Financial Models in Production
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Beschreibung
This book provides a hands-on guide to how financial models are actually implemented and used in practice, on a daily basis, for pricing and risk-management purposes. It shows how to put these models into use in production while minimizing the cost of implementation and maximizing robustness and control. Addressing some of the most important and cutting-edge issues, it describes how to build the necessary models in order to risk manage all the costs involved in options fabrication within the world of equity derivatives and hybrids. This is achieved by extending classical models and improving them in order to account for complex features.
The book is primarily aimed at market practitioners (traders, risk managers, risk control, top managers), as well as Masters students in Quantitative/Mathematical Finance. It will also be useful for instructors hoping to enrich their courses with practical examples. The prerequisites are basic stochastic calculus and a general knowledge of financial markets and financial derivatives.
Provides a practical guide to the implementation and use of financial models for pricing and risk-management Summarizes recent developments in the evolving world of exotics Features a discussion on how to price Autocallables Provides code (upon request) on how the models can be implemented in practice
Autor*in
Othmane Kettani
Themen in »Financial Models in Production«
Production Models Pricing & Risk Management P&L Explanation Model Extension