10: 1137335718 / ISBN 13: 9781137335715

Published by Palgrave Macmillan, 2014

About this Item

Smile Pricing Explained provides a clear and thorough explanation of the concepts of smile modelling that are at the forefront of modern derivatives pricing. The key models used in practice are covered, together with numerical techniques and calibration. Series: Financial Engineering Explained. Num Pages: 240 pages, 10 figures, 3 black & white tables. BIC Classification: KFFM2. Category: (P) Professional & Vocational. Dimension: 233 x 157 x 13. Weight in Grams: 378. . 2014. Paperback. . . . . Books ship from the US and Ireland.

Seller Inventory # V9781137335715

Bibliographic Details

• Title: Smile Pricing Explained (Financial Engineering Explained)
• Publisher: Palgrave Macmillan
• Publication Date: 2014
• Language: English
• ISBN 10: 1137335718
• ISBN 13: 9781137335715
• Binding: Soft cover
• Condition: New

About this title

Synopsis

Smile Pricing Explained provides a clear and thorough explanation of the concepts of smile modelling that are at the forefront of modern derivatives pricing. The key models used in practice are covered, together with numerical techniques and calibration.

About the Author

In Smile Pricing Explained, Peter Austing draws on a decade of experience building the mathematical models for derivatives trading at major investment banks, most recently Barclays Capital where he was a Director in Quantitative Analytics.

Before moving to finance, Dr Austing held research positions in theoretical physics studying candidate theories of quantum gravity. It was at Oxford University, while teaching mathematics at St John's College, that he developed his love for teaching and accessible style.

A seasoned quantitative practitioner, and regular conference speaker, Peter Austing is best known for his work on multi-asset derivative pricing with correlation smile. He is currently engaged in research at Imperial College, London.