Applied Quantitative Finance for Equity Derivatives

Amazon.com Price: $54.90 (as of 11/10/2019 15:43 PST- Details)

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Description

This book presents the most significant equity derivatives models used at the moment.

It is not a book around esoteric or state-of-the-art models, but rather a book on relatively simple and standard models, viewed from the angle of a practitioner. Most books present models in an abstract manner, continuously disconnected from how to apply them in the real world. This book intends to fill that gap, with the ambitious goal of transforming a reader unfamiliar with equity derivatives models into a specialist of such models.

What’s special about it?

  • The subject of cash dividends is absent of most books, and yet a real practical problem that every equity derivatives desk faces. This books gives a thorough remedy of the subject, be it for European, American, or more exotic options under the local volatility model.
  • In a similar fashion, Dupire local volatility issues are regularly ignored at the same time as everybody face them.
  • It presents more than a few refinement for numerical techniques, for example, how to properly handle barriers in the TR-BDF2 finite difference method (and others) for a maximum accuracy, how to if truth be told perform the parametric or non-parametric regression for American options in Monte-Carlo, how to do randomized Monte-Carlo simulations, which random number generators are pertinent at the moment, how to apply quasi Monte-Carlo to the particle stochastic-local-volatility calibration method, which quadrature should use believe for variance swap, volatility swap or vanilla options under stochastic volatility models with known characteristic function…
  • It covers VIX options and dividend derivatives.
  • The backward/forward representation of exotics is well known in the industry and yet rarely presented.
  • It does not cover esoteric payoffs that might have a nice analytical formula but are never traded in practice, or models too complex to be practical.

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