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Financial modelling (Record no. 12091)

000 -LEADER
fixed length control field 07688cam a2201117 a 4500
001 - CONTROL NUMBER
control field ocn803474283
003 - CONTROL NUMBER IDENTIFIER
control field OCoLC
005 - DATE AND TIME OF LATEST TRANSACTION
control field 20171224114028.0
006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION
fixed length control field m o d
007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION
fixed length control field cr |n|||||||||
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION
fixed length control field 120731s2012 nju ob 001 0 eng
010 ## - LIBRARY OF CONGRESS CONTROL NUMBER
LC control number 2012030997
040 ## - CATALOGING SOURCE
Original cataloging agency DLC
Language of cataloging eng
Description conventions pn
Transcribing agency DLC
Modifying agency YDX
-- CDX
-- N$T
-- YDXCP
-- EBLCP
-- U9X
-- OCLCF
-- CUI
-- DG1
-- TEFOD
-- DEBSZ
-- STF
-- DKDLA
-- E7B
-- UKMGB
-- MHW
-- NKT
-- TEFOD
-- OCLCQ
-- OCLCO
-- COO
-- AZK
-- DG1
016 7# - NATIONAL BIBLIOGRAPHIC AGENCY CONTROL NUMBER
Record control number 016111222
Source Uk
019 ## -
-- 809977254
-- 811504960
-- 815507880
-- 862507025
-- 961497061
-- 962650122
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781118413296
Qualifying information (ePub)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 1118413296
Qualifying information (ePub)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781118413302
Qualifying information (MobiPocket)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 111841330X
Qualifying information (MobiPocket)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781118413319
Qualifying information (Adobe PDF)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 1118413318
Qualifying information (Adobe PDF)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 9781118818565
Qualifying information (electronic bk.)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
International Standard Book Number 1118818563
Qualifying information (electronic bk.)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
Cancelled/invalid ISBN 9780470744895
Qualifying information (cloth)
020 ## - INTERNATIONAL STANDARD BOOK NUMBER
Cancelled/invalid ISBN 0470744898
024 8# - OTHER STANDARD IDENTIFIER
Standard number or code 9786613905468
029 1# - (OCLC)
OCLC library identifier AU@
System control number 000049681152
029 1# - (OCLC)
OCLC library identifier CHNEW
System control number 000620778
029 1# - (OCLC)
OCLC library identifier CHVBK
System control number 303186690
029 1# - (OCLC)
OCLC library identifier DEBBG
System control number BV041053676
029 1# - (OCLC)
OCLC library identifier DEBSZ
System control number 397379552
029 1# - (OCLC)
OCLC library identifier DEBSZ
System control number 431218153
029 1# - (OCLC)
OCLC library identifier DKDLA
System control number 820120-katalog:000600220
029 1# - (OCLC)
OCLC library identifier NZ1
System control number 14926883
029 1# - (OCLC)
OCLC library identifier NZ1
System control number 15290990
029 1# - (OCLC)
OCLC library identifier DEBSZ
System control number 449322491
029 1# - (OCLC)
OCLC library identifier DEBBG
System control number BV041877185
035 ## - SYSTEM CONTROL NUMBER
System control number (OCoLC)803474283
Canceled/invalid control number (OCoLC)809977254
-- (OCoLC)811504960
-- (OCoLC)815507880
-- (OCoLC)862507025
-- (OCoLC)961497061
-- (OCoLC)962650122
037 ## - SOURCE OF ACQUISITION
Stock number 390546
Source of stock number/acquisition MIL
037 ## - SOURCE OF ACQUISITION
Stock number 0BC8539D-0336-4C38-81C6-90FC6B9063B8
Source of stock number/acquisition OverDrive, Inc.
Note http://www.overdrive.com
042 ## - AUTHENTICATION CODE
Authentication code pcc
050 00 - LIBRARY OF CONGRESS CALL NUMBER
Classification number HG106
072 #7 - SUBJECT CATEGORY CODE
Subject category code FIN
Source eflch
072 #7 - SUBJECT CATEGORY CODE
Subject category code BUS
Subject category code subdivision 027000
Source bisacsh
082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER
Classification number 332.0285/53
Edition number 23
049 ## - LOCAL HOLDINGS (OCLC)
Holding library MAIN
100 1# - MAIN ENTRY--PERSONAL NAME
Personal name Kienitz, Joerg.
