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Derivatives Trading and Option Pricing
Incisive Media, March 2005, Pages: 415
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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