This title aims to help the reader manage the risk involved in pricing and trading derivatives and options. Detailed guidance allows the reader to compare risks and risk management strategies applied to many different asset classes.
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About the Author
Nicholas Dunbar has been the London-based technical editor of Risk magazine since 1998. Prior to this he was a staff writer at Futures and Options World magazine. In January 2000 he published Inventing Money: the story of Long-Term Capital Management and the legends behind it, which has been translated into five languages. He has written widely for Risk on derivatives and risk management, and also does consulting and public speaking on these subjects. In addition, he contributes opinion articles for Breakingviews.com and has appeared as a commentator on risk management issues for a range of newspapers, TV and radio. Nicholas studied physics as an undergraduate at Manchester University, and subsequently gained postgraduate qualifications in theoretical physics at Cambridge and Harvard universities.
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Inside This Book
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First Sentence:
Practitioners and academics alike agree that deviations from the Black-Scholes paradigm are ubiquitously observed in the equity, fixed-income, foreign exchange, credit and commodity markets, and result in strike-dependent volatility structures (smile or smirk) (see, for example, Lipton, 2001a). Read the first page Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Working Paper, Journal of Financial Economics, Journal of Finance, Mathematical Finance, Review of Financial Studies, New York, Journal of Computational Finance, Deutsche Bank, Journal of Business, Journal of Derivatives, Pricing of Commodity, British Airways, France Telecom, Years Years, Columbia University, Daimler Chrysler, John Wiley, Journal of Fixed Income, Bermudan Bermudan, Cambridge University Press, Equity Mezzanine Senior, Journal of Political Economy, Market Model of Interest Rate, Peter Carr New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Practitioners and academics alike agree that deviations from the Black-Scholes paradigm are ubiquitously observed in the equity, fixed-income, foreign exchange, credit and commodity markets, and result in strike-dependent volatility structures (smile or smirk) (see, for example, Lipton, 2001a). Read the first page Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Working Paper, Journal of Financial Economics, Journal of Finance, Mathematical Finance, Review of Financial Studies, New York, Journal of Computational Finance, Deutsche Bank, Journal of Business, Journal of Derivatives, Pricing of Commodity, British Airways, France Telecom, Years Years, Columbia University, Daimler Chrysler, John Wiley, Journal of Fixed Income, Bermudan Bermudan, Cambridge University Press, Equity Mezzanine Senior, Journal of Political Economy, Market Model of Interest Rate, Peter Carr New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 18
books:
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- Credit: The Complete Guide to Pricing, Hedging and Risk Management by Jon Gregory on page 144, page 191, and page 212
- Option Pricing (The Irwin series in finance) by Robert A. Jarrow on page 58, page 227, and page 256
- Stochastic Processes by Sheldon M. Ross on page 93, and page 192
- Financial Services (Aspects of Britain) by Central Office of Information on page 380
- Stochastic Integration and Differential Equations by Philip E. Protter on page 192
See all 18 books this book cites
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