Dimensions
174 x 246 x 29mm
As a set these books are a radical update and revision of Market Models: a Guide to Financial Data Analysis. They provide a rigorous explanation of the key theoretical ideas that market model developers are faced with, in practical, clear terms. Developers are faced with many decisions, about the pricing, the data, the statistical methodology and the calibration and testing of the model prior to implementation therefore these books help risk managers, quantitative traders and investment analysts make the right decisions. The emphasis throughout is in understanding concepts and implementing solutions, assisted by the use of real-world examples both in the text and, interactively, on the accompanying CDs. All of the CD's contain VBA code & C++ code, plus VBA with Excel interface
Modelling Financial Instruments is a radical update and revision of the Volatility and Correlation sections covered in Market Models: A Guide to Financial Data Analysis creating a new, stand-alone book forming Part II of the four-volume set on market risk analysis..
Modelling Financial Instruments covers advanced volatility analysis and hedging options portfolios, which are essential for market risk practitioners, taking the reader from the basics (assuming zero knowledge) right through to the more advanced concepts, in a concise, practical manner. The emphasis is on theory and calibration of these models appropriate to different markets and significantly builds on the strengths of Market Models Part I, covering in-depth analysis of Bonds and Cash Flows; factor models for Equity Portfolios; Futures and Forwards; Options; modelling Volatility and hedging Options Portfolios.
All material is supported by real-world case studies using Excel spreadsheets and an accompanying CD so that the reader is provided with complete solutions.
