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Equity Derivatives. Theory and Applications. Wiley Finance

  • ID: 2214245
  • Book
  • February 2002
  • 240 Pages
  • John Wiley and Sons Ltd
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"This book provides a nice blend of concise exposition of the theory of stochastic processes, and in particular Lévy processes, financial modeling with such processes, as well as numerical implementations, together with fundamentals of options pricing. Important examples and references are spread adequately throughout the book."

–Professor M. Yor, Université Pierre et Marie Curie

"Equity Derivatives: Theory and Applications gives a comprehensive, yet succinct, overview of the emerging technologies and architectures in computing today, and describes how those technologies and architectures can be applied to equity derivatives. This book bridges the gap between the pure theory of derivatives and the application of that theory through the use of new computing technologies, such as XML, Web services, and Microsoft′s .NET framework. This was a most informative read, both from a technological and theoretical perspective."

–Gregor Noriskin, Architectural Advisor, Developer Division

Microsoft Corporation

"The frontier of equity derivative transactions presented by the leading quantitative research team . . . This book will set the standard for innovation in the field."

–Dr. Hermann Schenk, Managing Director, Covion Organic Semiconductors GmbH

"I was very impressed by the authors′ study of the pricing of equity derivatives. This is not an easy subject and clearly the authors have a profound understanding of the matter."

–Dr. Serge Mores, Senior Investment Manager, ING Investment Management, Brussels

"This well–organized book provides a self–contained, computational, and up–to–date treatment of several interesting topics in the theory of option pricing–mainly in incomplete markets. This is an invaluable addition to the pedagogic literature on equity derivatives that no serious student should be without."

–Professor Aubrey Truman, Head of the Department of Mathematics

University of Wales Swansea

"This book is the first comprehensive guide to link the latest research in mathematical finance with the most recent developments and new technologies in the delivery of pricing and hedging analytics over the Internet. This unique approach is simple to follow, with information organized for easy access."

–Jon Kinol, Managing Director, Deutsche Bank Securities
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Mathematical Introduction.

Incomplete Markets.

Financial Modeling with Lévy Processes.

Finite Difference Methods for Multifactor Models.

Convertible Bonds and Asset Swaps.

Data Representation.

Application Connectivity.

Web–Based Quantitative Services.

Portfolio and Hedging Simulation.


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Marcus Overhaus
Andrew Ferraris
Thomas Knudsen
Frank Mao
Laurent Nguyen–Ngoc
Gero Schindlmayr
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