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Financial Modelling

Theory, Implementation and Practice with MATLAB Source

Wiley, J,
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This book will enable the reader to model, design and implement a range of financial models for derivatives pricing and asset allocation. The book will provide practitioners with the complete financial modeling workflow, from model choice, deriving (semi-) analytic approximate prices and Greeks even for exotic options. Such methods can be used for calibration to market data. Furthermore, Monte Carlo simulation techniques are covered which can be applied to multi-dimensional and path dependent options or some asset allocation problems.
Equity/Equity-Interest Rate Hybrid models, Interest Rate models and Asset Allocation are used as examples showing specific models with analysis of their features. The authors then go on to show how to price simple options and how to calibrate the models to real life market data and finally they discuss the pricing of exotic options. At the end of these sections the reader will be able to use the techniques discussed for equity derivatives and interest rate models in other areas of finance such as foreign exchange and inflation.
The models discussed for derivatives pricing are:
* Heston / Bates Model
* Local/Stochastic Volatility Models (DD, CEV, DDHeston)
* Lévy Models (Variance-Gamma, Normal Inverse Gaussian)
* Heston -- Hull -- White Model
* Libor Market Model
* SABR Model
* Lévy Models with Stochastic Volatility
The methods which are discusses
* Direct Integration methods+
* Methods based on Fourier Transform
* Monte Carlo Simulation
* Local and Global Optimization
The models discussed for asset allocation are:
* Markowitz Model
* Black-Litterman Model
* Copula Models
* CVaR numerical optimization
Source code for all the examples is provided with implementation in Matlab.


Titel: Financial Modelling
Autoren/Herausgeber: Joerg Kienitz, Daniel Wetterau
Aus der Reihe: Wiley Finance Series
Ausgabe: 1. Auflage

ISBN/EAN: 9780470744895

Seitenzahl: 734
Format: 24,9 x 17,6 cm
Produktform: Hardcover/Gebunden
Gewicht: 1,376 g
Sprache: Englisch

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.
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. - Newsletter
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