Derivatives Trading and Option Pricing - Research and Markets
Derivatives Trading and Option Pricing - Research and Markets
Derivatives Trading and Option Pricing - Research and Markets
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Brochure<br />
More information from http://www.research<strong>and</strong>markets.com/reports/295871/<br />
<strong>Derivatives</strong> <strong>Trading</strong> <strong>and</strong> <strong>Option</strong> <strong>Pricing</strong><br />
Description:<br />
This powerful volume draws together a range of essential papers, both recent <strong>and</strong> classic, into one<br />
accessible <strong>and</strong> uniquely comprehensive reference title – to help you manage the risk involved in pricing <strong>and</strong><br />
trading derivatives <strong>and</strong> options.<br />
Benefit from the experience of the most ground-breaking names in quantitative finance, such as Alex<strong>and</strong>er<br />
Lipton, Peter Carr, Leif Andersen, Jesper Andreasen, Philipp Schoenbucher <strong>and</strong> many more<br />
Three main sections cover:<br />
- Generic option pricing: including modelling <strong>and</strong> pricing analysis that cuts across a range of asset classes<br />
<strong>and</strong> provides you with solutions to several important challenges<br />
- <strong>Pricing</strong> problems in credit, equities <strong>and</strong> interest rates: this section presents papers with a pricing focus in<br />
the asset classes of credit, equities <strong>and</strong> interest rates<br />
- Market analysis <strong>and</strong> quantitative trading: focusing on this area of growing importance<br />
- Includes 22 papers representing the best work by Risk magazine's diverse contributor base – including<br />
several significant contributions to the literature on quantitative finance <strong>and</strong> much of the latest academic<br />
research developments in the field<br />
- Additionally covers: basket options, credit derivatives, equity derivatives, interest rates, new products,<br />
programme trading<br />
- Introduced by Nicholas Dunbar, Risk magazine Technical Editor, who provides an informative overview <strong>and</strong><br />
binding the collection together <strong>and</strong> outlining the significance of the subject area today<br />
- An additional postscript by Stephen Blyth of Deutsche Bank provides incisive commentary on current<br />
market developments <strong>and</strong> makes a strong case for new thinking in the quant community<br />
- Fresh <strong>and</strong> instructive guidance enables you to easily compare risks <strong>and</strong> risk management strategies<br />
applied to many different asset classes<br />
Contents:<br />
CONTENTS<br />
Introduction<br />
Nicholas Dunbar<br />
Risk<br />
SECTION 1: GENERIC OPTION PRICING<br />
1 Assets with Jumps<br />
Alex<strong>and</strong>er Lipton<br />
Citadel Investment Group<br />
2 Why Be Backward?<br />
Peter Carr; Ali Hirsa<br />
New York University; Caspian Capital Management<br />
3 Corridor Variance Swaps<br />
Peter Carr; Keith A. Lewis<br />
New York University; Independent Consultant<br />
4 What's a Basket Worth?<br />
Peter Laurence; Tai-Ho Wang<br />
University of Rome; National Chung Cheng University<br />
5 Unifying Volatility Models<br />
Claudio Albanese; Alexey Kuznetsov<br />
University of London; McMaster University
6 Smile at the Uncertainty<br />
Damiano Brigo, Fabio Mercurio, Francesco Rapisarda<br />
Banca IMI<br />
7 Local Cross-entropy<br />
David Edelman<br />
University College Dublin<br />
SECTION 2: PRICING PROBLEMS IN CREDIT, EQUITIES AND INTEREST RATES<br />
8 I Will Survive<br />
Jon Gregory, Jean-Paul Laurent<br />
BNP Paribas<br />
9 All Your Hedges in One Basket<br />
Leif Andersen, Jakob Sidenius; Susanta Basu<br />
Banc of America Securities; Och-Ziff Capital Management<br />
10 A Measure of Survival<br />
Philipp J. Schönbucher<br />
ETH Zurich<br />
11 Market Models for CDS <strong>Option</strong>s <strong>and</strong> Callable Floaters<br />
Damiano Brigo<br />
Banca IMI<br />
12 Index Volatility Surface via Moment-Matching Techniques<br />
Peter Lee; Limin Wang; Abdelkerim Karim<br />
Lehman Brothers; Credit Suisse First Boston; Lehman Brothers<br />
13 Smile Dynamics<br />
Lorenzo Bergomi<br />
Société Générale<br />
14 Volatile Volatilities<br />
Leif Andersen; Jesper Andreasen<br />
Banc of America Securities; Nordea <strong>Markets</strong><br />
15 Swap Vega in BGM: Pitfalls <strong>and</strong> Alternatives<br />
Raoul Pietersz; Antoon Pelsser<br />
ABN Amro; ING Group Risk Management<br />
16 Black Smirks<br />
Fei Zhou<br />
Lehman Brothers<br />
17 Correlating Market Models<br />
Bruce Choy; Tim Dun; Erik Schlögl<br />
Commonwealth Bank of Australia; ANZ Risk Management; University of Technology<br />
SECTION 3: MARKET ANALYSIS AND QUANTITATIVE TRADING<br />
18 Bidding Principles<br />
Robert Almgren; Neil Chriss<br />
University of Toronto; SAC Capital<br />
19 Practical Relative-value Volatility <strong>Trading</strong><br />
Stephen Blyth<br />
Deutsche Bank<br />
20 Arbitrage Under Power<br />
Michael Boguslavsky; Elena Boguslavskaya<br />
ABN Amro; University of Amsterdam
21 Component Proponents II<br />
Christophe Pérignon; Christophe Villa<br />
Simon Fraser University; ENSAI<br />
22 Excess Yields in Bond Hedging<br />
Haim Reisman, Gady Zohar<br />
Technion<br />
Age of Reason or Age of Procedure?<br />
Stephen Blyth<br />
Deutsche Bank<br />
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