Title Financial geometry : geometric approach to hedging and risk management / Alvin Kuruc

Published New York : Financial Times/Prentice Hall, [2003] ©2003

Copies

Location	Call no.	Vol.	Availability
MELB	332.645 Kur/Fga		AVAILABLE

Description xxvi, 381 pages : illustrations ; 25 cm Series Professional finance series Professional finance series. Contents Pt. I. Foundations -- 1. Marking to market -- 2. Valuation techniques -- 3. Introduction to risk management -- 4. Classical bond geometry -- 5. Modern bond geometry -- Pt. II. Asset values -- 6. Interpolation -- 7. Interest-rate hedging -- 8. Foreign-currency geometry -- 9. Demand-deposit geometry -- 10. Asset-value geometry -- Pt. III. Metrics -- 11. Value at risk -- 12. Risk-factor mapping -- 13. Risk contributions -- 14. Variance/covariance hedging -- Pt. IV. Implied volatility -- 15. Option geometry -- 16. Volatility curves -- 17. Volatility surfaces -- 18. Valuation models -- A. The dimension of time -- B. Black-Scholes and Bachelier calculations -- C. Index of notation Bibliography Includes bibliographical references and index Subject Hedging (Finance) Risk management. LC no. 2003053120 ISBN 0273661965 alkaline paper

  Permalink