Financial models in production
type: Item
instance of: scholarly article
title: Financial models in production
zbMATH Open document ID: 1458.91006
DOI: 10.1007/978-3-030-57496-3
author: Othmane Kettani
author: Adil Reghai
published in: SpringerBriefs in Finance
publication date: 2020-10-14T00:00:00Z
review text: This book provides a self-contained investigation of volatility dynamics and the intersection of option pricing and risk management. Being built on real-life experience, it is full of innovative views and practical results. The authors show how to introduce into production the models with important features, simultaneously at the minimum cost of implementation and the maximum robustness and control. The idea is that one can implement production level models based on elementary and robust building blocks. The main building blocks for equity derivatives, which are the subject in the book, are the following: Black-Scholes formula, implied volatility calculator, local volatility pricer and a new breed of stochastic volatility. The book consists of four main chapters: General Introduction, Black and Scholes Model, Local Volatility Model and Market Model P\&L Explain (this brief title can be understood as the relation of market model with Profit and Loss equation). So, the book considers simple and realistic features of financial market, rigorously stated but from practical point of view. The book will be of interest to a wide audience, ranging from students in mathematical finance programmes to seasoned academics and quantitative engineers. Besides being useful and helpful, it sparks curiosity and brings the pleasure of learning as one moves through its chapters.
Mathematics Subject Classification ID: 91-02
Mathematics Subject Classification ID: 91B38
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 7261259
zbMATH Keywords: volatility dynamics
zbMATH Keywords: option pricing
zbMATH Keywords: risk management
zbMATH Keywords: equity derivatives
zbMATH Keywords: Black-Scholes formula
zbMATH Keywords: stochastic volatility
zbMATH Keywords: implied volatility, local volatility pricer
reviewed by: Yuliya S. Mishura
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1007/978-3-030-57496-3
OpenAlex ID: W4242994110
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description: scientific article; zbMATH DE number 7261259