Quantitative modeling of derivative securities

From theory to practice

Marco Avellaneda, Peter Laurence

Research output: Book/ReportBook

Abstract

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.

Original languageEnglish (US)
PublisherCRC Press
Number of pages322
ISBN (Electronic)9781351420471
ISBN (Print)9781584880318
DOIs
StatePublished - Jan 1 2017

Fingerprint

Hedging
Derivative
Arbitrage
Modeling
Pricing
Engineering
Demonstrate
Design
Text

ASJC Scopus subject areas

  • Mathematics(all)

Cite this

Quantitative modeling of derivative securities : From theory to practice. / Avellaneda, Marco; Laurence, Peter.

CRC Press, 2017. 322 p.

Research output: Book/ReportBook

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