Value Of Uncertainty, The: Dealing With Risk In The Equity Derivatives Market

George J Kaye

ISBN 10: 1848167725 / ISBN 13: 9781848167728

Edité par Imperial College Press, GB, 2013

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. N° de réf. du vendeur LU-9781848167728

Synopsis :

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.

À propos de l?auteur: George Kaye is an independent financial consultant with over a decade of experience as a quantitative analyst ( quant ) in the investment banking industry. Starting at Credit Suisse First Boston's Product Development Group in 1999, George quickly specialised in the field of equity derivatives, building models and infrastructure for the trading desks. In 2006, he left to join the Derivative Analysis Group of Goldman Sachs, where his responsibilities focused on building a methodology for model risk analysis of the firm's equity derivatives positions. In 2010 he returned to the front office, working in the equity derivatives section of the Quantitative Analysis Group of UBS Investment Bank, leaving at the end of 2011 to build his own derivatives software company.

Détails bibliographiques

Titre : Value Of Uncertainty, The: Dealing With Risk...
Éditeur : Imperial College Press, GB
Date d'édition : 2013
Reliure : Hardback
Etat : New