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Modelling and hedging equity derivatives

Author: Oliver BrockhausAndrew FerrarisChristoph GallusDouglas LongReiner MartinAll authors
Publisher: London : Risk, 1999.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

This reference text provides detailed, practice-based analysis of modelling and hedging equity derivatives. It contains an analysis of probability theory and stochastic calculus and a detailed  Read more...

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Document Type: Book
All Authors / Contributors: Oliver Brockhaus; Andrew Ferraris; Christoph Gallus; Douglas Long; Reiner Martin; Marcus Overhaus; Risk Books (London, England).
ISBN: 1899332340 9781899332342
OCLC Number: 43460129
Description: xiv, 287 pages : illustrations ; 30 cm
Contents: Mathematical fundamentals --
Closed-form solutions for standard products --
Closed-form solutions for non-standard products --
Closed-form solutions for multi-asset products --
Closed-form fixed income and hybrid products --
The tree approach --
Monte Carlo methods --
A partial differential equation solver --
Further modelling issues --
Hedging --
Implementation issues --
Appendix, Useful formulas.
Responsibility: Oliver Brockhaus, Andrew Ferraris, Christoph Gallus, Douglas Long, Reiner Martin, Marcus Overhaus.

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