Financial Models in Production. 1st ed. 2020

種類:

電子ブック

責任表示:

by Othmane Kettani, Adil Reghai

出版情報:

Cham : Springer International Publishing : Imprint: Springer, 2020

著者名:

• Kettani, Othmane.
• Reghai, Adil.
• SpringerLink (Online service)

シリーズ名:

SpringerBriefs in Finance ;

ISBN:

9783030574963 [3030574962]    

注記:

1. Introduction -- 2. Black & Scholes Model -- 3. Local Volatility Model -- 4. Market Model P&L Explain.
This book provides a hands-on guide to how financial models are actually implemented and used in practice, on a daily basis, for pricing and risk-management purposes. It shows how to put these models into use in production while minimizing the cost of implementation and maximizing robustness and control. Addressing some of the most important and cutting-edge issues, it describes how to build the necessary models in order to risk manage all the costs involved in options fabrication within the world of equity derivatives and hybrids. This is achieved by extending classical models and improving them in order to account for complex features. The book is primarily aimed at market practitioners (traders, risk managers, risk control, top managers), as well as Masters students in Quantitative/Mathematical Finance. It will also be useful for instructors hoping to enrich their courses with practical examples. The prerequisites are basic stochastic calculus and a general knowledge of financial markets and financial deri

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