The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices....

Finanzoptionen werden von Kapitalmarktakteuren zu Absicherungs-, Spekulations- und Arbitragezwecken eingesetzt. Dem Black/Scholes-Modell kommt in der Finanzwirtschaft eine herausragende Bedeutung zu, da es sowohl zur Bewertung von Optionen als auch zur Berechnung der impliziten Volatilität...

This book gives a comprehensive introduction to the modeling of financial derivatives, covering all major asset classes (equities, commodities, interest rates and foreign exchange) and stretching from Black and Scholes' lognormal modeling to current-day research on skew and smile models. The...

Given the explosion of interest in mathematical methods for solving problems in finance and trading, a great deal of research and development is taking place in universities, large brokerage firms, and in the supporting trading software industry. Mathematical advances have been made both...

In der Finanzwelt ist der Einsatz von Finanzderivaten zu einem unentbehrlichen Hilfsmittel zur Absicherung von Risiken geworden. Dieses Buch richtet sich an Studierende der (Finanz-) Mathematik und der Wirtschaftswissenschaften im Hauptstudium, die mehr über Finanzderivate und ihre...

This book is the first comprehensive treatment of structural credit risk models for the simultaneous and consistent pricing of corporate securities. Through the development of a flexible economic framework based on the firm's EBIT, the reader is taken from the economic principles of firm value...

Commodity markets present several challenges for quantitative modeling. These include high volatilities, small sample data sets, and physical, operational complexity. In addition, the set of traded products in commodity markets is more limited than in financial or equity markets, making value...

This book introduces readers to a new approach to identifying stock market bubbles by using the illiquidity premium, a parameter derived by employing conic finance theory. Further, it shows how to develop the closed form formulas of the bid and ask prices of European options by using...