Sommaire :
Introduction


MARKETS, INSTRUMENTS, PEOPLE.
1. Introduction to the instruments
2. The Generalized Option.
3. Market making and market using
4.Liquidity and Liquidity Holes.
5. Arbitrage and the arbitrageurs
6. Volatility and Correlation.

MEASURING OPTION RISKS.
7. Adapting Black-Scholes-Merton: the delta
8. Gamma and Shadow Gamma.
9. Vega and volatility surface
10. Theta and Minor Greeks
11. The Greeks and their behavior
12. Fungibility, Convergence, and Stacking
13. Some wrinkles of options markets
14. Bucketing and Topography.
15. Beware the Distribution
16. Option trading concept

TRADING AND HEDGING EXOTIC OPTIONS.
17. Binary Options: European Style.
18. Binary options: American style
19. Barrier option (I)
20. Barrier option (II)
21. Compound, Choosers, and Higher Order Options.
22.Multiasset Options.
23. Minor exotics: lookback and Asian options

MODULES.

Brownina motion on a spreadsheet, a tutorial

Risk Neutrality Explained.

Numeraire relativity ans the two-country paradox

Correlation Triangles: A Graphical Case Study.

The value-at-risk

Probabilistic Rankings in Arbitrage.

Option Pricing.

Notes.

Bibliography.

Index.

Nbre volumes : 0

Notes : Réserve – Ask a librarian

Langue : Anglais

Collection : FINANCIAL ENGINEERING

Lieu d'édition : TORONTO

Illustration(s) : Schémas

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Propriétaire : Bibliothèque