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The Value of Uncertainty: Dealing with Risk in the Equity Derivatives Market Hardcover – 16 Jan 2013

5.0 out of 5 stars 5 customer reviews

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Product details

  • Hardcover: 440 pages
  • Publisher: Imperial College Press (16 Jan. 2013)
  • Language: English
  • ISBN-10: 1848167725
  • ISBN-13: 978-1848167728
  • Product Dimensions: 15.5 x 2.8 x 22.9 cm
  • Average Customer Review: 5.0 out of 5 stars 5 customer reviews
  • Amazon Bestsellers Rank: 2,309,917 in Books (See Top 100 in Books)
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Product description


"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. He presents a broad and thorough survey of the relevant mathematical methods, and shows how they can be used in practice. Both students of the subject and seasoned market practitioners will greatly benefit from reading this book. I recommend it to the readers without reservations."-- Alexander Lipton, Bank of America Merrill Lynch and Imperial College London

"Model valuation used to inhabit the boring corner of derivatives pricing. After the valuation debacles of the last few years, it has moved firmly to centre stage, and now captures the attention of regulators, practitioners and CEOs as it never did before. And so it should, as it goes to the very heart of the question: What is the value of a derivative product? With this book, George Kaye makes a timely and well-informed contribution to the debate. One of the strengths of the book is to be found in the author's ability to deal with the nittygritty details of modelling while keeping the big picture constantly in sharp focus. This volume provides a useful contribution to the debate, and a treasure trove of insights on derivatives pricing and hedging." --Riccardo Rebonato, Global Head of Interest Rates and FX Analytics, PIMCO and, Visiting Lecturer, Mathematical Finance, Oxford University

From the Inside Flap

The Value of Uncertainty begins by tracing the growth in the equity derivative markets prior to the events of September 2008, and demonstrates how exotic derivatives formed a significant component of that growth. It goes on to show that, with this growth, the mere decision of whether to use one model versus another became a significant contributor to valuation uncertainty. The book then focuses on equity derivative models, charting, step by step, how key assumptions on the dynamics of stocks impact on the value of exotics. The presentation is technical, but always maintains a strong focus on intuition and practical applicability to the current market.

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