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Brand New, Unread Copy in Perfect Condition. A+ Customer Service! Summary: Preface.PART ONE: Modeling Volatility.CHAPTER 1: Theory.1.1 Concepts of Equity Modeling.1.1.1 The Forward.1.1.2 The Shape of Dividends to Come.1.1.3 European Options on the Pure Stock Process.1.2 Implied Volatility.1.2.1 Sticky Volatilities.1.3 Fitting the Market.1.3.1 Arbitrage-Free Option Price Surfaces.1.3.2 Implied Local Volatility.1.3.3 European Payoffs.1.3.4 Fitting the Market with Discrete Martingales.1.4 Theory of Replication.1.4.1 Replication in Diffusion-Driven Markets.CHAPTER 2: Applications.2.1 Classic Equity Models.2.1.1 Heston.2.1.2 SABR.2.1.3 Scott's Exponential Ornstein-Uhlenbeck Model.2.1.4 Other Stochastic Volatility Models.2.1.5 Extensions of Heston's Model.2.1.6 Cliquets.2.1.7 Forward-Skew Propagation.2.2 Variance Swaps, Entropy Swaps, Gamma Swaps.2.2.1 Variance Swaps.2.2.2 Entropy Swaps.2.2.3 Gamma Swaps.2.3 Variance Swap Market Models.2.3.1 Finite Dimensional Parametrizations.2.3.2 Examples.2.3.3 Fitting to the Market.PART TWO: Equity Interest Rate Hybrids.CHAPTER 3: Short-Rate Models.3.1 Introduction.3.2 Ornstein-Uhlenbeck Models.3.3 Calibrating to the Yield Curve.3.3.1 Hull-White Model.3.3.2 Generic Ornstein-Uhlenbeck Models.3.4 Calibrating the Volatility.3.4.1 Hull-White/Vasicek.3.4.2 Generic Ornstein-Uhlenbeck Models.3.5 Pricing Hybrids.3.5.1 Finite Differences.3.5.2 Monte Carlo.3.6 Appendix: Least-Squares Minimization.3.6.1 Newton-Raphson Method.3.6.2 Broyden's Method.CHAPTER 4: Hybrid Products.4.1 The Effects of Assuming Stochastic Rates.4.2 Conditional Trigger Swaps.4.3 Target Redemption Notes.4.3.1 Structure.4.3.2 Back-Testing.4.3.3 Valuation Approach.4.3.4 Hedging.4.4 Convertible Bonds.4.4.1 Introduction.4.4.2 The Governing Equation.4.4.3 Detailed Specification of the Model.4.4.4 Analytical Solutions for a Special CB.4.5 Exchangeable Bonds.4.5.1 The Valuation PDE.4.5.2 Coordinate Transformations for Numerical Solution.CHAPTER 5: Constant Proportion Portfolio Insurance.5.1 Introduction to Portfolio Insurance.5.2 Classical CPPI.5.3 Restricted CPPI.5.3.1 Constraints on the Investment Level.5.3.2 Constraints on the Floor.5.3.3 An Example Structure.5.4 Options on CPPI.5.4.1 The Pricing.5.4.2 Delta, Gamma, and Vega Exposures.5.4.3 Hedging.5.5 Nonstandard CPPIs.5.5.1 Complex Fee Structures.5.5.2 Dynamic Gearing.5.5.3 Perpetual CPPI.5.5.4 Flexi-Portfolio CPPI.5.5.5 Off-Balance-Sheet CPPI.5.6 CPPI as an Underlying.5.7 Other Issues Related to the CPPI.5.7.1 Liquidity Issues (Hedge Funds).5.7.2 Assets Suitable for CPPIs.5.8 Appendixes.5.8.1 Appendix A.5.8.2 Appendix B.5.8.3 Appendix C.PART THREE: Equity Credit Hybrids.CHAPTER 6: Credit Modeling.6.1 Introduction.6.2 Background on Credit Modeling.6.2.1 Structural Approach.6.2.2 Reduced-Form Approach.6.3 Modeling Equity Credit Hybrids.6.3.1 Dynamics of the Hazard Rate.6.3.2 Model Choice.6.4 Pricing.6.4.1 Credit Default Swap.6.4.2 Credit Default Swaption.6.4.3 European Call.6.5 Calibration.6.5.1 Stripping of Hazard Rate.6.5.2 Calibration of the Hazard Rate Process.6.5.3 Calibration of the Equity Volatility.6.5.4 Discussion.6.6 Introduction of Discontinuities.6.6.1 The New Framework.6.6.2 Dynamics of the Survival Probability.6.6.3 Pricing of European Options.6.6.4 Fourier Pricing.6.7 Equity Default Swaps.6.7.1 Modeling Equity Default Swaps.6.7.2 Single-Name EDSs in a Deterministic Hazard Rate Model.6.8 Conc. Buchnummer des Verkäufers

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Inhaltsangabe: Take an in-depth look at equity hybrid derivatives.

Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book presents leading-edge thinking in modeling, valuing, and hedging for this market, which is increasingly used for investment by hedge funds. You'll gain a balanced, integrated presentation of theory and practice, with an emphasis on understanding new techniques for analyzing volatility and credit derivative transactions linked to equity. In every instance, theory is illustrated along with practical application.

Marcus Overhaus, PhD, is Managing Director and Global Head of Quantitative Research and Equity Structuring. Ana Bermudez, PhD, is an Associate in Global Quantitative Research. Hans Buehler, PhD, is a Vice President in Global Quantitative Research. Andrew Ferraris, DPhil, is a Managing Director in Global Quantitative Research. Christopher Jordinson, PhD, is a Vice President in Global Quantitative Research. Aziz Lamnouar, DEA, is a Vice President in Global Quantitative Research. All are associated with Deutsche Bank AG, London.

Umschlagtext: Over the last few years, equity hybrid derivatives have gained the attention of financial professionals. Combining established asset classes—equity, credit, interest rates, and foreign exchange—equity hybrid derivatives pose a very interesting challenge when it comes to modeling techniques and forming a solid hybrid model framework.

Written by the Quantitative Products team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book will acquaint you with cutting-edge thinking in modeling, valuing, and hedging for this market—which is increasingly being utilized for active investment strategies by hedge funds. Divided into four comprehensive parts, Equity Hybrid Derivatives offers a balanced, integrated presentation of theory and practice in equity derivative markets, with an emphasis on understanding new techniques for analyzing volatility and credit derivative transactions linked to equity.

Part One of Equity Hybrid Derivatives offers valuable insight into different volatility models and their applications to equity markets. It also contains some very recent developments in this field, such as variance swap market models. In Part Two, you'll receive a brief review of short rate models and their incorporation into equity interest rate hybrid structures. Essential examples covered here include the conditional trigger swap, convertible bonds, and the very important constant proportion portfolio insurance (CPPI) structures. Part Three provides a thorough introduction to credit modeling and discusses its importance to equity-credit hybrid derivative structures. Pricing and calibration techniques are examined in detail and important examples like equity default swaps (EDS) are also given. The final part of Equity Hybrid Derivatives is dedicated to the advanced pricing techniques applied to various hybrid and callable structures. Here, you'll become familiar with everything from copulas and forward partial differential equations to numerical solutions for multi-factor pricing problems and American Monte Carlo techniques for derivative pricing.

Filled with in-depth insight and expert advice, Equity Hybrid Derivatives provides well-rounded coverage of this growing class of structures. In every instance, the theory and facts presented are clearly analyzed through graphs, formulas, and examples—making a complex topic accessible more than ever before.

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Buchbeschreibung John Wiley and Sons Ltd, United States, 2007. Hardback. Buchzustand: New. 1. Auflage. 256 x 188 mm. Language: English . Brand New Book. Take an in-depth look at equity hybrid derivatives. Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book presents leading-edge thinking in modeling, valuing, and hedging for this market, which is increasingly used for investment by hedge funds. You ll gain a balanced, integrated presentation of theory and practice, with an emphasis on understanding new techniques for analyzing volatility and credit derivative transactions linked to equity. In every instance, theory is illustrated along with practical application. Marcus Overhaus, PhD, is Managing Director and Global Head of Quantitative Research and Equity Structuring. Ana Bermudez, PhD, is an Associate in Global Quantitative Research. Hans Buehler, PhD, is a Vice President in Global Quantitative Research. Andrew Ferraris, DPhil, is a Managing Director in Global Quantitative Research. Christopher Jordinson, PhD, is a Vice President in Global Quantitative Research. Aziz Lamnouar, DEA, is a Vice President in Global Quantitative Research. All are associated with Deutsche Bank AG, London. Buchnummer des Verkäufers AAH9780471770589

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Buchbeschreibung John Wiley and Sons Ltd, United States, 2007. Hardback. Buchzustand: New. 1. Auflage. 256 x 188 mm. Language: English . Brand New Book. Take an in-depth look at equity hybrid derivatives. Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book presents leading-edge thinking in modeling, valuing, and hedging for this market, which is increasingly used for investment by hedge funds. You ll gain a balanced, integrated presentation of theory and practice, with an emphasis on understanding new techniques for analyzing volatility and credit derivative transactions linked to equity. In every instance, theory is illustrated along with practical application. Marcus Overhaus, PhD, is Managing Director and Global Head of Quantitative Research and Equity Structuring. Ana Bermudez, PhD, is an Associate in Global Quantitative Research. Hans Buehler, PhD, is a Vice President in Global Quantitative Research. Andrew Ferraris, DPhil, is a Managing Director in Global Quantitative Research. Christopher Jordinson, PhD, is a Vice President in Global Quantitative Research. Aziz Lamnouar, DEA, is a Vice President in Global Quantitative Research. All are associated with Deutsche Bank AG, London. Buchnummer des Verkäufers AAH9780471770589

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