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Derivatives essentials : an introduction to forwards, futures, options and swaps
\"A clear, practical guide to working effectively with derivative securities products Derivatives Essentials is an accessible, yet detailed guide to derivative securities. With an emphasis on mechanisms over formulas, this book promotes a greater understanding of the topic in a straightforward manner, using plain-English explanations. Mathematics are included, but the focus is on comprehension and the issues that matter most to practitioners--including the rights and obligations, terms and conventions, opportunities and exposures, trading, motivation, sensitivities, pricing, and valuation of each product. Coverage includes forwards, futures, options, swaps, and related products and trading strategies, with practical examples that demonstrate each concept in action. The companion website provides Excel files that illustrate pricing, valuation, sensitivities, and strategies discussed in the book, and practice and assessment questions for each chapter allow you to reinforce your learning and gauge the depth of your understanding. Derivative securities are a complex topic with many "moving parts," but practitioners must possess a full working knowledge of these products to use them effectively. This book promotes a truly internalized understanding rather than rote memorization or strict quantitation, with clear explanations and true-to-life examples. Understand the concepts behind derivative securities Delve into the nature, pricing, and offset of sensitivities Learn how different products are priced and valued Examine trading strategies and practical examples for each product Pricing and valuation is important, but understanding the fundamental nature of each product is critical--it gives you the power to wield them more effectively, and exploit their natural behaviors to achieve both short- and long-term market goals. Derivatives Essentials provides the clarity and practical perspective you need to master the effective use of derivative securities products\"-- Provided by publisher.
Book
Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives under stochastic volatility in equity, interest-rate, and credit markets. They present and analyze multiscale stochastic volatility models and asymptotic approximations. These can be used in equity markets, for instance, to link the prices of path-dependent exotic instruments to market implied volatilities. The methods are also used for interest rate and credit derivatives. Other applications considered include variance-reduction techniques, portfolio optimization, forward-looking estimation of CAPM 'beta', and the Heston model and generalizations of it. 'Off-the-shelf' formulas and calibration tools are provided to ease the transition for practitioners who adopt this new method. The attention to detail and explicit presentation make this also an excellent text for a graduate course in financial and applied mathematics.
eBook
Fractional Derivatives and the Fundamental Theorem of Fractional Calculus
In this paper, we address the one-parameter families of the fractional integrals and derivatives defined on a finite interval. First we remind the reader of the known fact that under some reasonable conditions, there exists precisely one unique family of the fractional integrals, namely, the well-known Riemann-Liouville fractional integrals. As to the fractional derivatives, their natural definition follows from the fundamental theorem of the Fractional Calculus, i.e., they are introduced as the left-inverse operators to the Riemann-Liouville fractional integrals. Until now, three families of such derivatives were suggested in the literature: the Riemann-Liouville fractional derivatives, the Caputo fractional derivatives, and the Hilfer fractional derivatives. We clarify the interconnections between these derivatives on different spaces of functions and provide some of their properties including the formulas for their projectors and the Laplace transforms. However, it turns out that there exist infinitely many other families of the fractional derivatives that are the left-inverse operators to the Riemann-Liouville fractional integrals. In this paper, we focus on an important class of these fractional derivatives and discuss some of their properties.
Journal Article
Evaluation of Fractional Integrals and Derivatives of Elementary Functions: Overview and Tutorial
Several fractional-order operators are available and an in-depth knowledge of the selected operator is necessary for the evaluation of fractional integrals and derivatives of even simple functions. In this paper, we reviewed some of the most commonly used operators and illustrated two approaches to generalize integer-order derivatives to fractional order; the aim was to provide a tool for a full understanding of the specific features of each fractional derivative and to better highlight their differences. We hence provided a guide to the evaluation of fractional integrals and derivatives of some elementary functions and studied the action of different derivatives on the same function. In particular, we observed how Riemann–Liouville and Caputo’s derivatives converge, on long times, to the Grünwald–Letnikov derivative which appears as an ideal generalization of standard integer-order derivatives although not always useful for practical applications.
