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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

the pricing and hedging of financial derivatives under stochastic volatility in equity, interest-rate, and credit markets. They present and;

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Equity Derivatives & Hybrids

provides an up-to-date account of equity and equity-hybrid (equity-rates, equity-credit, equity-foreign exchange) derivatives modeling from a;

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Interest Rate Models - Theory and Practice: With Smile, Inflation and Credit

interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS - are discussed, building on;

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Interest Rate Models - Theory and Practice

framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives - mostly Credit Default Swaps (CDS) and CDS;

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Interest Rate Models - Theory and Practice

interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS - are discussed, building on;

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Interest Rate Derivatives Explained: Volume 2: Term Structure and Volatility Modelling

This book on Interest Rate Derivatives has three parts. The first part is on financial products and extends the range of products;

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Advanced Equity Derivatives

In Advanced Equity Derivatives: Volatility and Correlation, Sebastien Bossu reviews and explains the advanced concepts used for pricing and;

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Derivatives

Internal Capital Assessment Process (ICAAP). The reader will also find a detailed treatment of counterparty credit risk, stochastic volatility;

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Derivatives

Internal Capital Assessment Process (ICAAP). The reader will also find a detailed treatment of counterparty credit risk, stochastic volatility;

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Risk Management and Analysis

equity and interest rate derivatives, exotic options, swap (and swaptions), volatility trading and finally credit derivatives. The contributors;

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Interest Rate Modeling

for credit derivatives; a dual-curved model for the post-crisis interest-rate derivatives markets; and an elegant framework for the xVA.;

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Interest Rate Modeling

edition: volatility smile modeling; a new paradigm for inflation derivatives modeling; an extended market model for credit derivatives; a dual;

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Stochastic Volatility Modeling

in the modeling of derivatives, including: Which trading issues do we tackle with stochastic volatility? How do we design models;

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Volatility And Correlation

in commonly--used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for;

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The Price of Fixed Income Market Volatility

imbalances and each reacting to events of different nature. While the methodology for options-based model-free pricing of equity volatility has;

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Financial Derivatives

lemma are discussed heuristically. The second chapter develops generic pricing techniques for assets and derivatives, determining the notion;

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Heston Model And Its Extensions In Matlab And C#

Heston model has become a popular model for pricing equity derivatives, and the most popular stochastic volatility model in financial engineering;

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Modern Pricing of Interest-Rate Derivatives

foundations for the application of the LIBOR market model to the pricing of interest-rate derivatives. Next he treats in great detail the calibration;

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Derivative Security Pricing

of fundamental concepts of stochastic finance, and how to implement them to develop pricing models for derivatives as well as to model spot and forward;

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Fundamentals Of Institutional Asset Management

derivatives, interest rate derivatives, and credit derivatives) in managing the risks of a portfolio are clearly explained and illustrated.;

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Fundamentals Of Institutional Asset Management

derivatives, interest rate derivatives, and credit derivatives) in managing the risks of a portfolio are clearly explained and illustrated.;

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Computational Finance Using C and C#

Computational Finance Using C and C#: Derivatives and Valuation, Second Edition provides derivatives pricing information for equity;

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Commodity Derivatives

Understanding Credit Derivative Products and editor of Equity Derivatives: Documenting and Understanding Equity Derivative Products), and Marcin;

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Managing Global Financial and Foreign Exchange Rate Risk

credit derivatives and other exotic options, futures, and swaps for mitigating and transferring risk, this book provides a simple yet;

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Pricing Derivative Securities (2nd Edition)

interest-rate derivatives includes extensive coverage of the LIBOR market model and an introduction to the modeling of credit risk. As a supplement;

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Pricing Derivative Securities (2nd Edition)

interest-rate derivatives includes extensive coverage of the LIBOR market model and an introduction to the modeling of credit risk. As a supplement;

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Analytical Finance: Volume II: The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation

Analytical Finance is a comprehensive introduction to the financial engineering of equity and interest rate instruments for financial;

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