Derivatives Models on Models
This book takes a theoretical and practical look at some of the latest and most important ideas behind derivatives pricing models. In each chapter the author highlights the latest thinking and trends in the area. A wide range of topics is covered, including valuation methods on stocks paying discrete dividend, Asian options, American barrier options, Complex barrier options, reset options, and electricity derivatives. The book also discusses the latest ideas surrounding finance like the robustness of dynamic delta hedging, option hedging, negative probabilities and space-time finance.The accompanying CD with additional Excel sheets includes the mathematical models covered in the book.The book also includes interviews with some of the world’s top names in the industry, and an insight into the history behind some of the greatest discoveries in quantitative finance. Interviewees include:Nassim Talebon Black SwansEdward Thorpon Gambling and TradingAlan Lewison Stochastic Volatility and JumpsEmanuel Derman, the Wall Street QuantPeter Carr, the Wall Street Wizard of Option Symmetry and VolatilityClive Granger, Nobel Prize winner in Economics 2003, on CointegrationStephen Rosson Arbitrage Pricing TheoryBruno Dupireon Local and Stochastic Volatility ModelsEduardo Schwartzthe Yoga Master of Quantitative FinanceAaron Brownon Gambling, Poker and TradingKnut Aaseon Catastrophes and Financial EconomicsElie Ayacheon ModelingPaul Wilmotton Paul WilmottAndrei Khrennikovon Negative ProbabilitiesDavid Bateson Crash and JumpsPeter Jäckelon Monte Carlo Simulation