Financial modelling (Record no. 12091)
[ view plain ]
| 000 -LEADER | |
|---|---|
| fixed length control field | 07688cam a2201117 a 4500 |
| 001 - CONTROL NUMBER | |
| control field | ocn803474283 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | OCoLC |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20171224114028.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION | |
| fixed length control field | m o d |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr |n||||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 120731s2012 nju ob 001 0 eng |
| 010 ## - LIBRARY OF CONGRESS CONTROL NUMBER | |
| LC control number | 2012030997 |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | DLC |
| Language of cataloging | eng |
| Description conventions | pn |
| Transcribing agency | DLC |
| Modifying agency | YDX |
| -- | CDX |
| -- | N$T |
| -- | YDXCP |
| -- | EBLCP |
| -- | U9X |
| -- | OCLCF |
| -- | CUI |
| -- | DG1 |
| -- | TEFOD |
| -- | DEBSZ |
| -- | STF |
| -- | DKDLA |
| -- | E7B |
| -- | UKMGB |
| -- | MHW |
| -- | NKT |
| -- | TEFOD |
| -- | OCLCQ |
| -- | OCLCO |
| -- | COO |
| -- | AZK |
| -- | DG1 |
| 016 7# - NATIONAL BIBLIOGRAPHIC AGENCY CONTROL NUMBER | |
| Record control number | 016111222 |
| Source | Uk |
| 019 ## - | |
| -- | 809977254 |
| -- | 811504960 |
| -- | 815507880 |
| -- | 862507025 |
| -- | 961497061 |
| -- | 962650122 |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781118413296 |
| Qualifying information | (ePub) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1118413296 |
| Qualifying information | (ePub) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781118413302 |
| Qualifying information | (MobiPocket) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 111841330X |
| Qualifying information | (MobiPocket) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781118413319 |
| Qualifying information | (Adobe PDF) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1118413318 |
| Qualifying information | (Adobe PDF) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781118818565 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 1118818563 |
| Qualifying information | (electronic bk.) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 9780470744895 |
| Qualifying information | (cloth) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 0470744898 |
| 024 8# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 9786613905468 |
| 029 1# - (OCLC) | |
| OCLC library identifier | AU@ |
| System control number | 000049681152 |
| 029 1# - (OCLC) | |
| OCLC library identifier | CHNEW |
| System control number | 000620778 |
| 029 1# - (OCLC) | |
| OCLC library identifier | CHVBK |
| System control number | 303186690 |
| 029 1# - (OCLC) | |
| OCLC library identifier | DEBBG |
| System control number | BV041053676 |
| 029 1# - (OCLC) | |
| OCLC library identifier | DEBSZ |
| System control number | 397379552 |
| 029 1# - (OCLC) | |
| OCLC library identifier | DEBSZ |
| System control number | 431218153 |
| 029 1# - (OCLC) | |
| OCLC library identifier | DKDLA |
| System control number | 820120-katalog:000600220 |
| 029 1# - (OCLC) | |
| OCLC library identifier | NZ1 |
| System control number | 14926883 |
| 029 1# - (OCLC) | |
| OCLC library identifier | NZ1 |
| System control number | 15290990 |
| 029 1# - (OCLC) | |
| OCLC library identifier | DEBSZ |
| System control number | 449322491 |
| 029 1# - (OCLC) | |
| OCLC library identifier | DEBBG |
| System control number | BV041877185 |
| 035 ## - SYSTEM CONTROL NUMBER | |
| System control number | (OCoLC)803474283 |
| Canceled/invalid control number | (OCoLC)809977254 |
| -- | (OCoLC)811504960 |
| -- | (OCoLC)815507880 |
| -- | (OCoLC)862507025 |
| -- | (OCoLC)961497061 |
| -- | (OCoLC)962650122 |
| 037 ## - SOURCE OF ACQUISITION | |
| Stock number | 390546 |
| Source of stock number/acquisition | MIL |
| 037 ## - SOURCE OF ACQUISITION | |
| Stock number | 0BC8539D-0336-4C38-81C6-90FC6B9063B8 |
| Source of stock number/acquisition | OverDrive, Inc. |
| Note | http://www.overdrive.com |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | pcc |
| 050 00 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HG106 |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | FIN |
