Volume III: MODELLING FINANCIAL INSTRUMENTS As a set these books are a radical update and revision of Market Models: a Guide to Financial Data Analysis. They provide a rigorous explanation of the key theoretical ideas that market model developers are faced with, in practical, clear terms. Developers are faced with many decisions, about the pricing, the data, the statistical methodology and the calibration and testing of the model prior to implementation therefore these books help risk managers, quantitative traders and investment analysts make the right decisions. The emphasis throughout is in understanding concepts and implementing solutions, assisted by the use of real-world examples both in the text and, interactively, on the accompanying CDs. All of the CDs contain VBA code factor models for Equity Portfolios; Futures and Forwards; Options; modelling Volatility and hedging Options Portfolios. All material is supported by real-world case studies using Excel spreadsheets and an accompanying CD so that the reader is provided with complete solutions.
Book Details:
- Author: Carol Alexander
- ISBN: 9780470772812
- Year Published: 2008
- Pages: 416
- BISAC: BUS027000, BUSINESS & ECONOMICS/Finance
About the Book and Topic:
Volume III: MODELLING FINANCIAL INSTRUMENTS As a set these books are a radical update and revision of Market Models: a Guide to Financial Data Analysis. They provide a rigorous explanation of the key theoretical ideas that market model developers are faced with, in practical, clear terms. Developers are faced with many decisions, about the pricing, the data, the statistical methodology and the calibration and testing of the model prior to implementation therefore these books help risk managers, quantitative traders and investment analysts make the right decisions. The emphasis throughout is in understanding concepts and implementing solutions, assisted by the use of real-world examples both in the text and, interactively, on the accompanying CDs. All of the CDs contain VBA code factor models for Equity Portfolios; Futures and Forwards; Options; modelling Volatility and hedging Options Portfolios. All material is supported by real-world case studies using Excel spreadsheets and an accompanying CD so that the reader is provided with complete solutions.
Financial instruments is a term used to denote any form of funding medium – mostly those used for borrowing in money markets, e. g. bills of exchange, bonds, etc. Financial instruments can be categorised by form depending on whether they are cash instruments or derivative instruments: Cash instruments are financial instruments whose value is determined directly by markets. They can be divided into securities, which are readily transferable, and other cash instruments such as loans and deposits, where both borrower and lender have to agree on a transfer. Derivative instruments are financial instruments which derive their value from some other financial instrument or variable. They can be divided into exchange-traded derivatives and over-the-counter (OTC) derivatives. Alternatively they can be categorised by “asset class” depending on whether they are equity based (reflecting ownership of the issuing entity) or debt based (reflecting a loan the investor has made to the issuing entity). If it is debt, it can be further categorised into short term (less than one year) or long term.
AUTHOR TRACK RECORD: Authors previous work Market Models has sold 10,000 copies to date AUTHOR REPUTATION: Author is very well-respected and is recognized in both academic and practitioner communities PRACTICAL BOOK: Numerous real world applications throughout
About the Author
Carol Alexander, Reading UK is Professor of Risk Management and Director of Research at the ICMA Centre, Reading University, UK. Prior to this post, she held positions in both academia and financial institutions at: Gemente Universiteit in Amsterdam; UBS Phillips and Drew; The University of Sussex; Algorithmics Inc. and Nikko Global Holdings. Carol was a lecturer in Mathematics and Economics for 13 years at Sussex University. From 1996 to 1998 she also worked part-time in the industry, as Academic Director of Algorithmics, a large international enterprise-wide risk management software company. Following this, she worked briefly as full-time Director of Nikko Global Holdings, before returning to Academia. Carol has a PhD in Algebraic Number Theory and a first class BSc in Mathematics with Experimental Psychology from Sussex University and an MSc in Econometrics and Mathematical Economics from the London School of Economics. She holds an honorary professorship at the Academy of Economic Studies in Bucharest. She is Chair of the Academic Advisory Council of the Professional Risk Management InternationalAssociation (PRMIA) risk research advisor for the software company SAS, and director of 2021 solutions Carol has published numerous papers in international academic and professional journals. Her current research interests are in continuous and discrete time volatility and correlation analysis, hedge funds, multifactor pricing models and operational risk. She has edited several books, and is author of Market Models: A Guide to Financial Data Analysis (John Wiley 2001). Since 1990 the professional side of Carol’s career has focussed on developing mathematical models for risk management and investment analysis. Most of her consultancy work involves the design of software for risk management, portfolio optimization and trading.