The Value of Uncertainty:Dealing with Risk in the Equity Derivatives Market

Arbitrage-free pricing of derivatives in nonlinear market models
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As the share price changes over time, the investor must alter the composition of the portfolio—the ratio of the number of shares of stocks to the number of options—to ensure that the holdings remain without risk. Similarly, derivatives trading can be conducted on the indices also. BoA Merrill Lynch also has a team dedicated to light exotics and a full fund-structuring team. The market prices for key inputs in the production process, like the price of crude oil or copper, fluctuate daily. Market dislocation and the resulting turbulence over the past year have shown that risk management can make or break an organization. The layout of the paper is as follows. In the derivatives market, this would need you to enter into a sell transaction.

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The Value of Uncertainty : Dealing with Risk in the Equity Derivatives Market -

Storing up future pain Anyone who back in had accurately predicted what monetary policy would look like today would certainly have been regarded as unhinged. Ahead of the Curve Ahead of the curve: New economy, same old returns? Search this site Search. Home News News.

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You are here: Home Reports Perspectives Derivatives face Brexit risk. Print Email Share. Related Categories. Three further challenges for derivatives clearing in Europe 1.

The Value of Uncertainty

Passporting UK financial services providers worry that their right to sell products and services into the EU could disappear either immediately, if there were no Bre xit deal, or in the long term if the UK and EU failed to agree on the appropriate deals for financial services during the transition period. Also in: Liabilities remain in focus.

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IPE Quest is a manager search facility that connects institutional investors and asset managers. Brand new Book. Along with the extraordinary growth in the derivatives market over the last decade, the impact of model choice, and model parameter usage, has become a major source of valuation uncertainty. This book concentrates on equity derivatives and charts, step by step, how key assumptions on the dynamics of stocks impact on the value of exotics.

The presentation is technical, but maintains a strong focus on intuition and practical application. Seller Inventory AAJ Seller Inventory LIE Book Description Imperial College Pr, Condition: Brand New. In Stock. Book Description Imperial College Pr. Seller Inventory ING Ships with Tracking Number! Buy with confidence, excellent customer service!.

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Publisher: Imperial College Press , This specific ISBN edition is currently not available. View all copies of this ISBN edition:. Synopsis About this title The Value of Uncertainty begins by tracing the growth in the equity derivative markets prior to the events of September , and demonstrates how exotic derivatives formed a significant component of that growth.

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Review : "In his timely book, George Kaye, a Cambridge-trained physicist with over a dozen years of experience as a quantitative analyst at leading investment banks in the City of London, covers a wide variety of topics in the context of equity option pricing and risk management. Buy New Learn more about this copy. About AbeBooks. Customers who bought this item also bought.