MARC details
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05426cam a22004575i 4500 |
| 001 - CONTROL NUMBER |
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22024079 |
| 005 - DATE AND TIME OF LATEST TRANSACTION |
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20220505140325.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION |
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m |o d | |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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cr ||||||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
170207s2017 gw |||| o |||| 0|eng |
| 010 ## - LIBRARY OF CONGRESS CONTROL NUMBER |
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| LC control number |
2019771758 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9783319340272 |
| 024 7# - OTHER STANDARD IDENTIFIER |
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| Standard number or code |
10.1007/978-3-319-34027-2 |
| Source of number or code |
doi |
| 035 ## - SYSTEM CONTROL NUMBER |
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| System control number |
(DE-He213)978-3-319-34027-2 |
| 040 ## - CATALOGING SOURCE |
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| Original cataloging agency |
DLC |
| Language of cataloging |
eng |
| Description conventions |
pn |
| -- |
rda |
| Transcribing agency |
DLC |
| 050 ## - LIBRARY OF CONGRESS CALL NUMBER |
|---|
| Classification number |
HG6024.A3 |
| Item number |
.R66 2017 |
| 072 #7 - SUBJECT CATEGORY CODE |
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| Subject category code |
BUS027010 |
| Source |
bisacsh |
| 072 #7 - SUBJECT CATEGORY CODE |
|---|
| Subject category code |
KFF |
| Source |
bicssc |
| 072 #7 - SUBJECT CATEGORY CODE |
|---|
| Subject category code |
KFF |
| Source |
thema |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
332 |
| Edition number |
23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Röman, Jan R. M, |
| Relator term |
author. |
| 245 10 - TITLE STATEMENT |
|---|
| Title |
Analytical Finance: Volume I : |
| Remainder of title |
The Mathematics of Equity Derivatives, Markets, Risk and Valuation / |
| Statement of responsibility, etc |
by Jan R. M. Röman. |
| 250 ## - EDITION STATEMENT |
|---|
| Edition statement |
1st ed. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
|---|
| Place of publication, distribution, etc |
Cham, Switzerland: |
| Name of publisher, distributor, etc |
Palgrave Macmillan, |
| Date of publication, distribution, etc |
c2017 |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
XXVII, 492 p. : |
| Other physical details |
ill.; |
| Dimensions |
24 cm |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
1.1. Clearing and settlement -- 1.2. About Risk -- 1.3. Credit and Counterparty Risk -- 1.4. Settlement Risk -- 1.5. Market Risk -- 1.6. Model Risk -- 2.1. Pricing via Arbitrage -- 2.2. Martingales -- 2.3. The Central Limit Theorem -- 2.4. A simple Random Walk -- 2.5. The Binomial model -- 2.6. Modern pricing theory based on risk-neutral valuation -- 2.7. More on Binomial models -- 2.8. Finite difference methods -- 2.9. Value-at-Risk - VaR -- 3.1. Introduction -- 3.2. A binomial model -- 3.3. Finite Probability Spaces -- 3.4. Properties of normal and log-normal distributions -- 3.5. The Itô Lemma -- 3.6. Stochastic integration -- 4.1. Classifications of Partial Differential Equations -- 4.2. Parabolic PDE's -- 4.3. The Black-Scholes-Merton model -- 4.4. Volatility -- 4.5. Parity relations -- 4.6. A practical guide to pricing -- 4.7. Currency options and the Garman-Kohlhagen model -- 4.8. Options on commodities -- 4.9. Black-Scholes and stochastic volatility -- 4.10. The Black-Scholes formulas -- 4.11. American versus European options -- 4.12. Analytical pricing formulas for American options -- 4.13. Poisson processes and jump diffusion -- 5.1. Martingale representation -- 5.2. Girsanov transformation -- 5.3. Securities paying dividends -- 5.4. Hedging -- 6.1. Contract for Difference - CFD -- 6.2. Binary options/ Digital options -- 6.3. Barrier options - Knock-out and Knock-in Options -- 6.4. Lookback Options -- 6.5. Asian Options -- 6.6. Chooser Options -- 6.7. Forward Options -- 6.8. Compound Options - Options on Options -- 6.9. Multi-Asset Options -- 6.10. Basket Options -- 6.11. Correlation Options -- 6.12. Exchange Options -- 6.13. Currency-Linked Options -- 6.14. Pay-Later Options -- 6.15. Extensible Options -- 6.16. Quantos -- 6.17. Structured products -- 6.18. Summary of exotic instruments -- 6.19. Something about weather derivatives -- 7.1. Introduction to deflators -- 8.1. Introduction -- 8.2. Strategies -- 8.3. A decreasing markets -- 8.4. An increasing market -- 8.5. Neutral markets -- 8.6. Volatile Markets -- 8.7. Using market indexes in pricing -- 8.8. Price direction matrix -- 8.9. Strategy matrix -- Appendix: Some source code. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
This book provides an introduction to the valuation of financial instruments on equity markets. Written from the perspective of trading, risk management and quantitative research functions and written by a practitioner with many years' experience in markets and in academia, it provides a valuable learning tool for students and new entrants to these markets. Coverage includes: Trading and sources of risk, including credit and counterparty risk, market and model risks, settlement and Herstatt risks. Numerical methods including discrete-time methods, finite different methods, binomial models and Monte Carlo simulations. ·Probability theory and stochastic processes from the financial modeling perspective, including probability spaces, sigma algebras, measures and filtrations. ·Continuous time models such as Black-Scholes-Merton; Delta-hedging and Delta-Gamma-hedging; general diffusion models and how to solve Partial Differential Equation using the Feynmann-Kac representation. ·The trading, structuring and hedging several kinds of exotic options, including: Binary/Digital options; Barrier options; Lookbacks; Asian options; Chooses; Forward options; Ratchets; Compounded options; Basket options; Exchange and Currency-linked options; Pay later options and Quantos. ·A detailed explanation of how to construct synthetic instruments and strategies for different market conditions, discussing more than 30 different option strategies. With source code for many of the models featured in the book provided and extensive examples and illustrations throughout, this book provides a comprehensive introduction to this topic and will prove an invaluable learning tool and reference for anyone studying or working in this field. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Capital market. |
| 9 (RLIN) |
236 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Economics, Mathematical. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Financial engineering. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Risk management. |
| 9 (RLIN) |
1660 |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Financial Engineering. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Capital Markets. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Quantitative Finance. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Risk Management. |
| 9 (RLIN) |
1660 |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Display text |
Print version: |
| Title |
Analytical finance : volume i |
| Record control number |
(DLC) 2016956452 |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Display text |
Printed edition: |
| International Standard Book Number |
9783319340265 |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Display text |
Printed edition: |
| International Standard Book Number |
9783319340289 |
| 906 ## - LOCAL DATA ELEMENT F, LDF (RLIN) |
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0 |
| b |
ibc |
| c |
origres |
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u |
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ncip |
| f |
20 |
| g |
y-gencatlg |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
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| Source of classification or shelving scheme |
Library of Congress Classification |
| Item type |
Books |
| Classification part |
HG6024.A3 |
| Call number prefix |
HG6024.A3 |
| Call number suffix |
.R66 2017 |
