Market Model P&L Explain
“No LSV model, No problem”. How does that sound? Dear reader, leveraging on the P&L equation of Chap. 3 , we show how you may still price exotic equity derivatives using the Local Volatility model. This is achieved by adding an adjustment to the pric
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Othmane Kettani Adil Reghai
Financial Models in Production
SpringerBriefs in Finance
More information about this series at http://www.springer.com/series/10282
Othmane Kettani Adil Reghai •
Financial Models in Production
123
Othmane Kettani Quantitative Research Equity Natixis Paris, France
Adil Reghai Quantitative Research Equity Natixis Paris, France
ISSN 2193-1720 ISSN 2193-1739 (electronic) SpringerBriefs in Finance ISBN 978-3-030-57495-6 ISBN 978-3-030-57496-3 (eBook) https://doi.org/10.1007/978-3-030-57496-3 Mathematics Subject Classification: C51, 91B70, 91B28 © The Author(s), under exclusive license to Springer Nature Switzerland AG 2020 This work is subject to copyright. All rights are solely and exclusively licensed by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, expressed or implied, with respect to the material contained herein or for any errors or omissions that may have been made. The publisher remains neutral with regard to jurisdictional claims in published maps and institutional affiliations. This Springer imprint is published by the registered company Springer Nature Switzerland AG The registered company address is: Gewerbestrasse 11, 6330 Cham, Switzerland
Foreword
Options theory has come to us in so many ways. Beyond numerous technicalities, one is faced with unknown, possibly time varying, data generating processes and hedging issues in possibly incomplete markets. Extensive work has been done in these directions, but it is seldomly applicable in a real-world context. Therefore, over the years, an engineering approach has emerged, aiming at reconciling practicalities and rigorous approaches. Rigour derives from brevity, clarity and precise descriptions of pricing and risk management procedures. Leveraging on Adil Reghai’s “Quantitative Finance: Back to Basic Principles”, this book provides a self-contained investigation of volatility dynamics and the intersection of option pricing and risk management, including an explanation of P&L. This work has unique and quite distinctive features: it takes the reader straight to the points addressed. Being built on real-life experience, it is full of innovative views and practical r
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