Derivatives Models on Models 1st Edition by Espen Gaarder Haug ISBN 0470013222 978-0470013229

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Product details: 

ISBN 10: 0470013229

ISBN 13:  0470013222 978

Author:  Espen Gaarder Haug

Derivatives Models on Models takes a theoretical and practical look at some of the latest and most important ideas behind derivatives pricing models. In each chapter the author highlights the latest thinking and trends in the area. A wide range of topics are covered, including valuation methods on stocks paying discrete dividend, Asian options, American barrier options, Complex barrier options, reset options, and electricity derivatives.

The book also discusses the latest ideas surrounding finance like the robustness of dynamic delta hedging, option hedging, negative probabilities and space-time finance. The accompanying CD-ROM with additional Excel sheets includes the mathematical models covered in the book.

Table of contents: 

The Discovery of FatTails in Price Data
Alan Lewis on Stochastic Volatility and Jumps
Emanuel Derman the Wall Street Quant
Closed Form Valuation of American Barrier Options
Peter Carr The Wall Street Wizard of Option Symmetry and Volatility
Valuation of Complex Barrier Options Using Barrier Symmetry
Time Travel Arbitrage Conclusion 268
Haug on Wilmott and Wilmott on Wilmott 277 Chapter 13 Spacetime Finance The Relativity Theorys Implications for Mathe matical Finance 287 1
Introduction Time dilation
Advanced stage of Spacetime Finance
Spacetime Uncertainty

Granger on Cointegration
Stephen Ross on APT
Introduction
Bruno Dupire the Stochastic Wall Street Quant
Asian Pyramid Power
the Yoga Master of Mathematical Finance
General Relativity and Spacetime Finance Was Einstein Right? Traveling Back in Time Using Wormholes Conclusion 302 305 307 308
Energy SwapsForwards
Power Options
Still What About FatTails? 197 199 202
Aaron Brown on Gambling Poker and Trading
Chapter 10
Knut Aase on Catastrophes and Financial Economics
Negative Volatility and the Survival of the Western Financial Markets Knut K Aase 1 Introduction
Negative Volatility A Direct Approach 3 The Value of a European Call Option for any Value Positive or Neg ative of the Volatility
Negative Volatility The Haug interpretation 5 Chaotic Behavior from Deterministic Dynamics 6 Conclusions 240 242
Time Measure Arbitrage
Is High Speed Velocity Possible? BlackScholes in Special Relativity Relativity and FatTailed Distributions
Andrei Khrennikov on Negative Probabilities
Why so Negative about Negative Probabilities? 323 1 2 3 4 5 6 The History of Negative Probability
Negative Probabilities in Quantitative Finance
Getting the Negative Probabilities to Really Work in Your Favor
Hidden Variables in Finance
The Future of Negative Probabilities in Quantitative Finance
Negative Probabilities in CRR Equivalent Trinomial Tree 323 324 327 328 329
David Bates on Crash and Jumps
Hidden Conditions and Coin Flip Blow Ups 343 1 Blowing Up Coin Flip Blow Ups

Peter Jackel on Monte Carlo Simulation

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