Description

Book 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.

Table of Contents
Introduction; Preliminaries; Dividends; Volatility; Default; Jumps; Rates; Correlation; Control.

Value Of Uncertainty, The: Dealing With Risk In

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A Hardback by George J Kaye

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    View other formats and editions of Value Of Uncertainty, The: Dealing With Risk In by George J Kaye

    Publisher: Imperial College Press
    Publication Date: 15/01/2013
    ISBN13: 9781848167728, 978-1848167728
    ISBN10: 1848167725
    Also in:
    Investment and securities

    Description

    Book 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.

    Table of Contents
    Introduction; Preliminaries; Dividends; Volatility; Default; Jumps; Rates; Correlation; Control.

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