Quantitative Modeling of Derivative Securities: From Theory To Practice

1st Edition

Marco Avellaneda, Peter Laurence

Chapman and Hall/CRC
Published September 17, 1999
Reference - 336 Pages
ISBN 9781584880318 - CAT# C0383

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Summary

Quantitative Modeling of Derivative Securities demonstrates how to take the basic ideas of arbitrage theory and apply them - in a very concrete way - to the design and analysis of financial products. Based primarily (but not exclusively) on the analysis of derivatives, the book emphasizes relative-value and hedging ideas applied to different financial instruments. Using a "financial engineering approach," the theory is developed progressively, focusing on specific aspects of pricing and hedging and with problems that the technical analyst or trader has to consider in practice.

More than just an introductory text, the reader who has mastered the contents of this one book will have breached the gap separating the novice from the technical and research literature.

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