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Printed from http://www.researchandmarkets.com/reports/295871
Derivatives Trading and Option Pricing
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Description: |
This powerful volume draws together a range of essential papers, both recent and classic, into one accessible and uniquely comprehensive reference title – to help you manage the risk involved in pricing and trading derivatives and options.
Benefit from the experience of the most ground-breaking names in quantitative finance, such as Alexander Lipton, Peter Carr, Leif Andersen, Jesper Andreasen, Philipp Schoenbucher and many more
Three main sections cover:
- Generic option pricing: including modelling and pricing analysis that cuts across a range of asset classes and provides you with solutions to several important challenges
- Pricing problems in credit, equities and interest rates: this section presents papers with a pricing focus in the asset classes of credit, equities and interest rates
- Market analysis and quantitative trading: focusing on this area of growing importance
- Includes 22 papers representing the best work by Risk magazine's diverse contributor base – including several significant contributions to the literature on quantitative finance and much of the latest academic research developments in the field
- Additionally covers: basket options, credit derivatives, equity derivatives, interest rates, new products, programme trading
- Introduced by Nicholas Dunbar, Risk magazine Technical Editor, who provides an informative overview and binding the collection together and outlining the significance of the subject area today
- An additional postscript by Stephen Blyth of Deutsche Bank provides incisive commentary on current market developments and makes a strong case for new thinking in the quant community
- Fresh and instructive guidance enables you to easily compare risks and risk management strategies applied to many different asset classes |
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Contents: |
CONTENTS
Introduction
Nicholas Dunbar
Risk
SECTION 1: GENERIC OPTION PRICING
1 Assets with Jumps
Alexander Lipton
Citadel Investment Group
2 Why Be Backward?
Peter Carr; Ali Hirsa
New York University; Caspian Capital Management
3 Corridor Variance Swaps
Peter Carr; Keith A. Lewis
New York University; Independent Consultant
4 What's a Basket Worth?
Peter Laurence; Tai-Ho Wang
University of Rome; National Chung Cheng University
5 Unifying Volatility Models
Claudio Albanese; Alexey Kuznetsov
University of London; McMaster University
6 Smile at the Uncertainty
Damiano Brigo, Fabio Mercurio, Francesco Rapisarda
Banca IMI
7 Local Cross-entropy
David Edelman
University College Dublin
SECTION 2: PRICING PROBLEMS IN CREDIT, EQUITIES AND INTEREST RATES
8 I Will Survive
Jon Gregory, Jean-Paul Laurent
BNP Paribas
9 All Your Hedges in One Basket
Leif Andersen, Jakob Sidenius; Susanta Basu
Banc of America Securities; Och-Ziff Capital Management
10 A Measure of Survival
Philipp J. Schönbucher
ETH Zurich
11 Market Models for CDS Options and Callable Floaters
Damiano Brigo
Banca IMI
12 Index Volatility Surface via Moment-Matching Techniques
Peter Lee; Limin Wang; Abdelkerim Karim
Lehman Brothers; Credit Suisse First Boston; Lehman Brothers
13 Smile Dynamics
Lorenzo Bergomi
Société Générale
14 Volatile Volatilities
Leif Andersen; Jesper Andreasen
Banc of America Securities; Nordea Markets
15 Swap Vega in BGM: Pitfalls and Alternatives
Raoul Pietersz; Antoon Pelsser
ABN Amro; ING Group Risk Management
16 Black Smirks
Fei Zhou
Lehman Brothers
17 Correlating Market Models
Bruce Choy; Tim Dun; Erik Schlögl
Commonwealth Bank of Australia; ANZ Risk Management; University of Technology
SECTION 3: MARKET ANALYSIS AND QUANTITATIVE TRADING
18 Bidding Principles
Robert Almgren; Neil Chriss
University of Toronto; SAC Capital
19 Practical Relative-value Volatility Trading
Stephen Blyth
Deutsche Bank
20 Arbitrage Under Power
Michael Boguslavsky; Elena Boguslavskaya
ABN Amro; University of Amsterdam
21 Component Proponents II
Christophe Pérignon; Christophe Villa
Simon Fraser University; ENSAI
22 Excess Yields in Bond Hedging
Haim Reisman, Gady Zohar
Technion
Age of Reason or Age of Procedure?
Stephen Blyth
Deutsche Bank |
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