| 000 | 07688cam a2201117 a 4500 | ||
|---|---|---|---|
| 001 | ocn803474283 | ||
| 003 | OCoLC | ||
| 005 | 20171224114028.0 | ||
| 006 | m o d | ||
| 007 | cr |n||||||||| | ||
| 008 | 120731s2012 nju ob 001 0 eng | ||
| 010 | _a 2012030997 | ||
| 040 |
_aDLC _beng _epn _cDLC _dYDX _dCDX _dN$T _dYDXCP _dEBLCP _dU9X _dOCLCF _dCUI _dDG1 _dTEFOD _dDEBSZ _dSTF _dDKDLA _dE7B _dUKMGB _dMHW _dNKT _dTEFOD _dOCLCQ _dOCLCO _dCOO _dAZK _dDG1 |
||
| 016 | 7 |
_a016111222 _2Uk |
|
| 019 |
_a809977254 _a811504960 _a815507880 _a862507025 _a961497061 _a962650122 |
||
| 020 |
_a9781118413296 _q(ePub) |
||
| 020 |
_a1118413296 _q(ePub) |
||
| 020 |
_a9781118413302 _q(MobiPocket) |
||
| 020 |
_a111841330X _q(MobiPocket) |
||
| 020 |
_a9781118413319 _q(Adobe PDF) |
||
| 020 |
_a1118413318 _q(Adobe PDF) |
||
| 020 |
_a9781118818565 _q(electronic bk.) |
||
| 020 |
_a1118818563 _q(electronic bk.) |
||
| 020 |
_z9780470744895 _q(cloth) |
||
| 020 | _z0470744898 | ||
| 024 | 8 | _a9786613905468 | |
| 029 | 1 |
_aAU@ _b000049681152 |
|
| 029 | 1 |
_aCHNEW _b000620778 |
|
| 029 | 1 |
_aCHVBK _b303186690 |
|
| 029 | 1 |
_aDEBBG _bBV041053676 |
|
| 029 | 1 |
_aDEBSZ _b397379552 |
|
| 029 | 1 |
_aDEBSZ _b431218153 |
|
| 029 | 1 |
_aDKDLA _b820120-katalog:000600220 |
|
| 029 | 1 |
_aNZ1 _b14926883 |
|
| 029 | 1 |
_aNZ1 _b15290990 |
|
| 029 | 1 |
_aDEBSZ _b449322491 |
|
| 029 | 1 |
_aDEBBG _bBV041877185 |
|
| 035 |
_a(OCoLC)803474283 _z(OCoLC)809977254 _z(OCoLC)811504960 _z(OCoLC)815507880 _z(OCoLC)862507025 _z(OCoLC)961497061 _z(OCoLC)962650122 |
||
| 037 |
_a390546 _bMIL |
||
| 037 |
_a0BC8539D-0336-4C38-81C6-90FC6B9063B8 _bOverDrive, Inc. _nhttp://www.overdrive.com |
||
| 042 | _apcc | ||
| 050 | 0 | 0 | _aHG106 |
| 072 | 7 |
_aFIN _2eflch |
|
| 072 | 7 |
_aBUS _x027000 _2bisacsh |
|
| 082 | 0 | 0 |
_a332.0285/53 _223 |
| 049 | _aMAIN | ||
| 100 | 1 | _aKienitz, Joerg. | |
| 245 | 1 | 0 |
_aFinancial modelling _h[electronic resource] : _btheory, implementation and practice (with Matlab source) / _cJoerg Kienitz, Daniel Wetterau. |
| 246 | 3 | _aFinancial modeling | |
| 260 |
_aChichester, West Sussex, UK : _bJohn Wiley & Sons Ltd, _c2012. |
||
| 300 | _a1 online resource. | ||
| 336 |
_atext _btxt _2rdacontent |
||
| 337 |
_acomputer _bc _2rdamedia |
||
| 338 |
_aonline resource _bcr _2rdacarrier |
||
| 347 |
_adata file _2rda |
||
| 380 | _aBibliography | ||
| 490 | 1 | _aWiley finance | |
| 504 | _aIncludes bibliographical references and index. | ||
| 588 | 0 | _aPrint version record and CIP data provided by publisher. | |
| 505 | 0 | _aFinancial Modelling; Contents; Introduction; 1 Introduction and Management Summary; 2 Why We Have Written this Book; 3 Why You Should Read this Book; 4 The Audience; 5 The Structure of this Book; 6 What this Book Does Not Cover; 7 Credits; 8 Code; PART I FINANCIAL MARKETS AND POPULAR MODELS; 1 Financial Markets -- Data, Basics and Derivatives; 1.1 Introduction and Objectives; 1.2 Financial Time-Series, Statistical Properties of Market Data and Invariants; 1.2.1 Real World Distribution; 1.3 Implied Volatility Surfaces and Volatility Dynamics; 1.3.1 Is There More than just a Volatility? | |
| 505 | 8 | _a1.3.2 Implied Volatility1.3.3 Time-Dependent Volatility; 1.3.4 Stochastic Volatility; 1.3.5 Volatility from Jumps; 1.3.6 Traders' Rule of Thumb; 1.3.7 The Risk Neutral Density; 1.4 Applications; 1.4.1 Asset Allocation; 1.4.2 Pricing, Hedging and Risk Management; 1.5 General Remarks on Notation; 1.6 Summary and Conclusions; 1.7 Appendix -- Quotes; 2 Diffusion Models; 2.1 Introduction and Objectives; 2.2 Local Volatility Models; 2.2.1 The Bachelier and the Black-Scholes Model; 2.2.2 The Hull-White Model; 2.2.3 The Constant Elasticity of Variance Model; 2.2.4 The Displaced Diffusion Model. | |
