Pricing, hedging and trading financial instruments . v.3 [Material Electrónico] / Carol Alexander

Material acompañante de Market risk analysis, v.3. Solicitar por 658.155 ALEm v.3

Contiene hojas de cálculo de Excel interactivas con ejemplos empíricos y estudios de casos específicos referidos a los contenidos del libro. Incluye: Duration-Convexity approximation to bond portfolios, and portfolio immunization. Pricing floaters and vanilla, basis and variance swaps. Coupon stripping and yield curve fitting. Proxy hedging, and hedging international securities and energy futures portfolios. Pricing models for European exotics, including barriers, Asians, look-backs, choosers, capped, contingent, power, quanto, compo, exchange, 'best-of' and spread options. Libor model calibration. Dynamic models for implied volatility based on principal component analysis. Calibration of stochastic volatility models (Matlab code). Simulations from stochastic volatility and jump models. Duration, PV01 and volatility invariant cash flow mappingsDelta-gamma-theta-vega mappings for options portfolios. Volatility beta mapping to volatility indices.

Inglés