Derivatives: Models on Models
ΠΠ± ΡΠ»Π΅ΠΊΡΡΠΎΠ½Π½ΠΎΠΉ ΠΊΠ½ΠΈΠ³Π΅
The book also discusses the latest ideas surrounding finance like the robustness of dynamic delta hedging, option hedging, negative probabilities and space-time finance. The accompanying CD-ROM with additional Excel sheets includes the mathematical models covered in the book.
The book also includes interviews with some of the worldβs top names in the industry, and an insight into the history behind some of the greatest discoveries in quantitative finance. Interviewees include:
- Clive Granger, Nobel Prize winner in Economics 2003, on Cointegration
- Nassim Taleb on Black Swans
- Stephen Ross on Arbitrage Pricing Theory
- Emanuel Derman the Wall Street Quant
- Edward Thorp on Gambling and Trading
- Peter Carr the Wall Street Wizard of Option Symmetry and Volatility
- Aaron Brown on Gambling, Poker and Trading
- David Bates on Crash and Jumps
- Andrei Khrennikov on Negative Probabilities
- Elie Ayache on Option Trading and Modeling
- Peter Jaeckel on Monte Carlo Simulation
- Alan Lewis on Stochastic Volatility and Jumps
- Paul Wilmott on Paul Wilmott
- Knut Aase on Catastrophes and Financial Economics
- Eduardo Schwartz the Yoga Master of Quantitative Finance
- Bruno Dupire on Local and Stochastic Volatility Models
ΠΡΠ΅Π½ΠΊΠΈ ΠΈ ΠΎΡΠ·ΡΠ²Ρ
ΠΠ± Π°Π²ΡΠΎΡΠ΅
He is the author of The Complete Guide of Option Pricing Formulas, which has become a reference manual among Wall Street professionals. He has a PhD from the Norwegian University of Science and Technology where he specialized in Option Valuation and Trading and has published extensively in practitioner and academic journals. He is currently considering setting up his own investment company - possibly the first Anti-Hedge fund!
