Applied Quantitative Finance for Equity Derivatives, second edition

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.

• | Author: Jherek Healy
• | Publisher: Lulu.Com
• | Publication Date: Jan 22, 2019
• | Number of Pages: 516 pages
• | Language: English
• | Binding: Hardcover
• | ISBN-10: 0244741581
• | ISBN-13: 9780244741587