Book description
Take an in-depth look at equity hybrid derivatives.
Written by the quantitative research team of Deutsche Bank, the world leader in innovative equity derivative transactions, this book presents leading-edge thinking in modeling, valuing, and hedging for this market, which is increasingly used for investment by hedge funds. You'll gain a balanced, integrated presentation of theory and practice, with an emphasis on understanding new techniques for analyzing volatility and credit derivative transactions linked to equity. In every instance, theory is illustrated along with practical application.
Marcus Overhaus, PhD, is Managing Director and Global Head of Quantitative Research and Equity Structuring. Ana Bermudez, PhD, is an Associate in Global Quantitative Research. Hans Buehler, PhD, is a Vice President in Global Quantitative Research. Andrew Ferraris, DPhil, is a Managing Director in Global Quantitative Research. Christopher Jordinson, PhD, is a Vice President in Global Quantitative Research. Aziz Lamnouar, DEA, is a Vice President in Global Quantitative Research. All are associated with Deutsche Bank AG, London.
Table of contents
- Cover Page
- Title Page
- Copyright
- Contents
- Preface
- PART One: Modeling Volatility
- PART Two: Equity Interest Rate Hybrids
- PART Three: Equity Credit Hybrids
-
PART Four: Advanced Pricing Techniques
- CHAPTER 7: Copulas Applied to Derivatives Pricing
- CHAPTER 8: Forward PDEs and Local Volatility Calibration
-
CHAPTER 9: Numerical Solution of Multifactor Pricing Problems Using Lagrange-Galerkin with Duality Methods
- 9.1 INTRODUCTION
- 9.2 THE MODELING FRAMEWORK: A GENERAL D-FACTOR MODEL
- 9.3 NUMERICAL SOLUTION OF PARTIAL DIFFERENTIAL INEQUALITIES (VARIATIONAL INEQUALITIES)
- 9.4 NUMERICAL SOLUTION OF PARTIAL DIFFERENTIAL EQUATIONS (VARIATIONAL EQUALITIES): CLASSICAL LAGRANGE-GALERKIN METHOD
- 9.5 HIGHER-ORDER LAGRANGE-GALERKIN METHODS
- 9.6 APPLICATION TO PRICING OF CONVERTIBLE BONDS
- 9.7 APPENDIX: LAGRANGE TRIANGULAR FINITE ELEMENTS
- CHAPTER 10: American Monte Carlo
- Bibliography
- Index
Product information
- Title: Equity Hybrid Derivatives
- Author(s):
- Release date: February 2007
- Publisher(s): Wiley
- ISBN: 9780471770589
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