| Source | eflch |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | BUS |
| Subject category code subdivision | 027000 |
| Source | bisacsh |
| 082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.0285/53 |
| Edition number | 23 |
| 049 ## - LOCAL HOLDINGS (OCLC) | |
| Holding library | MAIN |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Kienitz, Joerg. |
| 245 10 - TITLE STATEMENT | |
| Title | Financial modelling |
| Medium | [electronic resource] : |
| Remainder of title | theory, implementation and practice (with Matlab source) / |
| Statement of responsibility, etc | Joerg Kienitz, Daniel Wetterau. |
| 246 3# - VARYING FORM OF TITLE | |
| Title proper/short title | Financial modeling |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication, distribution, etc | Chichester, West Sussex, UK : |
| Name of publisher, distributor, etc | John Wiley & Sons Ltd, |
| Date of publication, distribution, etc | 2012. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource. |
| 336 ## - | |
| -- | text |
| -- | txt |
| -- | rdacontent |
| 337 ## - | |
| -- | computer |
| -- | c |
| -- | rdamedia |
| 338 ## - | |
| -- | online resource |
| -- | cr |
| -- | rdacarrier |
| 347 ## - | |
| -- | data file |
| -- | rda |
| 380 ## - | |
| -- | Bibliography |
| 490 1# - SERIES STATEMENT | |
| Series statement | Wiley finance |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE | |
| Bibliography, etc | Includes bibliographical references and index. |
| 588 0# - | |
| -- | Print version record and CIP data provided by publisher. |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Financial Modelling; Contents; Introduction; 1 Introduction and Management Summary; 2 Why We Have Written this Book; 3 Why You Should Read this Book; 4 The Audience; 5 The Structure of this Book; 6 What this Book Does Not Cover; 7 Credits; 8 Code; PART I FINANCIAL MARKETS AND POPULAR MODELS; 1 Financial Markets -- Data, Basics and Derivatives; 1.1 Introduction and Objectives; 1.2 Financial Time-Series, Statistical Properties of Market Data and Invariants; 1.2.1 Real World Distribution; 1.3 Implied Volatility Surfaces and Volatility Dynamics; 1.3.1 Is There More than just a Volatility? |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 1.3.2 Implied Volatility1.3.3 Time-Dependent Volatility; 1.3.4 Stochastic Volatility; 1.3.5 Volatility from Jumps; 1.3.6 Traders' Rule of Thumb; 1.3.7 The Risk Neutral Density; 1.4 Applications; 1.4.1 Asset Allocation; 1.4.2 Pricing, Hedging and Risk Management; 1.5 General Remarks on Notation; 1.6 Summary and Conclusions; 1.7 Appendix -- Quotes; 2 Diffusion Models; 2.1 Introduction and Objectives; 2.2 Local Volatility Models; 2.2.1 The Bachelier and the Black-Scholes Model; 2.2.2 The Hull-White Model; 2.2.3 The Constant Elasticity of Variance Model; 2.2.4 The Displaced Diffusion Model. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 2.2.5 CEV and DD Models2.3 Stochastic Volatility Models; 2.3.1 Pricing European Options; 2.3.2 Risk Neutral Density; 2.3.3 The Heston Model (and Extensions); 2.3.4 The SABR Model; 2.3.5 SABR -- Further Remarks; 2.4 Stochastic Volatility and Stochastic Rates Models; 2.4.1 The Heston-Hull-White Model; 2.5 Summary and Conclusions; 3 Models with Jumps; 3.1 Introduction and Objectives; 3.2 Poisson Processes and Jump Diffusions; 3.2.1 Poisson Processes; 3.2.2 The Merton Model; 3.2.3 The Bates Model; 3.2.4 The Bates-Hull-White Model; 3.3 Exponential Lévy Models; 3.3.1 The Variance Gamma Model. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 3.3.2 The Normal Inverse Gaussian Model3.4 Other Models; 3.4.1 Exponential Lévy Models with Stochastic Volatility; 3.4.2 Stochastic Clocks; 3.5 Martingale Correction; 3.6 Summary and Conclusions; 4 Multi-Dimensional Models; 4.1 Introduction and Objectives; 4.2 Multi-Dimensional Diffusions; 4.2.1 GBM Baskets; 4.2.2 Libor Market Models; 4.3 Multi-Dimensional Heston and SABR Models; 4.3.1 Stochastic Volatility Models; 4.4 Parameter Averaging; 4.4.1 Applications to CMS Spread Options; 4.5 Markovian Projection; 4.5.1 Baskets with Local Volatility. |
