The value of uncertainty : Dealing with risk in the equity derivatives market.
by
 
Kaye, George.

Title
The value of uncertainty : Dealing with risk in the equity derivatives market.

Author
Kaye, George.

ISBN
9781848167728

Personal Author
Kaye, George.

Publication Information
London, 2013.

Physical Description
419 s.

Contents
Introduction; Preliminaries; Dividends; Volatility; Default; Jumps; Rates; Correlation; Control.

Abstract
Along with the extraordinary growth in the derivatives market over the last decade, the impact of model choice, and model parameter usage, has become a major source of valuation uncertainty. This book concentrates on equity derivatives and charts, step by step, how key assumptions on the dynamics of stocks impact on the value of exotics. The presentation is technical, but maintains a strong focus on intuition and practical application.

Subject Term
Derivative securities.
 
Risk management.
 
Uncertainty.

Added Corporate Author
Imperial College Press. ICP.


LibraryMaterial TypeItem BarcodeShelf NumberCopyStatus
IIEMSAGeneral Books33168025579760332.6457 K23V 20131On-Shelf Student