| 505 | 8 | _a2.2.5 CEV and DD Models2.3 Stochastic Volatility Models; 2.3.1 Pricing European Options; 2.3.2 Risk Neutral Density; 2.3.3 The Heston Model (and Extensions); 2.3.4 The SABR Model; 2.3.5 SABR -- Further Remarks; 2.4 Stochastic Volatility and Stochastic Rates Models; 2.4.1 The Heston-Hull-White Model; 2.5 Summary and Conclusions; 3 Models with Jumps; 3.1 Introduction and Objectives; 3.2 Poisson Processes and Jump Diffusions; 3.2.1 Poisson Processes; 3.2.2 The Merton Model; 3.2.3 The Bates Model; 3.2.4 The Bates-Hull-White Model; 3.3 Exponential Lévy Models; 3.3.1 The Variance Gamma Model. | |
| 505 | 8 | _a3.3.2 The Normal Inverse Gaussian Model3.4 Other Models; 3.4.1 Exponential Lévy Models with Stochastic Volatility; 3.4.2 Stochastic Clocks; 3.5 Martingale Correction; 3.6 Summary and Conclusions; 4 Multi-Dimensional Models; 4.1 Introduction and Objectives; 4.2 Multi-Dimensional Diffusions; 4.2.1 GBM Baskets; 4.2.2 Libor Market Models; 4.3 Multi-Dimensional Heston and SABR Models; 4.3.1 Stochastic Volatility Models; 4.4 Parameter Averaging; 4.4.1 Applications to CMS Spread Options; 4.5 Markovian Projection; 4.5.1 Baskets with Local Volatility. | |
| 505 | 8 | _a4.5.2 Markovian Projection on Local Volatility and Heston Models4.5.3 Markovian Projection onto DD SABR Models; 4.6 Copulae; 4.6.1 Measures of Concordance and Dependency; 4.6.2 Examples; 4.6.3 Elliptical Copulae; 4.6.4 Archimedean Copulae; 4.6.5 Building New Copulae from Given Copulae; 4.6.6 Asymmetric Copulae; 4.6.7 Applying Copulae to Option Pricing; 4.6.8 Applying Copulae to Asset Allocation; 4.7 Multi-Dimensional Variance Gamma Processes; 4.8 Summary and Conclusions; PART II NUMERICAL METHODS AND RECIPES; 5 Option Pricing by Transform Techniques and Direct Integration. | |
| 520 | _aFinancial Modelling - Theory, Implementation and Practice is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving prices and Greeks using (semi- ) analytic and simulation techniques, and calibration even for exotic options. The book is split into three parts. The first part considers f. | ||
| 630 | 0 | 0 | _aMATLAB. |
| 630 | 0 | 7 |
_aMATLAB. _2fast _0(OCoLC)fst01365096 |
| 650 | 0 |
_aFinance _xMathematical models. |
|
| 650 | 0 | _aNumerical analysis. | |
| 650 | 0 |
_aFinance _xMathematical models _xComputer programs. |
|
| 650 | 0 |
_aNumerical analysis _xComputer programs. |
|
| 650 | 4 |
_aFinance _xMathematical models. |
|
| 650 | 4 |
_aFinance _xMathematical models _xComputer programs. |
|
| 650 | 4 | _aMATLAB. | |
| 650 | 4 |
_aNumerical analysis _xComputer programs. |
|
| 650 | 7 |
_aBUSINESS & ECONOMICS _xFinance. _2bisacsh |
|
| 650 | 7 |
_aFinance _xMathematical models. _2fast _0(OCoLC)fst00924398 |
|
| 650 | 7 |
_aFinance _xMathematical models _xComputer programs. _2fast _0(OCoLC)fst00924399 |
|
| 650 | 7 |
_aNumerical analysis. _2fast _0(OCoLC)fst01041273 |
|
| 650 | 7 |
_aNumerical analysis _xComputer programs. _2fast _0(OCoLC)fst01041276 |
|
| 655 | 4 | _aElectronic books. | |
| 655 | 0 | _aElectronic books. | |
| 655 | 7 |
_aElectronic books. _2local |
|
| 700 | 1 |
_aWetterau, Daniel, _d1981- |
|
| 776 | 0 | 8 |
_iPrint version: _aKienitz, Joerg. _tFinancial modelling. _dHoboken, N.J. : Wiley, 2012 _z9780470744895 _w(DLC) 2012029238 |
| 830 | 0 | _aWiley finance series. | |
| 856 | 4 | 0 |
_uhttp://onlinelibrary.wiley.com/book/10.1002/9781118818565 _zWiley Online Library |
| 938 |
_aCoutts Information Services _bCOUT _n23409067 _c70.00 GBP |
||
| 938 |
_aEBL - Ebook Library _bEBLB _nEBL1020709 |
||
| 938 |
_aebrary _bEBRY _nebr10598744 |
||
| 938 |
_aEBSCOhost _bEBSC _n480265 |
||
| 938 |
_aYBP Library Services _bYANK _n9654975 |
||
| 938 |
_aYBP Library Services _bYANK _n11129856 |
||
| 938 |
_aYBP Library Services _bYANK _n12672530 |
||
| 994 |
_a92 _bDG1 |
||
| 999 |
_c12091 _d12091 |
||