Synopsis:
Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book acquaints readers with leading-edge thinking in modeling and hedging these transactions. Equity Derivatives offers a balanced, integrated presentation of theory and practice in equity derivative markets. It provides a theoretical treatment of each new modeling and hedging concept first, and then demonstrates their practical application. The book covers: the newest and fastest-growing class of derivative instruments, fund derivatives; cutting-edge developments in equity derivative modeling; new developments in correlation modeling and understanding volatility skews; and new Web-based implementation/delivery methods.
Marcus Overhaus, PhD, Andrew Ferraris, DPhil, Thomas Knudsen, PhD, Frank Mao, PhD, Ross Milward, Laurent Nguyen-Ngoc, PhD, and Gero Schindlmayr, PhD, are members of the Quantitative Research team of Deutsche Bank's Global Equity Division, which is based in London and headed by Dr. Overhaus.
From the Inside Flap:
Equity derivatives are a continuing success story that offer more flexibility and hedging opportunities than ever before. They comprise one of the most important components of capital markets. For this reason, it is imperative that financial professionals-from risk managers to derivatives traders-understand how equity derivatives are priced, hedged, utilized, and implemented via new technologies.
Written by the quantitative research team of Deutsche Bank, the world leader in equity derivative transactions, Equity Derivatives: Theory and Applications is the definitive reference on the advanced use of these financial instruments. Pushing into new and cutting-edge areas of modeling and hedging, this book provides a balanced, integrated presentation of theory and practice. The theoretical treatment of each new modeling and hedging concept is followed by a demonstration of its practical application. Developments in areas such as equity-linked structures and volatility modeling, and the delivery of pricing over the Internet, are clearly analyzed and presented, using graphs, formulas, and examples that are truly unique to this book.
Each chapter highlights important facets of equity derivatives, including:
* An introduction of probability theory and stochastic calculus that provides the mathematical foundation needed to understand the examples presented
* Pricing and hedging in incomplete markets
* A thorough explanation of Lévy processes and their application to finance, e.g., extended Heston model
* Two-factor finite difference techniques
* In-depth analysis of convertible bonds and the advantages of convertible bond asset swaps
Equity Derivatives: Theory and Applications also covers recent developments and new technologies that are fostering the delivery of pricing and hedging analytics over the Internet and company intranets-from outlining XML, the emerging standard for representing and transmitting various types of data, to the technologies available for distributed computing, namely SOAP and Web services. Not only will you come to learn how systems can be configured to represent financial market data in the context of equity derivatives, you will actually see how these applications function in the real world through vivid examples and illustrations.
No book on equity derivatives brings together the areas of theory and its applications to derivatives pricing and risk management in the way this groundbreaking book does. Take the knowledge and experience of the quantitative research team of Deutsche Bank, and put equity derivatives to work for you.
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