Journal Article
Governing the world's largest market : the politics of derivatives regulation after the 2008 crisis
\"In the wake of the 2008 global financial crisis, the regulation of the world's enormous derivatives markets assumed center stage on the international public policy agenda. Critics argued that loose regulation had contributed to the momentous crisis as well as commodity price volatility, market abuse, and, more generally, the growing power and influence of private financial interests. What has been done since 2008 to reform the regulation of derivatives markets? This volume examines how the G20 governments developed a coordinated international agenda to enhance public regulatory control over these markets that had been allowed to grow largely unchecked before the crisis. At the same time, the analysis shows that the degree of change embodied in this post-2008 reform agenda should not be overstated. The G20 governments have focused primarily just on enhancing the transparency and resilience of the markets, and they have endorsed some continued delegation of key governance functions to private actors and private rule-making. Moreover, the implementation of the G20 reform agenda has been characterized by unanticipated delays and inconsistencies as well as conflict and regulatory fragmentation between G20 members. The volume shows how these post-crisis regulatory trends - both the emergence of the G20 reform agenda and the difficulties associated with its implementation - have been influenced by a complex combination of transnational, inter-state, and domestic political dynamics\"-- Provided by publisher.
Book
Greater Celandine's Ups and Downs−21 Centuries of Medicinal Uses of Chelidonium majus From the Viewpoint of Today's Pharmacology
As antique as Dioscorides era are the first records on using Chelidonium as a remedy to several sicknesses. Inspired by the \"
\" principle and an apparent ancient folk tradition, various indications were given, such as anti-jaundice and cholagogue, pain-relieving, and quite often mentioned-ophthalmological problems. Central and Eastern European folk medicine has always been using this herb extensively. In this region, the plant is known under many unique vernacular names, especially in Slavonic languages, associated or not with old Greek relation to \"chelidon\"-the swallow. Typically for Papaveroidae subfamily, yellow-colored latex is produced in abundance and leaks intensely upon injury. Major pharmacologically relevant components, most of which were first isolated over a century ago, are isoquinoline alkaloids-berberine, chelerythrine, chelidonine, coptisine, sanguinarine. Modern pharmacology took interest in this herb but it has not ended up in gaining an officially approved and evidence-based herbal medicine status. On the contrary, the number of relevant studies and publications tended to drop. Recently, some controversial reports and sometimes insufficiently proven studies appeared, suggesting anticancer properties. Anticancer potential was in line with anecdotical knowledge spread in East European countries, however, in the absence of directly-acting cytostatic compounds, some other mechanisms might be involved. Other properties that could boost the interest in this herb are antimicrobial and antiviral activities. Being a common synanthropic weed or ruderal plant,
spreads in all temperate Eurasia and acclimates well to North America. Little is known about the natural variation of bioactive metabolites, including several aforementioned isoquinoline alkaloids. In this review, we put together older and recent literature data on phytochemistry, pharmacology, and clinical studies on
aiming at a critical evaluation of state-of-the-art from the viewpoint of historical and folk indications. The controversies around this herb, the safety and drug quality issues and a prospective role in phytotherapy are discussed as well.
Journal Article
A phase Ib study of pembrolizumab plus chemotherapy in patients with advanced cancer (PembroPlus)
Background:
Pembrolizumab (P) is an anti-PD-1 antibody that blocks the interaction between programmed cell death protein 1 (PD-1) on T-cells and PD-L1 and PD-L2 on tumour cells. A phase Ib trial of P plus chemotherapy was undertaken to evaluate the safety and efficacy.
Methods:
Patients with advanced, metastatic solid tumours were enrolled onto one of six treatment arms. Pembrolizumab was given: with gemcitabine (G), G+docetaxel (D), G+nab-paclitaxel (NP), G+vinorelbine (V) or irinotecan (I) until progression or toxicity, or with liposomal doxorubicin (LD) for up to 15 cycles, progression or toxicity. Safety monitoring and response assessments were conducted.
Results:
Forty-nine patients were enrolled and treated. The most common adverse events were transaminitis, cytopenias, rash, diarrhoea, fatigue, nausea and vomiting. Arm 2 was closed due to poor accrual. The recommended phase II dose (RP2D) was determined for Arms 1, 3a, 4, 5 and 6. There were eight partial responses across multiple tumour types.
Conclusions:
Standard dose P can be safely combined with G, G+NP, G+V, I and LD. Efficacy was observed in multiple tumour types and evaluation to determine if response and duration of response are more robust than what would be expected for chemotherapy or immunotherapy alone requires further validation.
Journal Article