This book introduces readers to the financial markets, derivatives, structured products and how the products are modelled and implemented by practitioners. In addition, it equips readers with the necessary knowledge of financial markets needed in order to work as product structurers, traders, sales or risk managers.
This second edition substantially extends, updates and clarifies the previous edition. New materials and enhanced contents include, but not limited to, the role of central counterparties for derivatives transactions, the reference rates to replace LIBOR, risk-neutral modelling for futures and forward, discussions and analysis on risk-neutral framework and numéraires, discrete dividend modelling, variance reduction techniques for Monte Carlo method, finite difference method analysis, tree method, FX modelling, multi-name credit derivatives modelling, local volatility model, forward variance model and local-stochastic volatility model to reflect market practice.
As the book seeks to unify the derivatives modelling and the financial engineering practice in the market, it will be of interest to financial practitioners and academic researchers alike. The book can also be used as a textbook for the following courses:
• Financial Mathematics (undergraduate level)
• Stochastic Modelling in Finance (postgraduate level)
• Financial Markets and Derivatives (undergraduate level)
• Structured Products and Solutions (undergraduate/postgraduate level)
By:
Raymond H. Chan,
Yves ZY. Guo,
Spike T. Lee,
Xun Li
Imprint: Springer Verlag, Singapore
Country of Publication: Singapore
Edition: Second Edition 2024
Dimensions:
Height: 235mm,
Width: 155mm,
ISBN: 9789819995332
ISBN 10: 9819995337
Pages: 480
Publication Date: 13 June 2024
Audience:
Professional and scholarly
,
Undergraduate
Format: Hardback
Publisher's Status: Active
Introduction to Financial Markets.- Interest Rate Instruments.- Equities and Equity Indices.- Foreign Exchange Instruments.- Commodities.- Credit Derivatives.- Investment Funds.- Options.- Elements of Probability.- Stochastic Calculus Part I.- Black–Scholes–Merton Model for Option Pricing.- Stochastic Calculus Part II.- Risk-Neutral Pricing Framework.- Numerical Methods for Option Pricing.- American Options.- Exotic Options Pricing and Hedging.- Num´eraires and the Pricing of Vanilla Interest Rate Options.- Foreign Exchange Modelling.- Local, Stochastic Volatility Models, Static Hedging and Variance Swap.- Jump-diffusion Models.- Interest Rate Term Structure Modelling.- Credit Modelling.- Commodity Modelling.- Structured Products.- Popular Structured Products.- Dynamic Asset Allocation.- Systematic Strategy.
Prof. Raymond H. Chan, Chair Professor and Dean of College of Science, City University of Hong Kong Yves Guo, Managing Director, BNP Paribas CIB, Central, Hong Kong Spike T. Lee, Research Assistant, The Chinese University of Hong Kong Prof. Xun Li, Professor, Hong Kong Polytechnic University
