Скачать книгу - Maxwell's Smile

ЭКСПЕРТНЫЙ ВЫПУСК. Анна Хомякова получив психологическое образование решила начать свою карьеру в банке, но судьба привела ее в выставочную деятельность. Сегодня SmileExpo проводит 21 мероприятие в год и предоставляет уникальные возможности инновационным сартапам в IT сфере. В ПРОГРАММЕ: – SmileExpo WTF? – Что делает выставочную деятельность захватывающей? – Как «отжать» от участия в выставке максимум пользы? – Участие в событиях SmileExpo бесплатно – это реально? – Можно ли найти инвестора на конференции? – Когда подавать заявку на участие?

The Volatility Smile The Black-Scholes-Merton option model was the greatest innovation of 20th century finance, and remains the most widely applied theory in all of finance. Despite this success, the model is fundamentally at odds with the observed behavior of option markets: a graph of implied volatilities against strike will typically display a curve or skew, which practitioners refer to as the smile, and which the model cannot explain. Option valuation is not a solved problem, and the past forty years have witnessed an abundance of new models that try to reconcile theory with markets. The Volatility Smile presents a unified treatment of the Black-Scholes-Merton model and the more advanced models that have replaced it. It is also a book about the principles of financial valuation and how to apply them. Celebrated author and quant Emanuel Derman and Michael B. Miller explain not just the mathematics but the ideas behind the models. By examining the foundations, the implementation, and the pros and cons of various models, and by carefully exploring their derivations and their assumptions, readers will learn not only how to handle the volatility smile but how to evaluate and build their own financial models. Topics covered include: The principles of valuation Static and dynamic replication The Black-Scholes-Merton model Hedging strategies Transaction costs The behavior of the volatility smile Implied distributions Local volatility models Stochastic volatility models Jump-diffusion models The first half of the book, Chapters 1 through 13, can serve as a standalone textbook for a course on option valuation and the Black-Scholes-Merton model, presenting the principles of financial modeling, several derivations of the model, and a detailed discussion of how it is used in practice. The second half focuses on the behavior of the volatility smile, and, in conjunction with the first half, can be used for as the basis for a more advanced course.

This is the first biography in twenty years of James Clerk Maxwell, one of the greatest scientists of our time and yet a man relatively unknown to the wider public. Approaching science with a freshness unbound by convention or previous expectations, he produced some of the most original scientific thinking of the nineteenth century – and his discoveries went on to shape the twentieth century.

This book deals with electromagnetic theory and its applications at the level of a senior-level undergraduate course for science and engineering. The basic concepts and mathematical analysis are clearly developed and the important applications are analyzed. Each chapter contains numerous problems ranging in difficulty from simple applications to challenging. The answers for the problems are given at the end of the book. Some chapters which open doors to more advanced topics, such as wave theory, special relativity, emission of radiation by charges and antennas, are included. The material of this book allows flexibility in the choice of the topics covered. Knowledge of basic calculus (vectors, differential equations and integration) and general physics is assumed. The required mathematical techniques are gradually introduced. After a detailed revision of time-independent phenomena in electrostatics and magnetism in vacuum, the electric and magnetic properties of matter are discussed. Induction, Maxwell equations and electromagnetic waves, their reflection, refraction, interference and diffraction are also studied in some detail. Four additional topics are introduced: guided waves, relativistic electrodynamics, particles in an electromagnetic field and emission of radiation. A useful appendix on mathematics, units and physical constants is included. Contents 1. Prologue. 2. Electrostatics in Vacuum. 3. Conductors and Currents. 4. Dielectrics. 5. Special Techniques and Approximation Methods. 6. Magnetic Field in Vacuum. 7. Magnetism in Matter. 8. Induction. 9. Maxwell’s Equations. 10. Electromagnetic Waves. 11. Reflection, Interference, Diffraction and Diffusion. 12. Guided Waves. 13. Special Relativity and Electrodynamics. 14. Motion of Charged Particles in an Electromagnetic Field. 15. Emission of Radiation.

The FX options market represents one of the most liquid and strongly competitive markets in the world, and features many technical subtleties that can seriously harm the uninformed and unaware trader. This book is a unique guide to running an FX options book from the market maker perspective. Striking a balance between mathematical rigour and market practice and written by experienced practitioner Antonio Castagna, the book shows readers how to correctly build an entire volatility surface from the market prices of the main structures. Starting with the basic conventions related to the main FX deals and the basic traded structures of FX options, the book gradually introduces the main tools to cope with the FX volatility risk. It then goes on to review the main concepts of option pricing theory and their application within a Black-Scholes economy and a stochastic volatility environment. The book also introduces models that can be implemented to price and manage FX options before examining the effects of volatility on the profits and losses arising from the hedging activity. Coverage includes: how the Black-Scholes model is used in professional trading activity the most suitable stochastic volatility models sources of profit and loss from the Delta and volatility hedging activity fundamental concepts of smile hedging major market approaches and variations of the Vanna-Volga method volatility-related Greeks in the Black-Scholes model pricing of plain vanilla options, digital options, barrier options and the less well known exotic options tools for monitoring the main risks of an FX options’ book The book is accompanied by a CD Rom featuring models in VBA, demonstrating many of the approaches described in the book.