The complete guide to option pricing formulas

The first edition sold more than 15,000 copies. This title features more than 60 new option models and formulas, with new examples and applications. It includes new chapters on risk/return and emerging/exotic markets. Updated CD-ROM includes pricing formulas with VBA code and ...

Handbook of the equity risk premium

Edited by Rajnish Mehra, this volume focuses on the equity risk premium puzzle, a term coined by Mehra and Prescott in 1985 which encompasses a number of empirical regularities in the prices of capital assets that are at odds with the predictions of standard economic ...

Real options analysis

tools and techniques for valuing strategic investments and decisions

Mun demystifies real options analysis and delivers a powerful, pragmatic guide for decision-makers and practitioners alike. Finally, there is a book that equips professionals to easily recognize, value, and seize real options in the world around them." --Jim Schreckengast, Senior VP, R&D Strategy, Gemplus International SA, France Completely revised and updated to meet the challenges of today's dynamic business environment, Real Options Analysis, Second Edition offers you a fresh look at evaluating capital investment strategies by taking the strategic decision-making process into consideration. This comprehensive guide provides both a qualitative and quantitative description of real options; the methods used ...

The LIBOR market model in practice

The LIBOR market model is an interest rate model that is used to price derivatives. Whilst the number of books on interest rate modeling is large, this is a reflection of the speed of development of the theory and market demand. This book will concentrate ...

El riesgo del mercado

su medición y control

¿Qué es el Valor en Riesgo ¿Podemos valorarlo de un modo científico y hacerlo comprensible para todo tipo de usuarios potenciales como puedan ser gestores de riesgos, accionistas, reguladores, clientes bancarios, etc. ¿Se trata de un concepto ampliamente implantado en la banca española Todas estas ...

Securities valuation

applications of financial modeling

A textbook that provides a coherent description of valuation models over a wide range of securities. Students can study both the theories and the practical implementations of the valuation models. Further, students can use the extensive Excel models, applying to practical problems ( the cases) and ...

Heard on The Street

quantitative questions from Wall Street job interviews

Empirical finance

modelling and analysis of emerging financial and stock markets

The emphasis of this book is on understanding special characteristics of the financial systems of emerging markets, where the existence of market imperfections such as asymmetric information, adverse selection and moral hazard can cause financial market failures. Considering the Thai stock market as an example ...

Volatility and correlation

the perfect hedger and the fox

The new edition of Volatility and Correlation has been thoroughly updated and expanded with over 80% new or reworked material, reflecting the changes and developments that have taken place in the field. The new and updated material includes: empirical and theoretical analysis of the smile ...

Quantum finance

Path integrals and Hamiltonians for options and interest rates

This book applies the mathematics and concepts of quantum mechanics and quantum field theory to the modelling of interest rates and the theory of options. Particular emphasis is placed on path integrals and Hamiltonians. Financial mathematics is dominated by stochastic calculus. The present book offers ...

Financial derivatives

pricing, applications, and mathematics

This book offers a complete, succinct account of the principles of financial derivatives pricing. The first chapter provides readers with an intuitive exposition of basic random calculus. Concepts such as volatility and time, random walks, geometric Brownian motion, and Ito's lemma are discussed heuristically ...

Levy processes in finance

pricing financial derivatives

Financial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry. In parallel, the theory of Lévy processes has also seen many exciting developments. These powerful modelling tools allow the user to model more complex phenomena, and are commonly applied ...

The analysis of structured securities

precise risk measurement and capital allocation

The Analysis of Structured Securities presents the first intellectually defensible framework for systematic assessment of the credit quality of structured securities. It begins with a detailed description and critique of methods used to rate asset-backed securities, collateralized debt obligations and asset- backed commercial paper. The ...

Quantum investing

Quantitative portfolio optimisation, asset allocation and risk management

This practical book serves as a comprehensive guide to quantitative portfolio optimization, asset allocation, and risk management. Providing an accessible yet rigorous approach to investment management, it gradually introduces ever more advanced quantitative tools for these areas. Using extensive examples, this book guides the reader ...

Modeling financial time series with S-PLUS

The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to ...

Financial markets in continuous time

A framework for financial market modeling, the benchmark approach extends beyond standard risk neutral pricing theory. It permits a unified treatment of portfolio optimization, derivative pricing, integrated risk management and insurance risk modeling. This book presents the necessary mathematical tools, followed by a thorough introduction ...

Credit derivatives pricing models

model, pricing and implementation

The purpose of this book is to provide a comprehensive overview of the state-of-the-art in credit risk modelling as applied to the pricing of credit derivatives.

Quantitative analysis in financial markets

finance theory and asset-allocation arbitrage pricing and derivatives term-structure models algorithms for pricing and hedging

The simple rules of risk

revisiting the art of risk management

In an age where companies and financial institutions are keenly focusing on managing the financial risk of their operations, the implementation of quantitative methods and models has been of tremendous help, allowing firms to analyze and manage their risk more efficiently and effectively. However, the ...