Market Risk Analysis by Carol Alexander
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Market Risk Analysis
By Carol Alexander

Market Risk Analysis

Pricing, Hedging and Trading Financial Instruments

By (author) See other recent books by Carol Alexander
Format: Hardback

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Market Risk Analysis by Carol Alexander

Book Description

Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and Trading Financial Instruments forms part three of the Market Risk Analysis four volume set. This book is an in-depth, practical and accessible guide to the models that are used for pricing and the strategies that are used for hedging financial instruments, and to the markets in which they trade. It provides a comprehensive, rigorous and accessible introduction to bonds, swaps, futures and forwards and options, including variance swaps, volatility indices and their futures and options, to stochastic volatility models and to modelling the implied and local volatility surfaces. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include:* Duration-Convexity approximation to bond portfolios, and portfolio immunization;* Pricing floaters and vanilla, basis and variance swaps;* Coupon stripping and yield curve fitting;* Proxy hedging, and hedging international securities and energy futures portfolios;* Pricing models for European exotics, including barriers, Asians, look-backs, choosers, capped, contingent, power, quanto, compo, exchange, 'best-of' and spread options;* Libor model calibration;* Dynamic models for implied volatility based on principal component analysis;* Calibration of stochastic volatility models (Matlab code);* Simulations from stochastic volatility and jump models;* Duration, PV01 and volatility invariant cash flow mappings;* Delta-gamma-theta-vega mappings for options portfolios;* Volatility beta mapping to volatility indices.

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Book Details

ISBN: 9780470997895
ISBN-10: 0470997893
Format: Hardback
(247mm x 175mm x 31mm)
Pages: 416
Imprint: John Wiley & Sons Ltd
Publisher: John Wiley and Sons Ltd
Publish Date: 9-May-2008
Country of Publication: United Kingdom

Other Editions...


Books By Author Carol Alexander

Bessie Coleman by Carol Alexander Bessie Coleman, Paperback / softback (February 2016)

Meet Bessie Coleman. She was the first African-American woman to earn her international pilots license. And she did so against great odds. No one in America was willing to teach a black woman to fly. Still, Bessie never gave up on her dream of becoming a world-famous aviator.

Introduction to Value-at-Risk by Carol Alexander Introduction to Value-at-Risk, Paperback (April 2013)

The value-at-risk measurement methodology is a widely-used tool in financial market risk management.

Market Risk Analysis by Carol Alexander Market Risk Analysis, Hardback (January 2009)

Market Risk Analysis is the most comprehensive, rigorous and detailed resource available on market risk analysis. Written as a series of four interlinked volumes each title is self-contained, although numerous cross-references to other volumes enable readers to obtain further background knowledge and information about financial applications.

Operational Risk by Carol Alexander Operational Risk, Paperback (March 2003)

A comprehensive and innovative look at how to protect financial institutions from operational risk.

» View all books by Carol Alexander

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Author Biography - Carol Alexander

Carol Alexander is a Professor of Risk Management at the ICMA Centre, University of Reading, and Chair of the Academic Advisory Council of the Professional Risk Manager's International Association (PRMIA). She is the author of Market Models: A Guide to Financial Data Analysis (John Wiley & Sons Ltd, 2001) and has been editor and contributor of a very large number of books in finance and mathematics, including the multi-volume Professional Risk Manager's Handbook (McGraw-Hill, 2008 and PRMIA Publications). Carol has published nearly 100 academic journal articles, book chapters and books, the majority of which focus on financial risk management and mathematical finance. Professor Alexander is one of the world's leading authorities on market risk analysis. For further details, see www.icmacentre.rdg.ac.uk/alexander

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Recent books by Carol Alexander close
Bessie Coleman by Carol Alexander
Bessie Coleman by Carol Alexander
Introduction to Value-at-Risk by Carol Alexander
Market Risk Analysis by Carol Alexander
Market Risk Analysis by Carol Alexander
Market Risk Analysis by Carol Alexander
Market Risk Analysis by Carol Alexander
Operational Risk by Carol Alexander
Market Models by Carol Alexander
Risk Management and Analysis by Carol Alexander
Risk Management and Analysis by Carol Alexander
»
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