東華大學圖書館 |

語系: 繁體中文

說明(常見問題)

回圖書館首頁

手機版館藏查詢

登入

回首頁

切換: 標籤 | MARC模式 | ISBD

The Greeks and hedging explained /

Leoni, Peter,

FindBook

Google Book

Amazon

博客來

The Greeks and hedging explained /

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	The Greeks and hedging explained // Peter Leoni.
作者:	Leoni, Peter,
面頁冊數:	1 online resource.
內容註:	1. Hedging Contingent Claims -- 2. Delta Hedging in the Perfect World -- 3. The Balance between Gamma and Theta -- 4. Trading is the Answer to the Unknown -- 5. Vega as a Crucial Greek -- 6. The Greek Approximation -- 7. Volatility Term Structure -- 8. Skew and Smile.
標題:	Derivative securities. -
電子資源:	http://link.springer.com/10.1057/9781137350749
ISBN:	1137350741 (electronic bk.)

The Greeks and hedging explained /
Leoni, Peter,

The Greeks and hedging explained /Peter Leoni. - 1 online resource.

1. Hedging Contingent Claims -- 2. Delta Hedging in the Perfect World -- 3. The Balance between Gamma and Theta -- 4. Trading is the Answer to the Unknown -- 5. Vega as a Crucial Greek -- 6. The Greek Approximation -- 7. Volatility Term Structure -- 8. Skew and Smile.

Most books on financial derivatives focus on either the investment side of the business or on the mathematical models to price them. However, there is a gap between how quantitative researchers, analysts, structurers, risk managers and traders look and communicate on derivatives problems. In particular there often is a strong emphasis on pricing rather than hedging or risk management. This book fills a gap for a technical but not impenetrable guide to hedging options, and the 'Greek' (Theta, Vega, Rho, and Lambda) parameters that represent the sensitivity of derivatives prices. Taking the viewpoint of the front office practitioner, the book introduces the various option hedging strategies and the mathematics behind them in a concise but thorough manner. The book begins at an elementary level, with an introduction to the Black-Scholes formula (upon which most quantitative finance is built) from a practitioner perspective. The Greeks and Hedging Explained then develops the many themes that are omitted from many textbooks but which actually make up most of what happens in practice -- including the effect of day conventions, interest rates and sticky deltas. The book features numerous illustrations, worked examples and, where appropriate, highlights market conventions over academic assumption. The Greeks and Hedging Explained is a welcome addition to the Financial Engineering Explained series and will serve as a foundation text for some of the more complex titles in the series.

ISBN: 1137350741 (electronic bk.)

Source: 688066Palgrave Macmillanhttp://www.palgraveconnect.comSubjects--Topical Terms:

656187
Derivative securities.
Index Terms--Genre/Form:

542853
Electronic books.

LC Class. No.: HG6024.A3

Dewey Class. No.: 332.64/524

The Greeks and hedging explained /
LDR:02802cmm a2200325Ki 4500 001 1950878
003 OCoLC
005 20140910115827.0
006 m o d
007 cr cnu---unuuu
008 231227s2014 enk o 000 0 eng d
020 $a 1137350741 (electronic bk.)
020 $a 9781137350749 (electronic bk.)
035 $a (OCoLC)881478842
035 $a ocn881478842
035 $a 1950878
037 $a 688066 $b Palgrave Macmillan $n http://www.palgraveconnect.com
040 $a UKPGM $b eng $e rda $e pn $c UKPGM $d OCLCO $d OCLCF
049 $a TEFA
050 4 $a HG6024.A3
082 0 4 $a 332.64/524 $2 23
100 1 $a Leoni, Peter, $e author. $3 3649277
245 1 4 $a The Greeks and hedging explained / $c Peter Leoni.
264 1 $a [Basingstoke] : $b Palgrave Macmillan, $c 2014.
300 $a 1 online resource.
336 $a text $b txt $2 rdacontent
337 $a computer $b c $2 rdamedia
338 $a online resource $b cr $2 rdacarrier
505 0 $a 1. Hedging Contingent Claims -- 2. Delta Hedging in the Perfect World -- 3. The Balance between Gamma and Theta -- 4. Trading is the Answer to the Unknown -- 5. Vega as a Crucial Greek -- 6. The Greek Approximation -- 7. Volatility Term Structure -- 8. Skew and Smile.
520 $a Most books on financial derivatives focus on either the investment side of the business or on the mathematical models to price them. However, there is a gap between how quantitative researchers, analysts, structurers, risk managers and traders look and communicate on derivatives problems. In particular there often is a strong emphasis on pricing rather than hedging or risk management. This book fills a gap for a technical but not impenetrable guide to hedging options, and the 'Greek' (Theta, Vega, Rho, and Lambda) parameters that represent the sensitivity of derivatives prices. Taking the viewpoint of the front office practitioner, the book introduces the various option hedging strategies and the mathematics behind them in a concise but thorough manner. The book begins at an elementary level, with an introduction to the Black-Scholes formula (upon which most quantitative finance is built) from a practitioner perspective. The Greeks and Hedging Explained then develops the many themes that are omitted from many textbooks but which actually make up most of what happens in practice -- including the effect of day conventions, interest rates and sticky deltas. The book features numerous illustrations, worked examples and, where appropriate, highlights market conventions over academic assumption. The Greeks and Hedging Explained is a welcome addition to the Financial Engineering Explained series and will serve as a foundation text for some of the more complex titles in the series.
588 $a Description based on publisher supplied information; title not viewed.
650 0 $a Derivative securities. $3 656187
650 0 $a Hedging (Finance) $3 648564
655 7 $a Electronic books. $2 lcsh $3 542853
710 2 $a Palgrave Connect (Online service) $3 1081578
856 4 0 $3 Palgrave Connect $u http://link.springer.com/10.1057/9781137350749