000 04669nam a22006015i 4500
001 978-981-99-9534-9
003 DE-He213
005 20251030112310.0
007 cr nn 008mamaa
008 240612s2024 si | s |||| 0|eng d
020 _a9789819995349
_9978-981-99-9534-9
024 7 _a10.1007/978-981-99-9534-9
_2doi
050 4 _aTA342-343
072 7 _aPBWH
_2bicssc
072 7 _aTBJ
_2bicssc
072 7 _aMAT003000
_2bisacsh
072 7 _aPBWH
_2thema
072 7 _aTBJ
_2thema
100 1 _aChan, Raymond H.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
_978646
245 1 0 _aFinancial Mathematics, Derivatives and Structured Products
_h[electronic resource] /
_cby Raymond H. Chan, Yves ZY. Guo, Spike T. Lee, Xun Li.
250 _a2nd ed. 2024.
264 1 _aSingapore :
_bSpringer Nature Singapore :
_bImprint: Springer,
_c2024.
300 _aXXVII, 480 p. 119 illus.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
505 0 _aIntroduction 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.
520 _aThis 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).
650 0 _aMathematical models.
_966910
650 0 _aProbabilities.
_965724
650 0 _aFinance.
_958339
650 0 _aStatistics .
_965982
650 1 4 _aMathematical Modeling and Industrial Mathematics.
_966912
650 2 4 _aProbability Theory.
_967428
650 2 4 _aFinancial Economics.
_969737
650 2 4 _aStatistics in Business, Management, Economics, Finance, Insurance.
_969738
700 1 _aGuo, Yves ZY.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
_978647
700 1 _aLee, Spike T.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
_978648
700 1 _aLi, Xun.
_eauthor.
_4aut
_4http://id.loc.gov/vocabulary/relators/aut
_978649
710 2 _aSpringerLink (Online service)
773 0 _tSpringer Nature eBook
776 0 8 _iPrinted edition:
_z9789819995332
776 0 8 _iPrinted edition:
_z9789819995356
776 0 8 _iPrinted edition:
_z9789819995363
856 4 0 _uhttps://doi.org/10.1007/978-981-99-9534-9
912 _aZDB-2-SMA
912 _aZDB-2-SXMS
999 _c60703
_d60703