Derivatives, Risk Management & Value
Mondher Bellalah
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Mondher Bellalah: Université de Cergy-Pontoise, France
in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.
Abstract:
This book covers fundamental concepts in financial markets and asset pricing such as hedging, arbitrage, speculation in different markets, classical models for pricing of simple and complex derivatives, mathematical foundations, managing and monitoring portfolios of derivatives in real time, etc. It explains different applications of these concepts using real world examples. The book also covers topics like financial markets and instruments, option pricing models, option pricing theory, exotic derivatives, second generation options, etc.
Keywords: Options; Forwards; Futures; Valuation; Hedging; Arbitrage; Speculation; Pricing (search for similar items in EconPapers)
Date: 2009
ISBN: 9789812838629
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https://www.worldscientific.com/worldscibooks/10.1142/7175 (text/html)
Ebook Access is available upon purchase
Chapters in this book:
- Ch 1 FINANCIAL MARKETS, FINANCIAL INSTRUMENTS, AND FINANCIAL CRISIS , pp 3-66
- Mondher Bellalah
- Ch 2 RISK MANAGEMENT, DERIVATIVES MARKETS AND TRADING STRATEGIES , pp 67-140
- Mondher Bellalah
- Ch 3 TRADING OPTIONS AND THEIR UNDERLYING ASSET: RISK MANAGEMENT IN DISCRETE TIME , pp 141-217
- Mondher Bellalah
- Ch 4 OPTION PRICING: THE DISCRETE-TIME APPROACH FOR STOCK OPTIONS , pp 221-258
- Mondher Bellalah
- Ch 5 CREDIT RISKS, PRICING BONDS, INTEREST RATE INSTRUMENTS, AND THE TERM STRUCTURE OF INTEREST RATES , pp 259-291
- Mondher Bellalah
- Ch 6 EXTENSIONS OF SIMPLE BINOMIAL OPTION PRICING MODELS TO INTEREST RATES AND CREDIT RISK , pp 293-326
- Mondher Bellalah
- Ch 7 DERIVATIVES AND PATH-DEPENDENT DERIVATIVES: EXTENSIONS AND GENERALIZATIONS OF THE LATTICE APPROACH BY ACCOUNTING FOR INFORMATION COSTS AND ILLIQUIDITY , pp 327-363
- Mondher Bellalah
- Ch 8 EUROPEAN OPTION PRICING MODELS: THE PRECURSORS OF THE BLACK–SCHOLES–MERTON THEORY AND HOLES DURING MARKET TURBULENCE , pp 367-402
- Mondher Bellalah
- Ch 9 SIMPLE EXTENSIONS AND APPLICATIONS OF THE BLACK–SCHOLES TYPE MODELS IN VALUATION AND RISK MANAGEMENT , pp 403-437
- Mondher Bellalah
- Ch 10 APPLICATIONS OF OPTION PRICING MODELS TO THE MONITORING AND THE MANAGEMENT OF PORTFOLIOS OF DERIVATIVES IN THE REAL WORLD , pp 439-489
- Mondher Bellalah
- Ch 11 THE DYNAMICS OF ASSET PRICES AND THE ROLE OF INFORMATION: ANALYSIS AND APPLICATIONS IN ASSET AND RISK MANAGEMENT , pp 493-533
- Mondher Bellalah
- Ch 12 RISK MANAGEMENT: APPLICATIONS TO THE PRICING OF ASSETS AND DERIVATIVES IN COMPLETE MARKETS , pp 535-581
- Mondher Bellalah
- Ch 13 SIMPLE EXTENSIONS AND GENERALIZATIONS OF THE BLACK–SCHOLES TYPE MODELS IN THE PRESENCE OF INFORMATION COSTS , pp 583-612
- Mondher Bellalah
- Ch 14 EXTENSION OF ASSET AND RISK MANAGEMENT IN THE PRESENCE OF AMERICAN OPTIONS: DIVIDENDS, EARLY EXERCISE, AND INFORMATION UNCERTAINTY , pp 615-666
- Mondher Bellalah
- Ch 15 RISK MANAGEMENT OF BONDS AND INTEREST RATE SENSITIVE INSTRUMENTS IN THE PRESENCE OF STOCHASTIC INTEREST RATES AND INFORMATION UNCERTAINTY: THEORY AND TESTS , pp 667-702
- Mondher Bellalah
- Ch 16 MODELS OF INTEREST RATES, INTEREST-RATE SENSITIVE INSTRUMENTS, AND THE PRICING OF BONDS: THEORY AND TESTS , pp 703-741
- Mondher Bellalah
- Ch 17 EXTREME MARKET MOVEMENTS, RISK AND ASSET MANAGEMENT: GENERALIZATION TO JUMP PROCESSES, STOCHASTIC VOLATILITIES, AND INFORMATION COSTS , pp 745-769
- Mondher Bellalah
- Ch 18 RISK MANAGEMENT DURING ABNORMAL MARKET CONDITIONS: FURTHER GENERALIZATION TO JUMP PROCESSES, STOCHASTIC VOLATILITIES, AND INFORMATION COSTS , pp 771-798
- Mondher Bellalah
- Ch 19 RISK MANAGEMENT, NUMERICAL METHODS AND OPTION PRICING , pp 801-831
- Mondher Bellalah
- Ch 20 NUMERICAL METHODS AND PARTIAL DIFFERENTIAL EQUATIONS FOR EUROPEAN AND AMERICAN DERIVATIVES WITH COMPLETE AND INCOMPLETE INFORMATION , pp 833-873
- Mondher Bellalah
- Ch 21 RISK MANAGEMENT: EXOTICS AND SECOND-GENERATION OPTIONS , pp 877-915
- Mondher Bellalah
- Ch 22 VALUE AT RISK, CREDIT RISK, AND CREDIT DERIVATIVES , pp 917-941
- Mondher Bellalah
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