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Too often, finance courses stop short of making a connection between textbook finance and the problems of real-world business. Financial Modeling bridges this gap between theory and practice by providing a nuts-and-bolts guide to solving common financial models with spreadsheets. Simon Benninga takes the reader step by step through each model, showing how it can be solved using Microsoft Excel. The long-awaited third edition of this standard...
1167 p itc 20/01/2013 345 2
Từ khóa: finance, real-world business, common financial models, bank valuation, basic financial calculations, portfolio models, value at risk
Dynamic Hedging: Managing Vanilla and Exotic Options
Dynamic Hedging is the definitive source on derivatives risk. It provides a real-world methodology for managing portfolios containing any nonlinear security. It presents risks from the vantage point of the option market maker and arbitrage operator. The only book about derivatives risk written by an experienced trader with theoretical training, it remolds option theory to fit the practitioner's environment. As a larger share of market...
516 p itc 17/01/2013 299 2
Từ khóa: value at risk method, hedged dynamically, managing vanilla, exotic options, dynamic hedging, portfolio insurance, liquidity holesb, bảo hiểm danh mục đầu tư
Conditional Value-at-Risk (CVaR): Algorithms and ApplicationsStan UryasevRisk Management and
- simple convenient representation of risks (one number) - measures downside risk (compared to variance which is impacted by high returns) - applicable to nonlinear instruments, such as options, with non-mymmetric (non-normal) loss distributions - may provide inadequate picture of risks: does not measure losses exceeding VaR (e.g., excluding or doubling of big losses in November 1987 may not impact VaR historical estimates)
67 p itc 08/01/2013 312 2
Từ khóa: risk management, value-at-risk, definition of conditional value-at-risk, risk management with CVaR functions, hedging, conditional Drawdown-at-Risk
Monte Carlo Methods in Finance
An invaluable resource for quantitative analysts who need to run models that assist in option pricing and risk management. This concise, practical hands on guide to Monte Carlo simulation introduces standard and advanced methods to the increasing complexity of derivatives portfolios. Ranging from pricing more complex derivatives, such as American and Asian options, to measuring Value at Risk, or modelling complex market dynamics, simulation is...
235 p itc 07/01/2013 314 1
Từ khóa: finance accounting, mathematics, monte carlo methods in finance, Value at Risk, simulation, phân tích định lượng, risk management method available, phương pháp quản lý rủi ro
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