The Value of Uncertainty: Dealing with Risk in the Equity Derivatives Market
George Kaye
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. Contents: Introduction; Preliminaries; Dividends; Volatility; Default; Jumps; Rates; Correlation; Control.
Kategori:
Tahun:
2013
Penerbit:
Imperial College Press
Bahasa:
english
Halaman:
440
ISBN 10:
1848167725
ISBN 13:
9781848167728
File:
PDF, 4.19 MB
IPFS:
,
english, 2013
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