THE VALUE OF UNCERTAINTY

THE VALUE OF UNCERTAINTY

Auteur: George J Kaye
Éditeur: World Scientific Publishing Company
Année de publication: 2012
ISBN: 9781848167728

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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.

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