Equity Hybrid Derivatives - Couverture rigide

Overhaus, Marcus; Bermudez, Ana; Buehler, Hans; Ferraris, Andrew; Jordinson, Christopher; Lamnouar, Aziz

Couverture rigide

ISBN 10 : 0471770582 ISBN 13 : 9780471770589

Editeur : John Wiley & Sons, 2007

Synopsis

Book by Overhaus Marcus Bermudez Ana Buehler Hans Ferraris

A propos du livre

Quatrième de couverture :

Praise for Equity Hybrid Derivatives

"Hybrids represent the fastest growing segment in the derivatives business. Written by perhaps the finest quant shop in the world, this book presents the state of the art in modeling equity hybrid derivatives."
Peter Carr, PhD, Head of Quantitative Financial Research Bloomberg L.P., New York, and Director of the Masters in Math Finance Program, Courant Institute, New York University

"This is a unique book. It is a deep and sophisticated treatment of equity hybrids: the products, the models, the mathematics, and the numerics. Anyone with a serious interest in the market will need this book."
Dr. Nick Webber, Director of the Financial Options Research Centre, University of Warwick

"The Quantitative Products Group of Deutsche Bank continues the study of the latest generation of equity derivatives with the same talent as in its previous books. The market has integrated a wide range of new asset classes such as realized volatility, hedge fund strategy, or hybrid structures in fixed income–equity and equity–credit, which are now booming. These hybrid products have also generated new numerical problems both for PDEs or Monte Carlo methods. To offer both a concise presentation of the risk analysis and a comprehensive overview of the pricing and hedging methodology of these complex exotic structures was a great challenge; I must say that I am very impressed by the result."
Professor Nicole El–Karoui, Ecole Polytechnique Paris

"This is an excellent book on equity hybrid derivatives, written from the practitioner′s point of view by a leading quant team. It provides a comprehensive overview of state–of–the–art methodology combined with cutting–edge research in mathematical finance. The book is a most valuable read both for academics and practitioners."
Professor Alexander Schied, Berlin University of Technology

Biographie de l'auteur :

MARCUS OVERHAUS, PhD, is Managing Director and Global Head of Quantitative Products at Deutsche Bank AG. He holds a PhD in pure mathematics.

ANA BERMÚDEZ, PhD, is an Associate in Quantitative Products at Deutsche Bank AG. Her work focuses on numerical methods for partial differential equations. She holds a PhD in applied mathematics.

HANS BUEHLER, PhD, is a Director in Quantitative Products at Deutsche Bank AG. His work focuses on volatility modeling. He holds a PhD in stochastic analysis.

ANDREW FERRARIS, DPhil, is a Managing Director in Quantitative Products at Deutsche Bank AG. His work focuses on applying advanced numerical methods to finance. He holds a DPhil in experimental particle physics.

CHRISTOPHER JORDINSON, PhD, is a Vice President in Quantitative Products at Deutsche Bank AG. His work focuses on calibration and equity interest rate hybrid models. He holds a PhD in astrophysics.

AZIZ LAMNOUAR, DEA, is a Vice President in Quantitative Products at Deutsche Bank AG. His work focuses on credit and credit–hybrid modeling. He holds a DEA in stochastics and finance.

À propos de cette édition

• Éditeur: John Wiley & Sons
• Date d'édition: 2007
• ISBN 10: 0471770582
• ISBN 13: 9780471770589
• Reliure: Relié
• Nombre de pages: 336