Market Risk Analysis, Pricing, Hedging and Trading Financial Instruments (Repost)

Written by leading market risk academic, Professor Carol Alexander,Pricing, Hedging and Trading Financial Instruments forms part threeof the Market Risk Analysis four volume set. This book is anin-depth, practical and accessible guide to the models that areused for pricing and the strategies that are used for hedgingfinancial instruments, and to the markets in which they trade. Itprovides a comprehensive, rigorous and accessible introduction tobonds, swaps, futures and forwards and options, including varianceswaps, volatility indices and their futures and options, tostochastic volatility models and to modelling the implied and localvolatility surfaces.

All together, the Market Risk Analysis four volume setillustrates virtually every concept or formula with a practical,numerical example or a longer, empirical case study. Across allfour volumes there are approximately 300 numerical and empiricalexamples, 400 graphs and figures and 30 case studies many of whichare contained in interactive Excel spreadsheets available from thethe accompanying CD-ROM . Empirical examples and case studiesspecific to this volume include:
- Duration-Convexity approximation to bond portfolios, andportfolio immunization;
- Pricing floaters and vanilla, basis and variance swaps;
- Coupon stripping and yield curve fitting;
- Proxy hedging, and hedging international securities and energyfutures portfolios;
- Pricing models for European exotics, including barriers,Asians, look-backs, choosers, capped, contingent, power, quanto,compo, exchange, ‘best-of’ and spread options;
- Libor model calibration;
- Dynamic models for implied volatility based on principalcomponent analysis;
- Calibration of stochastic volatility models (Matlab code);
- Simulations from stochastic volatility and jump models;
- Duration, PV01 and volatility invariant cash flowmappings;
- Delta-gamma-theta-vega mappings for options portfolios;
- Volatility beta mapping to volatility indices.