The Mathematics of Financial Models + Website

Kannoo Ravindran 지음

Wiley 2014년 08월 18일 출간

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Learn how quantitative models can help fight client problems head-onBefore financial problems can be solved, they need to be fully understood. Since in-depth quantitative modeling techniques are a powerful tool to understanding the drivers associated with financial problems, one would need a solid grasp of these techniques before being able to unlock their full potential of the methods used. In The Mathematics of Financial Models, the author presents real world solutions to the everyday problems facing financial professionals. With interactive tools such as spreadsheets for valuation, pricing, and modeling, this resource combines highly mathematical quantitative analysis with useful, practical methodologies to create an essential guide for investment and risk-management professionals facing modeling issues in insurance, derivatives valuation, and pension benefits, among others. In addition to this, this resource also provides the relevant tools like matrices, calculus, statistics and numerical analysis that are used to build the quantitative methods used.Financial analysts, investment professionals, risk-management professionals, and graduate students will find applicable information throughout the book, and gain from the self-study exercises and the refresher course on key mathematical topics. Equipped with tips and information, The Mathematics of Financial ModelsProvides practical methodologies based on mathematical quantitative analysis to help analysts, investment and risk-management professionals better navigate client issuesContains interactive tools that demonstrate the power of analysis and modelingHelps financial professionals become more familiar with the challenges across a range of industriesIncludes a mathematics refresher course and plenty of exercises to get readers up to speedThe Mathematics of Financial Models is an in-depth guide that helps readers break through commo

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Preface ixAcknowledgments xiCHAPTER 1 Setting the Stage 1Why Is This Book Different? 2Road Map of the Book 3References 5CHAPTER 2 Building Zero Curves 7Market Instruments 8Linear Interpolation 16Cubic Splining 25Appendix: Finding Swap Rates Using a Floating CouponBond Approach 41References 43CHAPTER 3 Valuing Vanilla Options 45Black-Scholes Formulae 47Adaptations of the Black-Scholes Formulae 53Limitations of the Black-Scholes Formulae 70Application in Currency Risk Management 74Appendix 78References 80CHAPTER 4 Simulations 81Uniform Number Generation 82Non-Uniform Number Generation 86Applications of Simulations 93Variance Reduction Techniques 100References 104CHAPTER 5 Valuing Exotic Options 107Valuing Path-Independent, European-Style Options on a Single Variable 108Valuing Path-Dependent, European-Style Options on a Single Variable 114Valuing Path-Independent, European-Style Options on Two Variables 135Valuing Path-Dependent, European-Style Options on Multiple Variables 152References 157CHAPTER 6 Estimating Model Parameters 159Calibration of Parameters in the Black-Scholes Model 161Using Implied Black-Scholes Volatility Surface and Zero Rate Term Structure to Value Options 169Using Volatility Surface 178Calibration of Interest Rate Option Model Parameters 190Statistical Estimation 196References 203CHAPTER 7 The Effectiveness of Hedging Strategies 205Delta Hedging 206Assumptions Underlying Delta Hedging 216Beyond Delta Hedging 223Testing Hedging Strategies 230Analysis Associated with the Hedging of a European-Style Vanilla Put Option 235References 244CHAPTER 8 Valuing Variable Annuity Guarantees

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저자(글) Kannoo Ravindran

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DR. KANNOO RAVINDRAN consults with corporations on investments, derivatives trading, modeling, and risk management. He also lectures around the world on these topics and runs a private equity fund. Dr. Ravindran pioneered the use of derivatives to manage risks embedded in variable annuity products.