rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Financial modelling
    sub title: theory, implementation and practice (with Matlab source)
  name:
    name part: Kienitz, Joerg.
    role:
      role term: creator
  name:
    name part: Wetterau, Daniel
    name part: 1981-
  type of resource: text
  genre: bibliography
  origin info:
    place:
      place term: enk
    place:
      place term: Chichester, West Sussex
    publisher: Wiley
    date issued: ©2012
    date issued: 2012
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: remote
    extent: 1 online resource (xiii, 719 pages : : illustrations.)
  abstract: "Financial Modelling - Theory, Implementation and Practice is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving prices and Greeks using (semi- ) analytic and simulation techniques, and calibration even for exotic options. The book is split into three parts. The first part considers financial markets in general and looks at the complex models needed to handle observed structures, reviewing models based on diffusions including stochastic-local volatility models and (pure) jump processes. It shows the possible risk neutral densities, implied volatility surfaces, option pricing and typical paths for a variety of models including SABR, Heston, Bates, Bates-Hull-White, Displaced-Heston, or stochastic volatility versions of Variance Gamma, respectively Normal Inverse Gaussian models and finally, multi-dimensional models. The stochastic-local-volatility Libor market model with time-dependent parameters is considered and as an application how to price and risk-manage CMS spread products is demonstrated. The second part of the book deals with numerical methods which enables the reader to use the models of the first part for pricing and risk management, covering methods based on direct integration and Fourier transforms, and detailing the implementation of the COS, CONV, Carr-Madan method or Fourier-Space-Time Stepping. This is applied to pricing of European, Bermudan and exotic options as well as the calculation of the Greeks. The Monte Carlo simulation technique is outlined and bridge sampling is discussed in a Gaussian setting and for Lévy processes. Computation of Greeks is covered using likelihood ratio methods and adjoint techniques. A chapter on state-of-the-art optimization…
  table of contents: Financial markets and popular models -- Numerical methods and recipes -- Implementation, software design and mathematics.
  note: Jörg Kienitz, Daniel Wetterau.
  note: Includes bibliographical references and index.
  subject:
    title info:
      title: MATLAB
  subject:
    topic: Finance
    topic: Mathematical models
  subject:
    topic: Numerical analysis
  subject:
    topic: Finance
    topic: Mathematical models
    topic: Computer programs
  subject:
    topic: Numerical analysis
    topic: Computer programs
  classification: HG106 .K53 2012
  classification: 332.0285/53
  classification: 332.028 KIE
  related item:
    identifier: (DLC) 2012029238
  related item:
    title info:
      title: Wiley finance series
  identifier: 9781118818565 (electronic bk.)
  identifier: 1118818563 (electronic bk.)
  identifier: 9780470744895
  identifier: 0470744898
  identifier: 9781118413319
  identifier: 1118413318
  identifier: 9781118413302
  identifier: 111841330X
  identifier: 9781118413296
  identifier: 1118413296
  identifier: http://proxy.library.tamu.edu/login
  record info:
    record content source: NhCcYBP
    record creation date: 230502
    record change date: 20260214234155.4
    record identifier: in00004682173
    language of cataloging:
      language term: eng