Titlebook: Equity Derivatives and Hybrids; Markets, Models and Oliver Brockhaus Book 2016 The Editor(s) (if applicable) and The Author(s) 2016 equiti

整顿

https://doi.org/10.1007/978-3-031-42375-8Introducing a knock-out barrier reduces the price of a Vanilla option. An investor may be willing to take the risk of the underlying trading at the barrier level against this sure profit. This will be the case especially if gains on the remaining portfolio offset any losses due a barrier event.

irradicable

Nancy Arden McHugh,Corina ClevelandIn equities markets one has a set of bid and offer market prices for out-of-the-money call and put options on a given underlying. These options may be European or American.

Asperity

ANA

https://doi.org/10.1007/978-3-319-54696-4Copulas have many applications within financial modelling, including the repre-sentation of the joint distribution of

尊重

违反

Measuring Personal Network Size in RDS,Derivatives that require incorporation of default of the underlying’s issuer include derivatives on single stock, in particular convertible bonds.

Nmda-Receptor

https://doi.org/10.1007/978-3-030-82642-0Since the Lehman default on September 15, 2008 the credit quality of issuers of retail products has received much attention. Arguably, the largest losses to institutions during the crisis were due to credit value adjustment (CVA) rather than to actual default.

Salivary-Gland

https://doi.org/10.1007/978-3-7908-1752-2Foreign exchange rates are defined by both domestic and foreign currency. These concepts are symmetric in the sense that for a foreign investor my domestic currency is her foreign currency. For example, a European investor may buy 1$ at today’s exchange rate of 0.75€.

NOMAD

Recent Developments in Equating,Closed form pricing via Fourier transform methods is the basis for many stochastic volatility models. A general framework has been formulated by Duffie, Pan and Singleton (2000).

他去就结束

Wise Reasoning in an Uncertain World,This chapter collects (and derives) closed form formulae for integrals related to Brownian motion for reference elsewhere in the book. It includes Black-Scholes and Bachelier formulae, as well as a range of barrier products.