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The Mathematics of Financial Models: Solving Real World Problems with Quantitative Methods

By: Material type: TextTextSeries: Wiley Finance SeriesPublication details: 2014 John Wiley & Sons Inc New JerseyDescription: 331pISBN:
  • 9781118004616
Subject(s): DDC classification:
  • 332.015195 RAV
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Holdings
Item type Current library Item location Collection Call number Status Date due Barcode Item holds
Book Book NIMA Knowledge Centre 9th Floor Reading Zone General 332.015195 RAV (Browse shelf(Opens below)) Available M0030615
Total holds: 0

Machine generated contents note: ch. 1 Setting the Stage
Why Is This Book Different?
Road Map of the Book
References
ch. 2 Building Zero Curves
Market Instruments
Linear Interpolation
Cubic Splining
Appendix: Finding Swap Rates Using a Floating Coupon Bond Approach
ch. 3 Valuing Vanilla Options
Black-Scholes Formulae
Adaptations of the Black-Scholes Formulae
Limitations of the Black-Scholes Formulae
Application in Currency Risk Management
Appendix
ch. 4 Simulations
Uniform Number Generation
Non-Uniform Number Generation
Applications of Simulations
Variance Reduction Techniques
ch. 5 Valuing Exotic Options
Valuing Path-Independent, European-Style Options on a Single Variable
Valuing Path-Dependent, European-Style Options on a Single Variable
Valuing Path-Independent, European-Style Options on Two Variables
Contents note continued: Valuing Path-Dependent, European-Style Options on Multiple Variables
ch. 6 Estimating Model Parameters
Calibration of Parameters in the Black-Scholes Model
Using Implied Black-Scholes Volatility Surface and Zero Rate Term Structure to Value Options
Using Volatility Surface
Calibration of Interest Rate Option Model Parameters
Statistical Estimation
ch. 7 The Effectiveness of Hedging Strategies
Delta Hedging
Assumptions Underlying Delta Hedging
Beyond Delta Hedging
Testing Hedging Strategies
Analysis Associated with the Hedging of a European-Style Vanilla Put Option
ch. 8 Valuing Variable Annuity Guarantees
Basic GMDB
Death Benefit Riders
Other Details Associated with GMDB Products
Improving Modeling Assumptions
Living Benefit Riders
ch. 9 Real Options
Surrendering a GMAB Rider

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