{"product_id":"derivatives-isbn-9780470013229","title":"Derivatives","description":"\u003ci\u003eDerivatives Models on Models\u003c\/i\u003e 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 are covered, including valuation methods on stocks paying discrete dividend, Asian options, American barrier options, Complex barrier options, reset options, and electricity derivatives.  \u003cp\u003eThe 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-ROM with additional Excel sheets includes the mathematical models covered in the book.\u003c\/p\u003e \u003cp\u003eThe 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:\u003c\/p\u003e \u003cul\u003e \u003cli\u003e \u003cdiv\u003eClive Granger, Nobel Prize winner in Economics 2003, on Cointegration\u003c\/div\u003e \u003c\/li\u003e \u003cli\u003e \u003cdiv\u003eNassim Taleb on Black Swans\u003c\/div\u003e \u003c\/li\u003e \u003cli\u003e \u003cdiv\u003eStephen Ross on Arbitrage Pricing Theory\u003c\/div\u003e \u003c\/li\u003e \u003cli\u003e \u003cdiv\u003eEmanuel Derman the Wall Street Quant\u003c\/div\u003e \u003c\/li\u003e \u003cli\u003e \u003cdiv\u003eEdward Thorp on Gambling and Trading\u003c\/div\u003e \u003c\/li\u003e \u003cli\u003e \u003cdiv\u003ePeter Carr the Wall Street Wizard of Option Symmetry and Volatility\u003c\/div\u003e \u003c\/li\u003e \u003cli\u003e \u003cdiv\u003eAaron Brown on Gambling, Poker and Trading\u003c\/div\u003e \u003c\/li\u003e \u003cli\u003e \u003cdiv\u003eDavid Bates on Crash and Jumps\u003c\/div\u003e \u003c\/li\u003e \u003cli\u003e \u003cdiv\u003eAndrei Khrennikov on Negative Probabilities\u003c\/div\u003e \u003c\/li\u003e \u003cli\u003e \u003cdiv\u003eElie Ayache on Option Trading and Modeling\u003c\/div\u003e \u003c\/li\u003e \u003cli\u003e \u003cdiv\u003ePeter Jaeckel on Monte Carlo Simulation\u003c\/div\u003e \u003c\/li\u003e \u003cli\u003e \u003cdiv\u003eAlan Lewis on Stochastic Volatility and Jumps\u003c\/div\u003e \u003c\/li\u003e \u003cli\u003e \u003cdiv\u003ePaul Wilmott on Paul Wilmott\u003c\/div\u003e \u003c\/li\u003e \u003cli\u003e \u003cdiv\u003eKnut Aase on Catastrophes and Financial Economics\u003c\/div\u003e \u003c\/li\u003e \u003cli\u003e \u003cdiv\u003eEduardo Schwartz the Yoga Master of Quantitative Finance\u003c\/div\u003e \u003c\/li\u003e \u003cli\u003e \u003cdiv\u003eBruno Dupire on Local and Stochastic Volatility Models\u003c\/div\u003e \u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eAuthor’s “Disclaimer” ix\u003c\/p\u003e \u003cp\u003eIntroduction x\u003c\/p\u003e \u003cp\u003eDerivatives Models on Models xv\u003c\/p\u003e \u003cp\u003e\u003ci\u003eNassim Taleb\u003c\/i\u003e on Black Swans 1\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 The Discovery of Fat-Tails in Price Data 17\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eEdward Thorp on Gambling and Trading 27\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 Option Pricing and Hedging from Theory to Practice: Know Your Weapon III 33\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1 The Partly Ignored and Forgotten History 34\u003c\/p\u003e \u003cp\u003e2 Discrete Dynamic Delta Hedging under Geometric Brownian Motion 44\u003c\/p\u003e \u003cp\u003e3 Dynamic Delta Hedging Under Jump-Diffusion 50\u003c\/p\u003e \u003cp\u003e4 Equilibrium Models 54\u003c\/p\u003e \u003cp\u003e5 Portfolio Construction and Options Against Options 55\u003c\/p\u003e \u003cp\u003e6 Conclusions 63\u003c\/p\u003e \u003cp\u003eAlan Lewis on Stochastic Volatility and Jumps 71\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Back to Basics: A New Approach to the Discrete Dividend Problem 79\u003cbr\u003e\u003c\/b\u003eTogether with \u003ci\u003eJørgen Haug\u003c\/i\u003e and \u003ci\u003eAlan Lewis\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e1 Introduction 79\u003c\/p\u003e \u003cp\u003e2 General Solution 82\u003c\/p\u003e \u003cp\u003e3 Dividend Models 87\u003c\/p\u003e \u003cp\u003e4 Applications 89\u003c\/p\u003e \u003cp\u003eEmanuel Derman the Wall Street Quant 101\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Closed Form Valuation of American Barrier Options 115\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1 Analytical Valuation of American Barrier Options 115\u003c\/p\u003e \u003cp\u003e2 Numerical Comparison 116\u003c\/p\u003e \u003cp\u003e3 Conclusion 118\u003c\/p\u003e \u003cp\u003ePeter Carr, The Wall Street Wizard of Option Symmetry and Volatility 121\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Valuation of