Book description
With 22 valuable technical papers distilled from the pages of Risk magazine over recent years, this title collates the latest techniques in options pricing in credit, equity and interest rates markets - with a special emphasis on how these are being applied to profitable quantitative trading strategies. Edited and introduced by Nicholas Dunbar, the technical editor of Risk magazine, this collection truly represents the cutting edge in derivatives markets. A must for every dealer.
- Benefit from the experience of the most ground-breaking names in quantitative finance, such as Alexander Lipton, Peter Carr, Leif Andersen, Jesper Andreasen, Philipp Schoenbucher and many more.
- Three main sections cover:
- Generic option pricing - including modelling and pricing analysis that cuts across a range of asset classes and provides you with solutions to several important challenges
- Pricing problems in credit, equities and interest rates - this section presents papers with a pricing focus in the asset classes of credit, equities and interest rates
- Market analysis and quantitative trading - focusing on this area of growing importance
- Includes 22 papers representing the best work by Risk magazine’s diverse contributor base - including several significant contributions to the literature on quantitative finance and much of the latest academic research developments in the field.
- Additionally covers: basket options, credit derivatives, equity derivatives, interest rates, new products, programme trading.
- Introduced by Nicholas Dunbar, Risk magazine Technical Editor, who provides an informative overview and binding the collection together and outlining the significance of the subject area today.
- An additional postscript by Stephen Blyth of Deutsche Bank provides incisive commentary on current market developments and makes a strong case for new thinking in the quant community.
- Fresh and instructive guidance enables you to easily compare risks and risk management strategies applied to many different asset classes.
Book details
- ISBN
- 9781904339380
- Publish date
- 2 May 2005
- Format
- Size
- 155mm x 235mm
Author biography
Nicholas Dunbar
Nicholas Dunbar has been the London-based technical editor of Risk magazine since 1998. Prior to this he was a staff writer at Futures and Options World magazine. In January 2000 he published Inventing Money: the story of Long-Term Capital Management and the legends behind it, which has been translated into five languages.
He has written widely for Risk on derivatives and risk management, and also does consulting and public speaking on these subjects. In addition, he contributes opinion articles for Breakingviews.com and has appeared as a commentator on risk management issues for a range of newspapers, TV and radio.
Nicholas studied physics as an undergraduate at Manchester University, and subsequently gained postgraduate qualifications in theoretical physics at Cambridge and Harvard universities.
Table of contents
Introduction
Nicholas Dunbar
Risk
SECTION 1: GENERIC OPTION PRICING
1 Assets with Jumps
Alexander Lipton
Citadel Investment Group
2 Why Be Backward?
Peter Carr; Ali Hirsa
New York University; Caspian Capital Management
3 Corridor Variance Swaps
Peter Carr; Keith A. Lewis
New York University; Independent Consultant
4 What’s a Basket Worth?
Peter Laurence; Tai-Ho Wang
University of Rome; National Chung Cheng University
5 Unifying Volatility Models
Claudio Albanese; Alexey Kuznetsov
University of London; McMaster University
6 Smile at the Uncertainty
Damiano Brigo, Fabio Mercurio, Francesco Rapisarda
Banca IMI
7 Local Cross-entropy
David Edelman
University College Dublin
SECTION 2: PRICING PROBLEMS IN CREDIT, EQUITIES AND INTEREST RATES
8 I Will Survive
Jon Gregory, Jean-Paul Laurent
BNP Paribas
9 All Your Hedges in One Basket
Leif Andersen, Jakob Sidenius; Susanta Basu
Banc of America Securities; Och-Ziff Capital Management
10 A Measure of Survival
Philipp J. Schönbucher
ETH Zurich
11 Market Models for CDS Options and Callable Floaters
Damiano Brigo
Banca IMI
12 Index Volatility Surface via Moment-Matching Techniques
Peter Lee; Limin Wang; Abdelkerim Karim
Lehman Brothers; Credit Suisse First Boston; Lehman Brothers
13 Smile Dynamics
Lorenzo Bergomi
Société Générale
14 Volatile Volatilities
Leif Andersen; Jesper Andreasen
Banc of America Securities; Nordea Markets
15 Swap Vega in BGM: Pitfalls and Alternatives
Raoul Pietersz; Antoon Pelsser
ABN Amro; ING Group Risk Management
16 Black Smirks
Fei Zhou
Lehman Brothers
17 Correlating Market Models
Bruce Choy; Tim Dun; Erik Schlögl
Commonwealth Bank of Australia; ANZ Risk Management; University of Technology
SECTION 3: MARKET ANALYSIS AND QUANTITATIVE TRADING
18 Bidding Principles
Robert Almgren; Neil Chriss
University of Toronto; SAC Capital
19 Practical Relative-value Volatility Trading
Stephen Blyth
Deutsche Bank
20 Arbitrage Under Power
Michael Boguslavsky; Elena Boguslavskaya
ABN Amro; University of Amsterdam
21 Component Proponents II
Christophe Pérignon; Christophe Villa
Simon Fraser University; ENSAI
22 Excess Yields in Bond Hedging
Haim Reisman, Gady Zohar
Technion
Age of Reason or Age of Procedure?
Stephen Blyth
Deutsche Bank
