Market Risk Analysis Vol. III. Pricing, Hedging and Trading Financial Instruments by Carol Alexander

Market Risk Analysis Vol. III. Pricing, Hedging & Trading Financial Instruments by Carol Alexander

Written by leading market risk scholar, Professor Carol Alexander, Pricing, Hedging and Trading Financial Instruments forms the third of a four-volume set of Market Risk Analysis. This book is a deep, practical and accessible guide to the models used to set prices and the strategies used to hedge financial instruments, and to the markets in which they operate. It provides a comprehensive, rigorous and accessible introduction to bonds, swaps, futures and forwards and options, including variance swaps, volatility indices and their futures and options, to stochastic volatility models and to modeling implicit and local volatility surfaces.
Taken together, the four-volume set of Market Risk Analysis illustrates virtually each concept or formula with either a practical numerical example or a longer empirical case study. In the four volumes there are approximately 300 numerical and empirical examples, 400 charts and figures, and 30 case studies, many of which are contained in interactive Excel spreadsheets available on the attached CD-ROM. The empirical examples and specific case studies in this volume include:

Duration-convexity approach to bond portfolios and portfolio immunization;
Float and vanilla prices, base exchange and variations;
Coupon stripping and yield curve adjustment;
Proxy coverage and coverage of international energy securities and futures portfolios;
Pricing Models for Exotic Europeans, including Barrier, Asian, Retrospective, Selector, Limited, Contingent, Power, Quanto, Compound, Exchange, “Best of the Best” and Propagation options;
Calibration of the Libor model;
Dynamic models for implied volatility based on principal component analysis;
Calibration of stochastic volatility models (Matlab code);
Stochastic volatility simulations and jump models;
Duration, PV01 and volatility invariant cash flow mappings;
Delta-gamma-theta-vega mapping for option portfolios;
Volatility beta mapping to volatility indices.

Forex Trading – Foreign Exchange Course

You want to learn about Forex?

Foreign exchange, or forex, is the conversion of one country’s currency into another.
In a free economy, a country’s currency is valued according to the laws of supply and demand.
In other words, a currency’s value can be pegged to another country’s currency, such as the U.S. dollar, or even to a basket of currencies.
A country’s currency value may also be set by the country’s government.
However, most countries float their currencies freely against those of other countries, which keeps them in constant fluctuation.

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