245 10 - TITLE STATEMENT
Title Financial modelling
Medium [electronic resource] :
Remainder of title theory, implementation and practice (with Matlab source) /
Statement of responsibility, etc Joerg Kienitz, Daniel Wetterau.
246 3# - VARYING FORM OF TITLE
Title proper/short title Financial modeling
260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication, distribution, etc Chichester, West Sussex, UK :
Name of publisher, distributor, etc John Wiley & Sons Ltd,
Date of publication, distribution, etc 2012.
300 ## - PHYSICAL DESCRIPTION
Extent 1 online resource.
336 ## -
-- text
-- txt
-- rdacontent
337 ## -
-- computer
-- c
-- rdamedia
338 ## -
-- online resource
-- cr
-- rdacarrier
347 ## -
-- data file
-- rda
380 ## -
-- Bibliography
490 1# - SERIES STATEMENT
Series statement Wiley finance
504 ## - BIBLIOGRAPHY, ETC. NOTE
Bibliography, etc Includes bibliographical references and index.
588 0# -
-- Print version record and CIP data provided by publisher.
505 0# - FORMATTED CONTENTS NOTE
Formatted contents note Financial Modelling; Contents; Introduction; 1 Introduction and Management Summary; 2 Why We Have Written this Book; 3 Why You Should Read this Book; 4 The Audience; 5 The Structure of this Book; 6 What this Book Does Not Cover; 7 Credits; 8 Code; PART I FINANCIAL MARKETS AND POPULAR MODELS; 1 Financial Markets -- Data, Basics and Derivatives; 1.1 Introduction and Objectives; 1.2 Financial Time-Series, Statistical Properties of Market Data and Invariants; 1.2.1 Real World Distribution; 1.3 Implied Volatility Surfaces and Volatility Dynamics; 1.3.1 Is There More than just a Volatility?
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note 1.3.2 Implied Volatility1.3.3 Time-Dependent Volatility; 1.3.4 Stochastic Volatility; 1.3.5 Volatility from Jumps; 1.3.6 Traders' Rule of Thumb; 1.3.7 The Risk Neutral Density; 1.4 Applications; 1.4.1 Asset Allocation; 1.4.2 Pricing, Hedging and Risk Management; 1.5 General Remarks on Notation; 1.6 Summary and Conclusions; 1.7 Appendix -- Quotes; 2 Diffusion Models; 2.1 Introduction and Objectives; 2.2 Local Volatility Models; 2.2.1 The Bachelier and the Black-Scholes Model; 2.2.2 The Hull-White Model; 2.2.3 The Constant Elasticity of Variance Model; 2.2.4 The Displaced Diffusion Model.
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note 2.2.5 CEV and DD Models2.3 Stochastic Volatility Models; 2.3.1 Pricing European Options; 2.3.2 Risk Neutral Density; 2.3.3 The Heston Model (and Extensions); 2.3.4 The SABR Model; 2.3.5 SABR -- Further Remarks; 2.4 Stochastic Volatility and Stochastic Rates Models; 2.4.1 The Heston-Hull-White Model; 2.5 Summary and Conclusions; 3 Models with Jumps; 3.1 Introduction and Objectives; 3.2 Poisson Processes and Jump Diffusions; 3.2.1 Poisson Processes; 3.2.2 The Merton Model; 3.2.3 The Bates Model; 3.2.4 The Bates-Hull-White Model; 3.3 Exponential Lévy Models; 3.3.1 The Variance Gamma Model.
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note 3.3.2 The Normal Inverse Gaussian Model3.4 Other Models; 3.4.1 Exponential Lévy Models with Stochastic Volatility; 3.4.2 Stochastic Clocks; 3.5 Martingale Correction; 3.6 Summary and Conclusions; 4 Multi-Dimensional Models; 4.1 Introduction and Objectives; 4.2 Multi-Dimensional Diffusions; 4.2.1 GBM Baskets; 4.2.2 Libor Market Models; 4.3 Multi-Dimensional Heston and SABR Models; 4.3.1 Stochastic Volatility Models; 4.4 Parameter Averaging; 4.4.1 Applications to CMS Spread Options; 4.5 Markovian Projection; 4.5.1 Baskets with Local Volatility.