Complex Barrier Options Using Barrier Symmetry 129\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1 Plain Vanilla Put–Call Symmetry 129\u003c\/p\u003e \u003cp\u003e2 Barrier Put–Call Symmetry 130\u003c\/p\u003e \u003cp\u003e3 Simple, Intuitive and Accurate Valuation of Double Barrier Options 132\u003c\/p\u003e \u003cp\u003e4 Static Hedging in the Real World 137\u003c\/p\u003e \u003cp\u003e5 Conclusion 138\u003c\/p\u003e \u003cp\u003eGranger on Cointegration 141\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Knock-in\/out Margrabe 145\u003cbr\u003e\u003c\/b\u003ewith \u003ci\u003eJørgen Haug\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e1 Margrabe Options 145\u003c\/p\u003e \u003cp\u003e2 Knock-in\/out Margrabe Options 146\u003c\/p\u003e \u003cp\u003e3 Applications 147\u003c\/p\u003e \u003cp\u003eStephen Ross on APT 153\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Resetting Strikes, Barriers and Time 157\u003cbr\u003e\u003c\/b\u003ewith \u003ci\u003eJørgen Haug\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e1 Introduction 157\u003c\/p\u003e \u003cp\u003e2 Reset Strike Barrier Options 160\u003c\/p\u003e \u003cp\u003e3 Reset Barrier Options 161\u003c\/p\u003e \u003cp\u003e4 Resetting Time 162\u003c\/p\u003e \u003cp\u003e5 Conclusion 163\u003c\/p\u003e \u003cp\u003eBruno Dupire the Stochastic Wall Street Quant 167\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Asian Pyramid Power 177\u003cbr\u003e\u003c\/b\u003ewith \u003ci\u003eJørgen Haug\u003c\/i\u003e and \u003ci\u003eWilliam Margrabe\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e1 Celia in Derivativesland 177\u003c\/p\u003e \u003cp\u003e2 Calibrating to the Term Structure of Volatility 180\u003c\/p\u003e \u003cp\u003e3 From Geometric to Arithmetic 184\u003c\/p\u003e \u003cp\u003e4 The Dollars 185\u003c\/p\u003e \u003cp\u003eEduardo Schwartz: the Yoga Master of Mathematical Finance 191\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Practical Valuation of Power Derivatives 197\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1 Introduction 197\u003c\/p\u003e \u003cp\u003e2 Energy Swaps\/Forwards 199\u003c\/p\u003e \u003cp\u003e3 Power Options 202\u003c\/p\u003e \u003cp\u003e4 Still, What About Fat-Tails? 209\u003c\/p\u003e \u003cp\u003eAaron Brown on Gambling, Poker and Trading 211\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 10 A Look in the Antimatter Mirror 223\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1 Garbage in, Garbage Out? 223\u003c\/p\u003e \u003cp\u003e2 Conclusion 227\u003c\/p\u003e \u003cp\u003eKnut Aase on Catastrophes and Financial Economics 231\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 11 Negative Volatility and the Survival of the Western Financial Markets 239\u003cbr\u003e\u003c\/b\u003e\u003ci\u003eKnut K. Aase\u003c\/i\u003e\u003c\/p\u003e \u003cp\u003e1 Introduction 239\u003c\/p\u003e \u003cp\u003e2 Negative Volatility – A Direct Approach 240\u003c\/p\u003e \u003cp\u003e3 The Value of a European Call Option for any Value – Positive or Negative – of the Volatility 240\u003c\/p\u003e \u003cp\u003e4 Negative Volatility – The Haug interpretation 242\u003c\/p\u003e \u003cp\u003e5 Chaotic Behavior from Deterministic Dynamics 242\u003c\/p\u003e \u003cp\u003e6 Conclusions 243\u003c\/p\u003e \u003cp\u003eElie Ayache on Option Trading and Modeling 247\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 12 Frozen Time Arbitrage 267\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1 Time Measure Arbitrage 268\u003c\/p\u003e \u003cp\u003e2 Time Travel Arbitrage 269\u003c\/p\u003e \u003cp\u003e3 Conclusion 273\u003c\/p\u003e \u003cp\u003eHaug on Wilmott and Wilmott on Wilmott 277\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 13 Space-time Finance The Relativity Theory’s Implications for Mathematical Finance 287\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1 Introduction 287\u003c\/p\u003e \u003cp\u003e2 Time dilation 290\u003c\/p\u003e \u003cp\u003e3 Advanced stage of Space-time Finance 292\u003c\/p\u003e \u003cp\u003e4 Space-time Uncertainty 293\u003c\/p\u003e \u003cp\u003e5 Is High Speed Velocity Possible? 295\u003c\/p\u003e \u003cp\u003e6 Black-Scholes in Special Relativity 299\u003c\/p\u003e \u003cp\u003e7 Relativity and Fat-Tailed Distributions 301\u003c\/p\u003e \u003cp\u003e8 General Relativity and Space-time Finance 302\u003c\/p\u003e \u003cp\u003e9 Was Einstein Right? 