Written by a leading practitioner and two leading academics, this book provides complete coverage of all of the leading methods for modelling basket products and addresses the multivariate structures involved. Part I of the book covers the statistical approach to modelling commodities and equities, including correlation, copulas and weighted Monte carlo and Part II covers the Asymptotic and PDE approach to modelling leading commodity and equity basket products, including Black-Scholes, diffusion models and volatility models. The authors provide all of the necessary machinery for pricing and hedging these products with coverage of the most common mistakes and problems encountered.
- ISBN10 0470665165
- ISBN13 9780470665169
- Publish Date 14 June 2010
- Publish Status Active
- Out of Print 22 September 2016
- Publish Country GB
- Publisher John Wiley and Sons Ltd
- Imprint John Wiley & Sons Ltd
- Format Hardcover
- Pages 224
- Language English