The Value of Uncertainty

Dealing with Risk in the Equity Derivatives Market

Business & Finance, Finance & Investing, Finance, Investments & Securities
Cover of the book The Value of Uncertainty by George Kaye, World Scientific Publishing Company
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Author: George Kaye ISBN: 9781908979582
Publisher: World Scientific Publishing Company Publication: November 16, 2012
Imprint: ICP Language: English
Author: George Kaye
ISBN: 9781908979582
Publisher: World Scientific Publishing Company
Publication: November 16, 2012
Imprint: ICP
Language: English

Along with the extraordinary growth in the derivatives market over the last decade, the impact of model choice, and model parameter usage, has become a major source of valuation uncertainty. This book concentrates on equity derivatives and charts, step by step, how key assumptions on the dynamics of stocks impact on the value of exotics. The presentation is technical, but maintains a strong focus on intuition and practical application.

Contents:

  • Introduction
  • Preliminaries
  • Dividends
  • Volatility
  • Default
  • Jumps
  • Rates
  • Correlation
  • Control

Readership: Undergraduates and graduate students studying financial markets; technical practitioners.
Key Features:

  • Provides review questions (with answers) at the end of each chapter
  • Focuses, step by step, on key aspects of equity derivative models, and how they impact on valuation, developing a clear intuition as to how the different pieces of this complicated puzzle fit together
  • Finds the middle ground between technical rigour and intuitive clarity, to aid a diverse range of financial practitioners to better understand model based valuation uncertainty
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

Along with the extraordinary growth in the derivatives market over the last decade, the impact of model choice, and model parameter usage, has become a major source of valuation uncertainty. This book concentrates on equity derivatives and charts, step by step, how key assumptions on the dynamics of stocks impact on the value of exotics. The presentation is technical, but maintains a strong focus on intuition and practical application.

Contents:

Readership: Undergraduates and graduate students studying financial markets; technical practitioners.
Key Features:

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