| 505 8# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 4.5.2 Markovian Projection on Local Volatility and Heston Models4.5.3 Markovian Projection onto DD SABR Models; 4.6 Copulae; 4.6.1 Measures of Concordance and Dependency; 4.6.2 Examples; 4.6.3 Elliptical Copulae; 4.6.4 Archimedean Copulae; 4.6.5 Building New Copulae from Given Copulae; 4.6.6 Asymmetric Copulae; 4.6.7 Applying Copulae to Option Pricing; 4.6.8 Applying Copulae to Asset Allocation; 4.7 Multi-Dimensional Variance Gamma Processes; 4.8 Summary and Conclusions; PART II NUMERICAL METHODS AND RECIPES; 5 Option Pricing by Transform Techniques and Direct Integration. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | Financial Modelling - Theory, Implementation and Practice is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving prices and Greeks using (semi- ) analytic and simulation techniques, and calibration even for exotic options. The book is split into three parts. The first part considers f. |
| 630 00 - SUBJECT ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | MATLAB. |
| 630 07 - SUBJECT ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | MATLAB. |
| Source of heading or term | fast |
| -- | (OCoLC)fst01365096 |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance |
| General subdivision | Mathematical models. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Numerical analysis. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance |
| General subdivision | Mathematical models |
| -- | Computer programs. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Numerical analysis |
| General subdivision | Computer programs. |
| 650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance |
| General subdivision | Mathematical models. |
| 650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance |
| General subdivision | Mathematical models |
| -- | Computer programs. |
| 650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | MATLAB. |
| 650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Numerical analysis |
| General subdivision | Computer programs. |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | BUSINESS & ECONOMICS |
| General subdivision | Finance. |
| Source of heading or term | bisacsh |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance |
| General subdivision | Mathematical models. |
| Source of heading or term | fast |
| -- | (OCoLC)fst00924398 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance |
| General subdivision | Mathematical models |
| -- | Computer programs. |
| Source of heading or term | fast |
| -- | (OCoLC)fst00924399 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Numerical analysis. |
| Source of heading or term | fast |
| -- | (OCoLC)fst01041273 |
| 650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Numerical analysis |
| General subdivision | Computer programs. |
| Source of heading or term | fast |
| -- | (OCoLC)fst01041276 |
| 655 #4 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| 655 #0 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| 655 #7 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| Source of term | local |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Wetterau, Daniel, |
| Dates associated with a name | 1981- |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Print version: |
| Main entry heading | Kienitz, Joerg. |
| Title | Financial modelling. |
| Place, publisher, and date of publication | Hoboken, N.J. : Wiley, 2012 |
| International Standard Book Number | 9780470744895 |
| Record control number | (DLC) 2012029238 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | Wiley finance series. |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | http://onlinelibrary.wiley.com/book/10.1002/9781118818565 |
| Public note | Wiley Online Library |
| 938 ## - | |
| -- | Coutts Information Services |
| -- | COUT |
| -- | 23409067 |
| -- | 70.00 GBP |
| 938 ## - | |
| -- | EBL - Ebook Library |
| -- | EBLB |
| -- | EBL1020709 |
| 938 ## - | |
| -- | ebrary |
| -- | EBRY |
| -- | ebr10598744 |
| 938 ## - | |
| -- | EBSCOhost |
| -- | EBSC |
| -- | 480265 |
| 938 ## - | |
| -- | YBP Library Services |
| -- | YANK |
| -- | 9654975 |
| 938 ## - | |
| -- | YBP Library Services |
| -- | YANK |
| -- | 11129856 |
| 938 ## - | |
| -- | YBP Library Services |
| -- | YANK |
| -- | 12672530 |
| 994 ## - | |
| -- | 92 |
| -- | DG1 |
No items available.