Derivatives: Models on Models

by Espen Gaarder Haug

Derivatives Models on Models  takes a theoretical and practical look at some of the latest and most important ideas behind derivatives pricing models. In each chapter the author highlights the latest thinking and trends in the area. A wide range of topics are covered, including valuation methods on stocks paying discrete dividend, Asian options, American barrier options, Complex barrier options, reset options, and electricity derivatives. The book also discusses the latest ideas surrounding finance like the robustness of dynamic delta hedging, option hedging, negative probabilities and space-time finance. The accompanying CD-ROM with additional Excel sheets includes the mathematical models covered in the book. The book also includes interviews with some of the world’s top names in the industry, and an insight into the history behind some of the greatest discoveries in quantitative finance. Interviewees

Genres: Finance

384 pages, Hardcover

First published June 1, 2007

Reviews

[Herman · Rating 4 out of 5]

Great interviews. The theoretical part was fine

[Dnepro · Rating 3 out of 5]

The interviews are amazing. The academic articles are ok.