Kienitz / Wetterau | Financial Modelling | Buch | sack.de

Kienitz / Wetterau Financial Modelling



Theory, Implementation and Practice with MATLAB Source

1. Auflage 2013, 734 Seiten, Gebunden, Format (B × H): 176 mm x 251 mm, Gewicht: 1387 g Reihe: Wiley Finance
ISBN: 978-0-470-74489-5
Verlag: WILEY


Kienitz / Wetterau Financial Modelling

Lieferung vom Verlag mit leichten Qualitätsmängeln möglich

Weitere Infos & Material


Introduction 11 Introduction and Management Summary 12 Why We Have Written this Book 23 Why You Should Read this Book 34 The Audience 35 The Structure of this Book 46 What this Book Does Not Cover 57 Credits 68 Code 6PART I FINANCIAL MARKETS AND POPULAR MODELS1 Financial Markets - Data, Basics and Derivatives 91.1 Introduction and Objectives 91.2 Financial Time-Series, Statistical Properties of Market Data and Invariants 101.3 Implied Volatility Surfaces and Volatility Dynamics 171.4 Applications 261.5 General Remarks on Notation 301.6 Summary and Conclusions 311.7 Appendix - Quotes 322 Diffusion Models 352.1 Introduction and Objectives 352.2 Local Volatility Models 352.3 Stochastic Volatility Models 542.4 Stochastic Volatility and Stochastic Rates Models 812.5 Summary and Conclusions 903 Models with Jumps 933.1 Introduction and Objectives 933.2 Poisson Processes and Jump Diffusions 943.3 Exponential L´evy Models 1053.4 Other Models 1183.5 Martingale Correction 1293.6 Summary and Conclusions 1344 Multi-Dimensional Models 1374.1 Introduction and Objectives 1374.2 Multi-Dimensional Diffusions 1374.3 Multi-Dimensional Heston and SABR Models 1414.4 Parameter Averaging 1434.5 Markovian Projection 1594.6 Copulae 1724.7 Multi-Dimensional Variance Gamma Processes 1874.8 Summary and Conclusions 193PART II NUMERICAL METHODS AND RECIPES5 Option Pricing by Transform Techniques and Direct Integration 1975.1 Introduction and Objectives 1975.2 Fourier Transform 1975.3 The Carr-Madan Method 2025.4 The Lewis Method 2105.5 The Attari Method 2155.6 The Convolution Method 2165.7 The Cosine Method 2205.8 Comparison, Stability and Performance 2285.9 Extending the Methods to Forward Start Options 235Time Change 238Time Change 2395.10 Density Recovery 2455.11 Summary and Conclusions 2506 Advanced Topics Using Transform Techniques 2536.1 Introduction and Objectives 2536.2 Pricing Non-Standard Vanilla Options 2536.3 Bermudan and American Options 2546.4 The Cosine Method and Barrier Options 2776.5 Greeks 2786.6 Summary and Conclusions 2877 Monte Carlo Simulation and Applications 2897.1 Introduction and Objectives 2897.2 Sampling Diffusion Processes 2897.3 Special Purpose Schemes 2927.4 Adding Jumps 3137.5 Bridge Sampling 3397.6 Libor Market Model 3467.7 Multi-Dimensional L´evy Models 3517.8 Copulae 3527.9 Summary and Conclusions 3598 Monte Carlo Simulation - Advanced Issues 3618.1 Introduction and Objectives 3618.2 Monte Carlo and Early Exercise 3618.3 Greeks with Monte Carlo 3828.4 Euler Schemes and General Greeks 3968.5 Application to Trigger Swap 4078.6 Summary and Conclusions 4338.7 Appendix - Trees 4349 Calibration and Optimization 4359.1 Introduction and Objectives 4359.2 The Nelder-Mead Method 4379.3 The Levenberg-Marquardt Method 4499.4 The L-BFGS Method 4609.5 The SQP Method 4689.6 Differential Evolution 4829.7 Simulated Annealing 4939.8 Summary and Conclusions 50510 Model Risk - Calibration, Pricing and Hedging 50710.1 Introduction and Objectives 50710.2 Calibration 50810.3 Pricing Exotic Options 52110.4 Hedging 52810.5 Summary and Conclusions 550PART III IMPLEMENTATION, SOFTWARE DESIGN AND MATHEMATICS11 Matlab - Basics 55311.1 Introduction and Objectives 55311.2 General Remarks 55311.3 Matrices, Vectors and Cell Arrays 55611.4 Functions and Function Handles 56411.5 Toolboxes 57011.6 Useful Functions and Methods 58911.7 Plotting 59311.8 Summary and Conclusions 59712 Matlab - Object Oriented Development 59912.1 Introduction and Objectives 59912.2 The Matlab OO Model 59912.3 A Model Class Hierarchy 61112.4 A Pricer Class Hierarchy 61312.5 An Optimizer Class Hierarchy 61812.6 Design Patterns 62012.7 Example - Calibration Engine 62912.8 Example - The Libor Market Model and Greeks 63412.9 Summary and Conclusions 64113 Math Fundamentals 64313.1 Introduction and Objectives 64313.2 Probability Theory and Stochastic Processes 64313.3 Numerical Methods for Stochastic Processes 66513.4 Basics on Complex Analysis 67113.5 The Characteristic Function and Fourier Transform 67513.6 Summary and Conclusions 679List of Figures 681List of Tables 691Bibliography 695Index 705


Kienitz, Joerg
Jörg Kienitz is head of Quantitative Analytics at Deutsche Postbank AG. He is primarily involved in developing and implementing models for pricing complex derivatives structures and for asset allocation. He also lectures at university level on advanced financial modelling and implementation including the University of Oxford’s part-time Masters of Finance course. Jörg works as an independent consultant for model development and validation as well as giving seminars for finance professionals. He is a speaker at the major financial conferences including Global Derivatives, WBS Fixed Income or RISK. Jörg is the member of the editorial board of International Review of Applied Financial Issues and Economics and holds a Ph.D. in stochastic analysis from the University of Bielefeld.

Wetterau, Daniel
Daniel Wetterau is senior specialist in the Quantitative Analytics team of Deutsche Postbank AG. He is responsible for the implementation of term structure models, advanced numerical methods, optimization algorithms and methods for advanced quantitative asset allocation. Further to his work he teaches finance courses for market professionals. Daniel received a Masters in financial mathematics from the University of Wuppertal and was awarded the Barmenia mathematics award for his thesis.


Ihre Fragen, Wünsche oder Anmerkungen

Ihre Nachricht*
Wie möchten Sie kontaktiert werden?
Anrede*
Titel
Vorname*
Nachname*
Ihre E-Mail-Adresse*
Firma
Telefon
Fax
Bestellnr.
Kundennr.
Lediglich mit * gekennzeichnete Felder sind Pflichtfelder.
Wenn Sie die im Kontaktformular eingegebenen Daten durch Klick auf den nachfolgenden Button übersenden, erklären Sie sich damit einverstanden, dass wir Ihr Angaben für die Beantwortung Ihrer Anfrage verwenden. Selbstverständlich werden Ihre Daten vertraulich behandelt und nicht an Dritte weitergegeben. Sie können der Verwendung Ihrer Daten jederzeit widersprechen. Das Datenhandling bei Sack Fachmedien erklären wir Ihnen in unserer Datenschutzerklärung.