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TitleMarket practice in financial modelling
Author Tan, Chia Chiang
Imprint Hackensack, NJ : World Scientific, 2012
Descript xxiv, 414 p. : ill. ; 24 cm

SUMMARY

Written to bridge the gap between foundational quantitative finance and market practice, this book goes beyond the basics covered in most textbooks by presenting content concerning actual industry norms, thus resulting in a clearer picture of the field for the readers. These include, for instance, the practitioner's perspective of how local versus stochastic volatility affects forward smile, or the implications of mean reversion on forward volatility. Key considerations for modelling in rates, equities and foreign exchange are presented from the perspective of common themes across various assets, as well as their individual characteristics. The discussion on models emphasizes the key aspects that are relevant to the pricing of different types of financial derivatives, so that the reader can observe how an appropriate choice of models is essential in reflecting the risk profile and hedging considerations for different products. With the knowledge gleaned from this book, readers will attain a more comprehensive understanding of market practice in derivatives modelling. -- From back cover


CONTENT

Introduction -- Standard Market Instruments -- Replication -- Correlation between Two Underlyings -- Local Volatility -- Stochastic Volatility -- Local Stochastic Volatility -- Short Rate Models -- The Libor Market Model -- Long-Dated Foreign Exchange -- Forward Volatility and Callability -- Funding and Basis


Finance Derivative securities -- Mathematical models Finance -- Mathematical models

LOCATIONCALL#STATUS
Central Library (5th Floor)332.6457 T161MCHECK SHELVES
Economics LibraryHG6024 A3T36 2012CHECK SHELVES

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