{"product_id":"the-mathematics-of-financial-models-9781118004616","title":"The Mathematics of Financial Models","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003e\u003cb\u003eLearn how quantitative models can help fight client problems head-on\u003c\/b\u003e  \u003cp\u003eBefore financial problems can be solved, they need to be fully understood. Since in-depth quantitative modeling techniques are a powerful tool to understanding the drivers associated with financial problems, one would need a solid grasp of these techniques before being able to unlock their full potential of the methods used. In \u003ci\u003eThe Mathematics of Financial Models,\u003c\/i\u003e the author presents real world solutions to the everyday problems facing financial professionals. With interactive tools such as spreadsheets for valuation, pricing, and modeling, this resource combines highly mathematical quantitative analysis with useful, practical methodologies to create an essential guide for investment and risk-management professionals facing modeling issues in insurance, derivatives valuation, and pension benefits, among others. In addition to this, this resource also provides the relevant tools like matrices, calculu\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003c\/p\u003e\u003cp\u003ePreface ix\u003c\/p\u003e \u003cp\u003eAcknowledgments xi\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 Setting the Stage 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eWhy is This Book Different? 2\u003c\/p\u003e \u003cp\u003eRoad Map of the Book 3\u003c\/p\u003e \u003cp\u003eReferences 5\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Building Zero Curves 7\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eMarket Instruments 8\u003c\/p\u003e \u003cp\u003eLinear Interpolation 16\u003c\/p\u003e \u003cp\u003eCubic Splining 25\u003c\/p\u003e \u003cp\u003eAppendix: Finding Swap Rates Using a Floating Coupon Bond Approach 41\u003c\/p\u003e \u003cp\u003eReferences 43\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Valuing Vanilla Options 45\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBlack-Scholes Formulae 47\u003c\/p\u003e \u003cp\u003eAdaptations of the Black-Scholes Formulae 53\u003c\/p\u003e \u003cp\u003eLimitations of the Black-Scholes Formulae 70\u003c\/p\u003e \u003cp\u003eApplication in Currency Risk Management 74\u003c\/p\u003e \u003cp\u003eAppendix 78\u003c\/p\u003e \u003cp\u003eReferences 80\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Simulations 81\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eUniform Number Generation 82\u003c\/p\u003e \u003cp\u003eNon-Uniform Number Generation 86\u003c\/p\u003e \u003cp\u003eApplications of Simulations 93\u003c\/p\u003e \u003cp\u003eVariance Reduction Techniques 100\u003c\/p\u003e \u003cp\u003eReferences 104\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Valuing Exotic Options 107\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eValuing Path-Independent, European-Style Options on a Single Variable 108\u003c\/p\u003e \u003cp\u003eValuing Path-Dependent, European-Style Options on a Single Variable 114\u003c\/p\u003e \u003cp\u003eValuing Path-Independent, European-Style Options on Two Variables 135\u003c\/p\u003e \u003cp\u003eValuing Path-Dependent, European-Style Options on Multiple Variables 152\u003c\/p\u003e \u003cp\u003eReferences 157\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Estimating Model Parameters 159\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eCalibration of Parameters in the Black-Scholes Model 161\u003c\/p\u003e \u003cp\u003eUsing Implied Black-Scholes Volatility Surface and Zero Rate Term Structure to Value Options 169\u003c\/p\u003e \u003cp\u003eUsing Volatility Surface 178\u003c\/p\u003e \u003cp\u003eCalibration of Interest Rate Option Model Parameters 190\u003c\/p\u003e \u003cp\u003eStatistical Estimation 196\u003c\/p\u003e \u003cp\u003eReferences 203\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 The Effectiveness of Hedging Strategies 205\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eDelta Hedging 206\u003c\/p\u003e \u003cp\u003eAssumptions Underlying Delta Hedging 216\u003c\/p\u003e \u003cp\u003eBeyond Delta Hedging 223\u003c\/p\u003e \u003cp\u003eTesting Hedging Strategies 230\u003c\/p\u003e \u003cp\u003eAnalysis Associated with the Hedging of a European-Style Vanilla Put Option 235\u003c\/p\u003e \u003cp\u003eReferences 244\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Valuing Variable Annuity Guarantees 245\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eBasic GMDB 246\u003c\/p\u003e \u003cp\u003eDeath Benefit Riders 261\u003c\/p\u003e \u003cp\u003eOther Details Associated with GMDB Products 269\u003c\/p\u003e \u003cp\u003eImproving Modeling Assumptions 273\u003c\/p\u003e \u003cp\u003eLiving Benefit Riders 276\u003c\/p\u003e \u003cp\u003eReferences 279\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Real Options 281\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eSurrendering a GMAB Rider 282\u003c\/p\u003e \u003cp\u003eAdding Servers in a Queue 300\u003c\/p\u003e \u003cp\u003eReferences 314\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 Parting Thoughts 315\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eAbout the Author 317\u003c\/p\u003e \u003cp\u003eAbout the Website 319\u003c\/p\u003e \u003cp\u003eIndex 321\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49406819500375,"sku":"9781118004616","price":56.25,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9781118004616.jpg?v=1730497222","url":"https:\/\/bookcurl.com\/products\/the-mathematics-of-financial-models-9781118004616","provider":"Book Curl","version":"1.0","type":"link"}