505 8# - FORMATTED CONTENTS NOTE
Formatted contents note 4.5.2 Markovian Projection on Local Volatility and Heston Models4.5.3 Markovian Projection onto DD SABR Models; 4.6 Copulae; 4.6.1 Measures of Concordance and Dependency; 4.6.2 Examples; 4.6.3 Elliptical Copulae; 4.6.4 Archimedean Copulae; 4.6.5 Building New Copulae from Given Copulae; 4.6.6 Asymmetric Copulae; 4.6.7 Applying Copulae to Option Pricing; 4.6.8 Applying Copulae to Asset Allocation; 4.7 Multi-Dimensional Variance Gamma Processes; 4.8 Summary and Conclusions; PART II NUMERICAL METHODS AND RECIPES; 5 Option Pricing by Transform Techniques and Direct Integration.
520 ## - SUMMARY, ETC.
Summary, etc Financial Modelling - Theory, Implementation and Practice is a unique combination of quantitative techniques, the application to financial problems and programming using Matlab. The book enables the reader to model, design and implement a wide range of financial models for derivatives pricing and asset allocation, providing practitioners with complete financial modelling workflow, from model choice, deriving prices and Greeks using (semi- ) analytic and simulation techniques, and calibration even for exotic options. The book is split into three parts. The first part considers f.
630 00 - SUBJECT ADDED ENTRY--UNIFORM TITLE
Uniform title MATLAB.
630 07 - SUBJECT ADDED ENTRY--UNIFORM TITLE
Uniform title MATLAB.
Source of heading or term fast
-- (OCoLC)fst01365096
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Finance
General subdivision Mathematical models.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Numerical analysis.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Finance
General subdivision Mathematical models
-- Computer programs.
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Numerical analysis
General subdivision Computer programs.
650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Finance
General subdivision Mathematical models.
650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Finance
General subdivision Mathematical models
-- Computer programs.
650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element MATLAB.
650 #4 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Numerical analysis
General subdivision Computer programs.
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element BUSINESS & ECONOMICS
General subdivision Finance.
Source of heading or term bisacsh
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Finance
General subdivision Mathematical models.
Source of heading or term fast
-- (OCoLC)fst00924398
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Finance
General subdivision Mathematical models
-- Computer programs.
Source of heading or term fast
-- (OCoLC)fst00924399
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Numerical analysis.
Source of heading or term fast
-- (OCoLC)fst01041273
650 #7 - SUBJECT ADDED ENTRY--TOPICAL TERM
Topical term or geographic name as entry element Numerical analysis
General subdivision Computer programs.
Source of heading or term fast
-- (OCoLC)fst01041276
655 #4 - INDEX TERM--GENRE/FORM
Genre/form data or focus term Electronic books.
655 #0 - INDEX TERM--GENRE/FORM
Genre/form data or focus term Electronic books.
655 #7 - INDEX TERM--GENRE/FORM
Genre/form data or focus term Electronic books.
Source of term local
700 1# - ADDED ENTRY--PERSONAL NAME
Personal name Wetterau, Daniel,
Dates associated with a name 1981-
776 08 - ADDITIONAL PHYSICAL FORM ENTRY
Display text Print version:
Main entry heading Kienitz, Joerg.
Title Financial modelling.
Place, publisher, and date of publication Hoboken, N.J. : Wiley, 2012
International Standard Book Number 9780470744895
Record control number (DLC) 2012029238
830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE
Uniform title Wiley finance series.
856 40 - ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier http://onlinelibrary.wiley.com/book/10.1002/9781118818565
Public note Wiley Online Library
938 ## -
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-- COUT
-- 23409067
-- 70.00 GBP
938 ## -
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938 ## -
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938 ## -
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938 ## -
-- YBP Library Services
-- YANK
-- 12672530
994 ## -
-- 92
-- DG1

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