Financial Modelling PDF ePub eBook

Books Info:

Financial Modelling free pdf Financial 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 financial markets in general and looks at the complex models needed to handle observed structures, reviewing models based on diffusions including stochastic-local volatility models and (pure) jump processes. It shows the possible risk neutral densities, implied volatility surfaces, option pricing and typical paths for a variety of models including SABR, Heston, Bates, Bates-Hull-White, Displaced-Heston, or stochastic volatility versions of Variance Gamma, respectively Normal Inverse Gaussian models and finally, multi-dimensional models. The stochastic-local-volatility Libor market model with time-dependent parameters is considered and as an application how to price and risk-manage CMS spread products is demonstrated. The second part of the book deals with numerical methods which enables the reader to use the models of the first part for pricing and risk management, covering methods based on direct integration and Fourier transforms, and detailing the implementation of the COS, CONV, Carr-Madan method or Fourier-Space-Time Stepping. This is applied to pricing of European, Bermudan and exotic options as well as the calculation of the Greeks. The Monte Carlo simulation technique is outlined and bridge sampling is discussed in a Gaussian setting and for Levy processes. Computation of Greeks is covered using likelihood ratio methods and adjoint techniques. A chapter on state-of-the-art optimization algorithms rounds up the toolkit for applying advanced mathematical models to financial problems and the last chapter in this section of the book also serves as an introduction to model risk. The third part is devoted to the usage of Matlab, introducing the software package by describing the basic functions applied for financial engineering. The programming is approached from an object-oriented perspective with examples to propose a framework for calibration, hedging and the adjoint method for calculating Greeks in a Libor Market model. Source code used for producing the results and analysing the models is provided on the author's dedicated website,

About Joerg Kienitz

Jorg Kienitz is head of Quantitative Analytics atDeutsche Postbank AG. He is primarily involved in developing andimplementing models for pricing complex derivatives structures andfor asset allocation. He also lectures at university level onadvanced financial modelling and implementation including theUniversity of Oxford s part-time Masters of Finance course.Jorg works as an independent consultant for model developmentand validation as well as giving seminars for financeprofessionals. He is a speaker at the major financial conferencesincluding Global Derivatives, WBS Fixed Income or RISK. Jorgis the member of the editorial board of International Review ofApplied Financial Issues and Economics and holds a Ph.D. instochastic analysis from the University of Bielefeld.

Daniel Wetterau is senior specialist in the QuantitativeAnalytics team of Deutsche Postbank AG. He is responsible for theimplementation of term structure models, advanced numericalmethods, optimization algorithms and methods for advancedquantitative asset allocation. Further to his work he teachesfinance courses for market professionals. Daniel received a Mastersin financial mathematics from the University of Wuppertal and wasawarded the Barmenia mathematics award for his thesis.

Details Book

Author : Joerg Kienitz
Publisher : John Wiley
Data Published : 21 September 2012
ISBN : 0470744898
EAN : 9780470744895
Format Book : PDF, Epub, DOCx, TXT
Number of Pages : 734 pages
Age + : 15 years
Language : English
Rating :

Reviews Financial Modelling

17 Comments Add a comment

Related eBooks Download

  • Discrete Models of Financial Markets free pdfDiscrete Models of Financial Markets

    This book explains in simple settings the fundamental ideas of financial market modelling and derivative pricing. using the no-arbitrage principle. Relatively elementary mathematics leads to powerful notions and techniques - such as viability..

  • Patrick S. Hagan - on Beyond Black free pdfPatrick S. Hagan - on Beyond Black

    Run Time: 52.02 minutes In this video Patrick S. Hagan provides the framework for incorporating realistic probability distributions into one's pricing. hedging. and risk analysis: Learn how to extend Black/Scholes/Merton arbitrage free theory to realistic depictions of the market Learn how realistic models explain the observed volatility surfaces of European options Learn how the fat tails of realistic models affect the hedging and risk analysis of European options This video..

  • Strategic Asset Allocation in Fixed Income Markets  :  A MATLAB-Based User' ... free pdfStrategic Asset Allocation in Fixed Income Markets : A MATLAB-Based User' ...

    Matlab is used within nearly all investment banks and is a requirement in most quant job ads. There is no other book written for finance practitioners that covers this Enables readers to implement financial and econometric models in Matlab All central concepts and theories are illustrated by Matlab implementations which are accompanied by detailed descriptions of the programming steps needed All concepts and techniques are introduced from a basic level Chapter 1 introduces Matlab and matrix algebra..

  • Financial Econometrics free pdfFinancial Econometrics

    This book - an overview of contemporary topics related to the modelling of financial time series - is set against a backdrop of rapid expansions of interest in both the models themselves and the financial problems to which they are applied..

  • Rethinking Valuation and Pricing Models free pdfRethinking Valuation and Pricing Models

    It is widely acknowledged that many financial modelling techniques failed during the financial crisis. and in our post-crisis environment many techniques are being reconsidered..

  • Financial Modelling free pdfFinancial Modelling

    Download Free Book. Financial Modelling - Theory, Implementation and Practice is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab. Th