Call Boomerang Books 1300 36 33 32

sign up for Boomerang Books BulletinGet Latest Book News + FREE Shipping. Subscribe to the Boomerang Books Bulletin eNewsletter right now!

Description - Market Risk Analysis by Carol Alexander

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.

Buy Market Risk Analysis by Carol Alexander from Australia's Online Independent Bookstore, Boomerang Books.

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

Book Reviews - Market Risk Analysis by Carol Alexander

» Have you read this book? We'd like to know what you think about it - write a review about Market Risk Analysis book by Carol Alexander and you'll earn 50c in Boomerang Bucks loyalty dollars (you must be a Boomerang Books Account Holder - it's free to sign up and there are great benefits!)

Write Review

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

Books By Carol Alexander

Risk Management and Analysis by Carol Alexander
Hardback, November 1998
$316.14 $351.27
How to Tell a Folktale by Carol Alexander
Hardback, August 2011
$46.98 $52.20
Bessie Coleman by Carol Alexander
Hardback, February 2016
$41.21 $49.06
Market Risk Analysis by Carol Alexander
Hardback, April 2008
$110.66 $122.95