Smile Pricing Explained
Palgrave Macmillan (Verlag)
978-1-137-33571-5 (ISBN)
In Smile Pricing Explained, Peter Austing draws on a decade of experience building the mathematical models for derivatives trading at major investment banks, most recently Barclays Capital where he was a Director in Quantitative Analytics. Before moving to finance, Dr Austing held research positions in theoretical physics studying candidate theories of quantum gravity. It was at Oxford University, while teaching mathematics at St John's College, that he developed his love for teaching and accessible style. A seasoned quantitative practitioner, and regular conference speaker, Peter Austing is best known for his work on multi-asset derivative pricing with correlation smile. He is currently engaged in research at Imperial College, London.
1. Introduction to Derivatives 2. Stochastic Calculus 3. Martingale Pricing 4. Dynamic Hedging and Replication 5. Exotic Options in Black-Scholes 6. Smile Models 7. Stochastic Volatility 8. Numerical Techniques 9. Local Stochastic Volatility 10. Volatility Products 11. Multi-Asset
| Reihe/Serie | Financial Engineering Explained |
|---|---|
| Zusatzinfo | XIV, 221 p. |
| Verlagsort | Basingstoke |
| Sprache | englisch |
| Maße | 155 x 235 mm |
| Themenwelt | Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung |
| Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management | |
| Wirtschaft ► Volkswirtschaftslehre ► Finanzwissenschaft | |
| ISBN-10 | 1-137-33571-8 / 1137335718 |
| ISBN-13 | 978-1-137-33571-5 / 9781137335715 |
| Zustand | Neuware |
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