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Over the rainbow : developments in exotic options and complex swaps

Author: Robert A Jarrow; Fuji Capital Markets Corporation.; Risk Publications (London, England).
Publisher: London : Risk Pub., ©1995.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

This is a useful compendium of over 50 articles tracking the advances that underpinned the growth of the derivatives industry of the early 1990s. It includes articles on innovations in financial  Read more...

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Genre/Form: Aufsatzsammlung
Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Robert A Jarrow; Fuji Capital Markets Corporation.; Risk Publications (London, England).
ISBN: 1899332308 9781899332304 1899332359 9781899332359
OCLC Number: 34675793
Notes: Contributors : Jonathan Bowie -- Phelim P. Boyle -- Alan Brace -- Rupert Brotherton-Ratcliffe -- David Byron -- Peter Carr -- Andrew Carverhill -- Don M. Chance -- Water Cheung -- Les Clewlow -- Michael Curran -- Satyajit Das -- Emanuel Derman -- Jeffrey Dewynne -- Bruno Dupire -- Deniz Ergener -- Alexander Eydeland -- Mark B. Garman -- Hélyette Geman -- David M. Gentle -- J. Orlin Grabbe -- Ian Hart -- David Heath -- Ronald C. Heynen -- John Hull -- Chi Ban Huynh -- Eric Jacquier -- Farshid Jamshidian -- Robert Jarrow -- Iraj Kani -- Harry M. Kat -- Kenneth S. Leong -- Jeffrey L. McIver -- Boris Moro -- Andrew Morton -- Marek Musiela -- Izzy Nelken -- Philip Ng -- Andreas Pechtl -- K (Ravi) Ravindran -- Michael P. Ross -- Mark Rubinstein -- David C. Shimko -- Jacques Sikorav -- Mark Spindel -- Andrew Street -- Ken Seng Tan -- Bryan Thomas -- Stuart Turnbull -- Jason Z. Wei -- Ed Weinberger -- Elizabeth Whalley -- Alan White -- Paul Wilmott.
On t.p.: Fuji Capital Markets Corporation.
Description: 343 pages : illustrations ; 30 cm
Contents: Frictionless markets --
Static hedging --
Transaction costs --
Model error --
General theory --
Path-independent --
Path-dependent --
Index amortising swaps --
Differential swaps --
Implied volatility --
Implied smiles --
Trees and lattices --
Monte Carlo methodologies.
Responsibility: edited by Robert Jarrow.

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