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Advanced Equity Derivatives - Volatility And Correlation (Cód: 9237024)

Bossu,Sebastien; Bossu,Saebastien

John Wiley & Sons

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In 'Advanced Equity Derivatives: Volatility and Correlation,' Sebastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives. Designed for financial modelers, option traders and sophisticated investors, the content covers the most important theoretical and practical extensions of the Black-Scholes model. Each chapter includes numerous illustrations and a short selection of problems, covering key topics such as implied volatility surface models, pricing with implied distributions, local volatility models, volatility derivatives, correlation measures, correlation trading, local correlation models and stochastic correlation. The author has a dual professional and academic background, making 'Advanced Equity Derivatives: Volatility and Correlation' the perfect reference for quantitative researchers and mathematically savvy finance professionals looking to acquire an in-depth understanding of equity exotic derivatives pricing and hedging. Equity exotic derivatives are staples of sophisticated investment and portfolio management strategies. Knowing the formulas that lead to correct fair value pricing and hedging of these instruments is requisite for trading equity-linked products and enhancing yields. 'Advanced Equity Derivatives' is a resource for traders, analysts, and other finance professionals who want to gain an in-depth understanding of how these advanced instruments work. This book ventures far beyond vanilla products and instruments that were considered exotic thirty years ago, making it a definitive text in the field. Written for readers with a solid background in basic equity derivatives pricing and advanced mathematics, this book references Black-Scholes and other standard formulas for exotics from the most common to the cutting-edge. With this background, readers can make use of detailed discussions of central concepts in advanced equity derivatives. Implied distributions, volatility derivatives, and correlation trading are among the topics addressed, and each chapter concludes with practice exercises and important derivations. Numerous illustrations allow readers to quickly grasp complicated concepts. Sebastien Bossu is a highly experienced exotics specialist. In 'Advanced Equity Derivatives,' he presents his own work alongside the work of others in the field in order to prepare readers to accurately price next-generation instruments. In 2004, Bossu discovered a model that corrected errors in the pricing and hedging of correlation swaps, and this model forms the basis for the correlation chapters of this book. Other possibilities, including stochastic correlation models, are also thoroughly explored, giving readers a sufficient understanding to transpose formulas into any context. This book builds on the concepts and principles explained by Bossu's popular textbook, 'An Introduction to Equity Derivatives.' For investment professionals who need to go beyond the basics to manage risk and understand pricing models, this book is the indispensable next step. The front line of current equity exotics research is repre sented in the pages of 'Advanced Equity Derivatives.' From standard instruments to brand new practices, this text quickly brings readers up to date on Wall Street standards and the direction of equity exotic derivatives markets. Praise for 'Advanced Equity Derivatives' 'Written by a leading expert who spearheaded the joint pricing and modeling of equity volatility and correlation swaps, this book covers all the theory, models, and practical issues essential for everyone on the buy- or sell-side involved in the pricing and risk management of options. A superb read and a must-read for graduate students studying the subject.' --Martin Bertsch, Co-Founder of Kledia Consulting and MyFinanceTutor 'A great resource for academics, practitioners, and graduate students. Sebastien Bossu is the definite expert on how to link volatility and correlation together.' --Francois Brochet, Harvard Business School 'Sebastien Bossu shares his knowledge of sophisticated derivatives concepts, instruments and strategies used by traders, investment managers, and risk managers. Understanding volatility and correlation in depth is crucial to successfully pricing and hedging equity options. This book is a must-have in this highly specialized field.' --Kay Torshen, CEO and Founder, Torshen Capital Management LLC Accurate pricing strategies for cutting-edge exotic derivatives For equity derivative traders and quantitative analysts who need to understand the latest models in pricing and hedging advanced equity instruments, this book is the perfect choice. Sebastien Bossu gets down to details immediately, concisely presenting single- and multi-asset exotics before moving into the key concepts that sophisticated traders need to know. 'Advanced Equity Derivatives' addresses everything from well-established volatility instruments to the most advanced correlation models. With 'Advanced Equity Derivatives,' readers gain a highly developed understanding of complex issues related to volatility and correlation, including: Implied volatility surface models and their consequence for the pricing of exotics Pricing European payoffs using implied distributions Local and stochastic volatility models Variance swaps and other volatility derivatives Extending Black-Scholes and local volatility models to include correlation assets Dispersion trading and correlation swaps Local and stochastic correlation models and matrices Foreword by Carr, Peter


Produto sob encomenda Sim
Marca John Wiley & Sons
Cód. Barras 9781118750964
Altura 23.60 cm
I.S.B.N. 9781118750964
Profundidade 1.80 cm
Referência 025888911
Acabamento Capa dura
Ano da edição 2014
Idioma Inglês
Número de Páginas 176
Peso 0.37 Kg
Largura 16.00 cm
AutorBossu,Sebastien; Bossu,Saebastien


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