Financial Modelling Reviews

Author: Joerg Kienitz
Edition: 1
Publisher: Wiley
Binding: Hardcover
ISBN: 0470744898
Price:
You Save: 46%

Financial Modelling: Theory, Implementation and Practice with MATLAB Source (The Wiley Finance Series)

Financial Modelling - Theory, Implementation and Practice is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab.Financial Modelling review. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving  prices and Greeks using (semi-) analytic and simulation techniques, and calibration even for exotic options.

The book is split into three parts. The first part considers financial markets in general and looks at the complex models needed to handle observed structures, reviewing models based on diffusions including stochastic-local volatility models and (pure) jump processes. It shows the possible risk neutral densities, implied volatility surfaces, option pricing and typical paths for a variety of models including SABR, Heston, Bates, Bates-Hull-White, Displaced-Heston, or stochastic volatility versions of Variance Gamma, respectively Normal Inverse Gaussian models and finally, multi-dimensional modelsRead full reviews of Mastering Financial Modelling: A practitioner's guide to applied corporate finance.

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Mastering Financial Modelling: A practitioner's guide to applied corporate finance: Alastair Day

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(Pearson Education) A handbook on corporate finance, for the student or practitioner. Offers tools for proficiency in building Microsoft Excel models and applying corporate finance concepts. The CD-ROM contains software introduced in the text, allowing the reader to get started immediately. System requirements not listed. Softcover. From the Back Cover Financial proficiency has never been more critical to the success of your business, or to the development of your own career. This is an indispen

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In the 2nd edition some sections of Part I are omitted for better readability, and a brand new chapter is devoted to volatility risk. As a consequence, hedging of plain-vanilla options and valuation of exotic options are no longer limited to the Black-Scholes framework with constant volatility.
In the 3rd printing of the 2nd edition, the second Chapter on discrete-time markets has been extensively revised. Proofs of several results are simplified and completely new sections on optimal stopping problems and Dynkin games are added. Applications to the valuation and hedging of American-style and

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Review Five Star Review s from Amazon.co.uk (all five stars):"I attended one of Jonathan's courses recently and commented at the time that it was rather like the spreadsheet equivalent of going from an ordinary car to driving an F1 car! I have now read through his book and I can only say that this is a superb publication. It sets out how to do advanced spreadsheet modelling far better than anything else I have come across." "This guide consists of 163 pages of text along with a CD containing Excel-based demonstration material...It offers detailed advice on preparing financial models using Exce

http://free.fastusaonlinestore.com/Practical-Financial-Modelling-A-Guide-to-Current-Practice-CIMA-Professional-Handbook/p349994/

Categories: Finance->Mathematical models, Financial management, Finance * General. Contributors: Michael Rees - Author. Format: NOOK Book

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Financial Modelling Reviews

The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving  prices and Greeks using (semi-) analytic and simulation techniques, and calibration even for exotic options.

The book is split into three parts. The first part considers financial markets in general and looks at the complex models needed to handle observed structures, reviewing models based on diffusions including stochastic-local volatility models and (pure) jump processes. It shows the possible risk neutral densities, implied volatility surfaces, option pricing and typical paths for a variety of models including SABR, Heston, Bates, Bates-Hull-White, Displaced-Heston, or stochastic volatility versions of Variance Gamma, respectively Normal Inverse Gaussian models and finally, multi-dimensional models. The stochastic-local-volatility Libor market model with time-dependent parameters is considered and as an application how to price and risk-manage CMS spread products is demonstrated.

The second part of the book deals with numerical methods which enables the reader to use the models of the first part for pricing and risk management, covering methods based on direct integration and Fourier transforms, and detailing the implementation of the COS, CONV, Carr-Madan method or Fourier-Space-Time Stepping. This is applied to pricing of European, Bermudan and exotic options as well as the calculation of the Greeks. The Monte Carlo simulation technique is outlined and bridge sampling is discussed in a Gaussian setting and for Lévy processes. Computation of Greeks is covered using likelihood ratio methods and adjoint techniques. A chapter on state-of-the-art optimization algorithms rounds up the toolkit for applying advanced mathematical models to financial problems and the last chapter in this section of the book also serves as an introduction to model risk. 

The third part is devoted to the usage of Matlab, introducing the software package by describing the basic functions applied for financial engineering. The programming is approached from an object-oriented perspective with examples to propose a framework for calibration, hedging and the adjoint method for calculating Greeks in a Libor Market model.

Source code used for producing the results and analysing the models is provided on the author’s dedicated website, http://www.mathworks.de/matlabcentral/fileexchange/authors/246981