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Written to bridge the gap between foundational quantitative finance and market practice, this book goes beyond the basics covered in most textbooks by presenting content concerning actual industry norms, thus resulting in a clearer picture of the field for the readers. These include, for instance, the practitioner's perspective of how local versus stochastic volatility affects forward smile, or the implications of mean reversion on forward volatility.

Key considerations for modelling in rates, equities and foreign exchange are presented from the perspective of common themes across various assets, as well as their individual characteristics.

The discussion on models emphasizes the key aspects that are relevant to the pricing of different types of financial derivatives, so that the reader can observe how an appropriate choice of models is essential in reflecting the risk profile and hedging considerations for different products.

With the knowledge gleaned from this book, readers will attain a more comprehensive understanding of market practice in derivatives modelling.

Foreword
Foreword (246 KB)

Contents

• Introduction
• Standard Market Instruments
• Replication
• Correlation Between Two Underlyings
• Local Volatility
• Stochastic Volatility
• Local Stochastic Volatility
• Short Rate Models
• The Libor Market Model
• Long-Dated Foreign Exchange
• Forward Volatility and Callability
• Funding and Basis

Readership Students of financial mathematics (final year undergraduates and postgraduates) as well as new entrants into the derivatives area of investment banking.

ebook,Tan Chia Chiang,Market Practice in Financial Modelling,WSPC,Investments Securities - General,ANF Finance and Accounting,Asia,BUSINESS ECONOMICS / Banks Banking,BUSINESS ECONOMICS / Finance / General,BUSINESS ECONOMICS / Investments Securities / General,Banks Banking,Business Economics/Banks Banking,Business / Economics / Finance,Business, Accounting Vocational Textbooks Study Guides,Business/Economics,Derivative securities;Mathematical models.,Finance - General,Finance.,Finance;Mathematical models.,Financial modelling; Financial Derivatives; Market Practice; Calibration; Pricing; Hedging; Structured Products,Investment securities,Non-Fiction,Scholarly/Graduate,TEXT,Textbooks (Various Levels),BUSINESS ECONOMICS / Banks Banking,BUSINESS ECONOMICS / Finance / General,BUSINESS ECONOMICS / Investments Securities / General,Banks Banking,Business Economics/Banks Banking,Finance - General,Business / Economics / Finance,Derivative securities,Finance,Mathematical models,Business Economics,Business/Economics,Business, Accounting Vocational Textbooks Study Guides,Investment securities

Market Practice in Financial Modelling eBook Tan Chia Chiang Reviews :

Written to bridge the gap between foundational quantitative finance and market practice, this book goes beyond the basics covered in most textbooks by presenting content concerning actual industry norms, thus resulting in a clearer picture of the field for the readers. These include, for instance, the practitioner's perspective of how local versus stochastic volatility affects forward smile, or the implications of mean reversion on forward volatility.

Key considerations for modelling in rates, equities and foreign exchange are presented from the perspective of common themes across various assets, as well as their individual characteristics.

The discussion on models emphasizes the key aspects that are relevant to the pricing of different types of financial derivatives, so that the reader can observe how an appropriate choice of models is essential in reflecting the risk profile and hedging considerations for different products.

With the knowledge gleaned from this book, readers will attain a more comprehensive understanding of market practice in derivatives modelling.

Foreword
Foreword (246 KB)

Contents

• Introduction
• Standard Market Instruments
• Replication
• Correlation Between Two Underlyings
• Local Volatility
• Stochastic Volatility
• Local Stochastic Volatility
• Short Rate Models
• The Libor Market Model
• Long-Dated Foreign Exchange
• Forward Volatility and Callability
• Funding and Basis

Readership Students of financial mathematics (final year undergraduates and postgraduates) as well as new entrants into the derivatives area of investment banking.

ebook,Tan Chia Chiang,Market Practice in Financial Modelling,WSPC,Investments Securities - General,ANF Finance and Accounting,Asia,BUSINESS ECONOMICS / Banks Banking,BUSINESS ECONOMICS / Finance / General,BUSINESS ECONOMICS / Investments Securities / General,Banks Banking,Business Economics/Banks Banking,Business / Economics / Finance,Business, Accounting Vocational Textbooks Study Guides,Business/Economics,Derivative securities;Mathematical models.,Finance - General,Finance.,Finance;Mathematical models.,Financial modelling; Financial Derivatives; Market Practice; Calibration; Pricing; Hedging; Structured Products,Investment securities,Non-Fiction,Scholarly/Graduate,TEXT,Textbooks (Various Levels),BUSINESS ECONOMICS / Banks Banking,BUSINESS ECONOMICS / Finance / General,BUSINESS ECONOMICS / Investments Securities / General,Banks Banking,Business Economics/Banks Banking,Finance - General,Business / Economics / Finance,Derivative securities,Finance,Mathematical models,Business Economics,Business/Economics,Business, Accounting Vocational Textbooks Study Guides,Investment securities

Market Practice in Financial Modelling - edition by Tan Chia Chiang. Download it once and read it on your device, PC, phones or tablets. Use features like bookmarks, note taking and highlighting while reading Market Practice in Financial Modelling.

 

Product details File Size 17834 KB Print Length 440 pages Publisher WSPC (July 11, 2012) Publication Date July 11, 2012 Sold by  Services LLC Language English ASIN B009GF56UO

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