Author : Jherek Healy
Publisher : Lulu.com
ISBN 13 : 9780244741587
Total Pages : 516 pages
Book Rating : 4.81/5 ( download)
Book Synopsis Applied Quantitative Finance for Equity Derivatives, Second Edition by : Jherek Healy
Download or read book Applied Quantitative Finance for Equity Derivatives, Second Edition written by Jherek Healy and published by Lulu.com. This book was released on 2019-01-22 with total page 516 pages. Available in PDF, EPUB and Kindle. Book excerpt: Revised and corrected in December 2018, this book presents the most significant equity derivatives models used these days. It is not a book around esoteric or cutting-edge models, but rather a book on relatively simple and standard models, viewed from the angle of a practitioner. A few key subjects explained in this book are: cash dividends for European, American, or exotic options; issues of the Dupire local volatility model and possible fixes; finite difference techniques for American options and exotics; Non-parametric regression for American options in Monte-Carlo, randomized simulations; the particle method for stochastic-local-volatility model with quasi-random numbers; numerical methods for the variance and volatility swaps; quadratures for options under stochastic volatility models; VIX options and dividend derivatives; backward/forward representation of exotics. This second edition adds new arbitrage-free implied volatility interpolations, and covers various warrants, such as CBBCs.