{"product_id":"market-risk-analysis-pricing-hedging-and-trading-financial-instruments","title":"Market Risk Analysis, Pricing, Hedging and Trading Financial Instruments","description":"\u003cp\u003eWritten by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and Trading Financial Instruments forms part three of the Market Risk Analysis four volume set. This book is an in-depth, practical and accessible guide to the models that are used for pricing and the strategies that are used for hedging financial instruments, and to the markets in which they trade. It provides a comprehensive, rigorous and accessible introduction to bonds, swaps, futures and forwards and options, including variance swaps, volatility indices and their futures and options, to stochastic volatility models and to modelling the implied and local volatility surfaces.\u003c\/p\u003e \u003cp\u003eAll together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include:\u003c\/p\u003e \u003cul\u003e\n\u003cli\u003eDuration-Convexity approximation to bond portfolios, and portfolio immunization;\u003c\/li\u003e\n\u003cli\u003ePricing floaters and vanilla, basis and variance swaps;\u003c\/li\u003e\n\u003cli\u003eCoupon stripping and yield curve fitting;\u003c\/li\u003e\n\u003cli\u003eProxy hedging, and hedging international securities and energy futures portfolios;\u003c\/li\u003e\n\u003cli\u003ePricing models for European exotics, including barriers, Asians, look-backs, choosers, capped, contingent, power, quanto, compo, exchange, ‘best-of’ and spread options;\u003c\/li\u003e\n\u003cli\u003eLibor model calibration;\u003c\/li\u003e\n\u003cli\u003eDynamic models for implied volatility based on principal component analysis;\u003c\/li\u003e\n\u003cli\u003eCalibration of stochastic volatility models (Matlab code);\u003c\/li\u003e\n\u003cli\u003eSimulations from stochastic volatility and jump models;\u003c\/li\u003e\n\u003cli\u003eDuration, PV01 and volatility invariant cash flow mappings;\u003c\/li\u003e\n\u003cli\u003eDelta-gamma-theta-vega mappings for options portfolios;\u003c\/li\u003e\n\u003cli\u003eVolatility beta mapping to volatility indices.\u003c\/li\u003e\n\u003c\/ul\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":54222540734808,"sku":"9780470997895","price":84.99,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0278\/1295\/4195\/files\/9780470997895_99645a0d-0973-44d9-ad5d-bd45517cc398.jpg?v=1781674223","url":"https:\/\/agendabookshop.com\/products\/market-risk-analysis-pricing-hedging-and-trading-financial-instruments","provider":"Agenda Bookshop","version":"1.0","type":"link"}