Smile Pricing Explained: Financial Engineering Explained

Author: Peter Austing
Publisher: Palgrave Macmillan
Category: Economic Theory & Philosophy, Economic Theory & Philosophy, Finance, Corporate Finance, Investment & Securities, Stocks & Shares, Management & Management Techniques
Age Group: 15+
Book Format: Paperback

Smile Pricing Explained provides a clear and thorough explanation of the concepts of smile modelling that are at the forefront of modern derivatives pricing. The key models used in practice are covered, together with numerical techniques and calibration.

Peter Austing

Table Of Contents
1. Introduction to Derivatives 2. Stochastic Calculus 3. Martingale Pricing 4. Dynamic Hedging and Replication 5. Exotic Options in Black-Scholes 6. Smile Models 7. Stochastic Volatility 8. Numerical Techniques 9. Local Stochastic Volatility 10. Volatility Products 11. Multi-Asset
About P. Austing
In Smile Pricing Explained, Peter Austing draws on a decade of experience building the mathematical models for derivatives trading at major investment banks, most recently Barclays Capital where he was a Director in Quantitative Analytics.
Before moving to finance, Dr Austing held research positions in theoretical physics studying candidate theories of quantum gravity. It was at Oxford University, while teaching mathematics at St John's College, that he developed his love for teaching and accessible style.
A seasoned quantitative practitioner, and regular conference speaker, Peter Austing is best known for his work on multi-asset derivative pricing with correlation smile. He is currently engaged in research at Imperial College, London.

(BK-9781137335715)

SKU BK-9781137335715
Barcode # 9781137335715
Brand Palgrave Macmillan
Artist / Author Peter Austing
Shipping Weight 0.3400kg
Shipping Width 0.150m
Shipping Height 0.020m
Shipping Length 0.230m
Assembled Length 23.100m
Assembled Height 1.800m
Assembled Width 15.200m
Type Paperback

Be The First To Review This Product!

Help other Augoods users shop smarter by writing reviews for products you have purchased.

Write a product review

More From This Category