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Financial Geometry: A Geometric Approach to Hedging and Risk Management By: Alvin Kuruc Normal price: 80 Our price: 68 + postage Bargain: save £12 ! Product code: 16448 ISBN: 0273661965 256 pages Format: Hb Published by: FT Prentice Hall, 2003, 1st edition There are no reviews available for this book Description of Financial Geometry: A Geometric Approach to Hedging and Risk Management Most large institutions have multiple sources of financial risk with a lack of adequate risk control systems.. How does one go about collating the information gathered from various source systems into an overall picture of risk at the enterprise-wide level? The mathematical foundations for the valuation of financial derivatives have become well established over the past 30 years and this book gives a mathematical introduction to financial risk-management and hedging techniques. The emphasis is on techniques for dealing with large numbers of correlated risk factors, notably the term structure of interest rates, and for combining valuation information obtained from heterogeneous trading systems into a coherent picture of enterprise-wide risk. The material is presented using differential geometry as a unifying theme. The practical task of organising risk information often requires a number of messy and confusing calculations that are apparently ad hoc. Financial Geometry shows how computational machinery can be applied to reduce these problems to mechanical calculations. Synopsis This work on mathematical finance offers practical guidance on how to underpin efficient risk management systems. The emphasis is on techniques for dealing with large numbers of correlated risk factors. Financial Geometry: A Geometric Approach to Hedging and Risk Management - Chapter headings Contents Preface Acknowledgements 1. Black–Scholes "Greeks" 1.1 Equities 1.2 Foreign Exchange 1.3 Interest Rates 2. Sensitivities for Equity and FX Models 2.1 Bachelier Model 2.2 Nuisance Parameters 2.3 Reconciling Deltas 2.4 Reconciling Vegas 3. Sensitivities for Interest Rate Models 3.1 Duration 3.1.1 Tradition Definition of Duration 3.1.2 Option-Adjusted Duration 3.1.3 Key-Rate Duration 3.2 Convexity and Multivariate Gamma 3.3 Interest Rate Hedging 3.3.1 Cashflow hedging 3.3.2 Duration hedging 3.3.3 "Curve" hedging 3.3.4 Perturbation hedging 3.4 Cap and Swaption Deltas 3.4.1 Sensitivities to LIBOR Rates 3.4.2 Sensitivities to Swap Rates 3.4.3 Reconciling IR Deltas 3.5 Cap and Swaption Vegas 3.5.1 Sensitivities to LIBOR Volatilities 3.5.2 Sensitivities to Swap Rate Volatilities 3.5.3 Relationship between Vegas with respect to LIBOR and Swap Rates 3.5.4 Using BGM/J as a Base Model 4. Sensitivities for Variance/Covariance Analyses 4.1 General Remarks on Risk Factors 4.2 Homogeneous Coordinate Representation of FX Rates 4.3 Change the Base Currency of Sensitivities 4.4 Asset-Flow Values 4.5 Delta-Equivalent Cashflows 4.6 Present-Value Exposures 4.7 Numerical Methods 5. Multivariate Vega Analysis 5.1 Black–Scholes Volatility Surface 5.2 Local Volatility Surface 5.3 Implied Probability Distribution 6. Geometry of Variance/Covariance Analyses 6.1 RiskMetrics Methodology for Value at Risk 6.2 Risk Decomposition 6.3 Minimum VaR Hedging 6.4 Benchmarking 6.4.1 Composite Indices Appendix A. Malliavin Calculus Appendix B. Differentiation of Stochastic Functions Authobiography of Alvin Kuruc Alvin Kuruc is Managing Director of Risk Products at NumeriX LLC (vendor of advanced pricing models for complex financial derivatives). Kuruc has written numerous publications and has made many presentations at industry conferences on statistically based hedging tools and the design of enterprise-wide risk -management systems.