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Table of contents (18 chapters)
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Front Matter
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Back Matter
About this book
Keywords
- equities
- equity derivatives
- hybrid derivatives
- financial derivatives
- derivatives
- financial mathematics
- dividends
- stochastic volatility
- stochastic correlation
- correlation
- copulas
- counterparty credit risk
- structured products
- quantitative research
- financial engineering
- risk management
- hedging
- Monte Carlo
- credit risk
- portfolio modelling
Reviews
'This deep, on-the-money account of equity derivatives and hybrids will appeal to finance professionals and finance professors alike.'
-Peter Carr, PhD, Managing Director, Market Modeling, Morgan Stanley; Executive Director, Masters in Math Finance, NYU Courant Institute
"Oliver Brockhaus is to be commended for his thoughtfully curated compendium of key results for equity and hybrid quants. The choice of topics bears the mark of the author's experience as a professional quant, including for example a sophisticated treatment of dividend modeling techniques and clear explanations of CVA, DVA, and FVA. Both students and practitioners will find this book invaluable.'
-Jim Gatheral, Presidential Professor, Baruch College, CUNY; author of The Volatility Surface
'Oliver Brockhaus is a long established and recognized authority on financial mathematics and derivatives pricing models, and his expertise is abundantly visible in this book. The presentation isclear, the subject matter highly relevant, and the coverage is comprehensive yet focused. In summary: an excellent addition to any practitioner's library for both graduates at entry level as well as senior professionals more interested in advanced aspects of financial engineering.'
-Peter Jäckel, PhD, Deputy Head of Quantitative Research, VTB Capital; Managing Director, OTC Analytics
About the author
Bibliographic Information
Book Title: Equity Derivatives and Hybrids
Book Subtitle: Markets, Models and Methods
Authors: Oliver Brockhaus
Series Title: Applied Quantitative Finance
DOI: https://doi.org/10.1057/9781137349491
Publisher: Palgrave Macmillan London
eBook Packages: Business and Management, Business and Management (R0)
Copyright Information: The Editor(s) (if applicable) and The Author(s) 2016
Hardcover ISBN: 978-1-137-34948-4Published: 25 November 2015
eBook ISBN: 978-1-137-34949-1Published: 29 April 2016
Series ISSN: 2947-700X
Series E-ISSN: 2947-7018
Edition Number: 1
Number of Pages: XVI, 287
Topics: Business Mathematics, Banking, Business Finance, Finance, general, Risk Management, Economics, general