305\u003c\/p\u003e \u003cp\u003e10 Traveling Back in Time Using Wormholes 307\u003c\/p\u003e \u003cp\u003e11 Conclusion 308\u003c\/p\u003e \u003cp\u003eAndrei Khrennikov on Negative Probabilities 317\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 14 Why so Negative about Negative Probabilities? 323\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1 The History of Negative Probability 323\u003c\/p\u003e \u003cp\u003e2 Negative Probabilities in Quantitative Finance 324\u003c\/p\u003e \u003cp\u003e3 Getting the Negative Probabilities to Really Work in Your Favor 327\u003c\/p\u003e \u003cp\u003e4 Hidden Variables in Finance 328\u003c\/p\u003e \u003cp\u003e5 The Future of Negative Probabilities in Quantitative Finance 329\u003c\/p\u003e \u003cp\u003e6 Appendix: Negative Probabilities in CRR Equivalent Trinomial Tree 330\u003c\/p\u003e \u003cp\u003eDavid Bates on Crash and Jumps 335\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 15 Hidden Conditions and Coin Flip Blow Up’s 343\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1 Blowing Up 343\u003c\/p\u003e \u003cp\u003e2 Coin Flip Blow Up’s 344\u003c\/p\u003e \u003cp\u003ePeter Jáckel on Monte Carlo Simulation 349\u003c\/p\u003e \u003cp\u003eIndex 359\u003c\/p\u003e  \u003cb\u003eDr Espen Gaarder Haug\u003c\/b\u003e has more than 15 years of experience in Derivatives research and trading, and has worked for more than 20 years as a trader. Until recently he worked as a proprietary trader in J.P. Morgan New York, and as a derivatives trader for two multi-billion dollar hedge funds; Amaranth Investor and Paloma Partners, located in Greenwich Connecticut. Before that he worked for Tempus Financial Engineering, Chase Manhattan Bank (now J.P. Morgan Chase) and Den Norske Bank.  \u003cp\u003eHe is the author of \u003ci\u003eThe Complete Guide of Option Pricing Formulas\u003c\/i\u003e, which has become a reference manual among Wall Street professionals. He has a PhD from the Norwegian University of Science and Technology where he specialized in Option Valuation and Trading and has published extensively in practitioner and academic journals. He is currently considering setting up his own investment company - possibly the first Anti-Hedge fund!\u003c\/p\u003e  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.  \u003cp\u003eThe accompanying CD with additional Excel sheets includes the mathematical models covered in the book.\u003c\/p\u003e \u003cp\u003eThe 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:\u003c\/p\u003e \u003cp\u003e\u003cb\u003eNassim Taleb\u003c\/b\u003e on Black Swans\u003c\/p\u003e \u003cp\u003e\u003cb\u003eEdward Thorp\u003c\/b\u003e on Gambling and Trading\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAlan Lewis\u003c\/b\u003e on Stochastic Volatility and Jumps\u003c\/p\u003e \u003cp\u003e\u003cb\u003eEmanuel Derman\u003c\/b\u003e, the Wall Street Quant\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePeter Carr\u003c\/b\u003e, the Wall Street Wizard of Option Symmetry and Volatility\u003c\/p\u003e \u003cp\u003e\u003cb\u003eClive Granger\u003c\/b\u003e, Nobel Prize winner in Economics 2003, on Cointegration\u003c\/p\u003e \u003cp\u003e\u003cb\u003eStephen Ross\u003c\/b\u003e on Arbitrage Pricing Theory\u003c\/p\u003e \u003cp\u003e\u003cb\u003eBruno Dupire\u003c\/b\u003e on Local and Stochastic Volatility Models\u003c\/p\u003e \u003cp\u003e\u003cb\u003eEduardo Schwartz\u003c\/b\u003e the Yoga Master of Quantitative Finance\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAaron Brown\u003c\/b\u003e on Gambling, Poker and Trading\u003c\/p\u003e \u003cp\u003e\u003cb\u003eKnut Aase\u003c\/b\u003e on Catastrophes and Financial Economics\u003c\/p\u003e \u003cp\u003e\u003cb\u003eElie Ayache\u003c\/b\u003e on Modeling\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePaul Wilmott\u003c\/b\u003e on Paul Wilmott\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAndrei Khrennikov\u003c\/b\u003e on Negative Probabilities\u003c\/p\u003e \u003cp\u003e\u003cb\u003eDavid Bates\u003c\/b\u003e on Crash and Jumps\u003c\/p\u003e \u003cp\u003e\u003cb\u003ePeter Jäckel\u003c\/b\u003e on Monte Carlo Simulation\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default Title","offer_id":47989041201381,"sku":"NP9780470013229","price":108.0,"currency_code":"USD","in_stock":false}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/1842\/7735\/files\/9780470013229.jpg?v=1761782548","url":"https:\/\/k12savings.com\/es\/products\/derivatives-isbn-9780470013229","provider":"K12savings","version":"1.0","type":"link"}