Chan, Raymond H. creator author. aut http://id.loc.gov/vocabulary/relators/aut Guo, Yves ZY. author. aut http://id.loc.gov/vocabulary/relators/aut Lee, Spike T. author. aut http://id.loc.gov/vocabulary/relators/aut Li, Xun. author. aut http://id.loc.gov/vocabulary/relators/aut SpringerLink (Online service) text si 2024 2nd ed. 2024. monographic eng

electronic

electronic resource

access XXVII, 480 p. 119 illus. online resource. This book introduces readers to the financial markets, derivatives, structured products and how the products are modelled and implemented by practitioners. In addition, it equips readers with the necessary knowledge of financial markets needed in order to work as product structurers, traders, sales or risk managers. This second edition substantially extends, updates and clarifies the previous edition. New materials and enhanced contents include, but not limited to, the role of central counterparties for derivatives transactions, the reference rates to replace LIBOR, risk-neutral modelling for futures and forward, discussions and analysis on risk-neutral framework and numéraires, discrete dividend modelling, variance reduction techniques for Monte Carlo method, finite difference method analysis, tree method, FX modelling, multi-name credit derivatives modelling, local volatility model, forward variance model and local-stochastic volatility model to reflect market practice. As the book seeks to unify the derivatives modelling and the financial engineering practice in the market, it will be of interest to financial practitioners and academic researchers alike. The book can also be used as a textbook for the following courses: • Financial Mathematics (undergraduate level) • Stochastic Modelling in Finance (postgraduate level) • Financial Markets and Derivatives (undergraduate level) • Structured Products and Solutions (undergraduate/postgraduate level). Introduction to Financial Markets -- Interest Rate Instruments -- Equities and Equity Indices -- Foreign Exchange Instruments -- Commodities -- Credit Derivatives -- Investment Funds -- Options -- Elements of Probability -- Stochastic Calculus Part I -- Black–Scholes–Merton Model for Option Pricing -- Stochastic Calculus Part II -- Risk-Neutral Pricing Framework -- Numerical Methods for Option Pricing -- American Options -- Exotic Options Pricing and Hedging -- Num´eraires and the Pricing of Vanilla Interest Rate Options -- Foreign Exchange Modelling -- Local, Stochastic Volatility Models, Static Hedging and Variance Swap -- Jump-diffusion Models -- Interest Rate Term Structure Modelling -- Credit Modelling -- Commodity Modelling -- Structured Products -- Popular Structured Products -- Dynamic Asset Allocation -- Systematic Strategy. by Raymond H. Chan, Yves ZY. Guo, Spike T. Lee, Xun Li. Mathematical models Probabilities Finance Statistics  Mathematical Modeling and Industrial Mathematics Probability Theory Financial Economics Statistics in Business, Management, Economics, Finance, Insurance TA342-343 9789819995349 https://doi.org/10.1007/978-981-99-9534-9 https://doi.org/10.1007/978-981-99-9534-9 240612 20251030112310.0 978-981-99-9534-9