A core tenet of modern finance (and of modern financial regulation) is the need, in many circumstances, to mark positions to market, i.e. to calibrate position valuations to be in line with observed market prices. This focus on market consistency is also a key theme for risk managers, fund managers and traderswho wish to place appropriate weight on the views of other market participants. Despite its fundamental importance, achieving market consistency can be challenging even for established professionals. Not all instruments are actively traded, and even when they are they may trade with wide or variable bid-ask spreads. Interpolating or extrapolating from what is actually observable in the market place to what is needed to make the most of market consistent perspectives can tax even experts. In this book, the author carefully explains in a logical sequence when and how market consistency should be used, what it means for different financial disciplines and how it can be achieved for both liquid and less liquid positions. The author also explains why market consistency is intrinsically difficult to achieve with certainty in some types of activities, including computation of hedging parameters, and provides solutions to even the most complex problems. The focus is very much on blending mathematical rigour with practical insight, drawing upon the author's wide practical experience across the spectrum of quantitative finance.
- ISBN: 978-0-470-77088-7
- Editorial: John Wiley & Sons
- Encuadernacion: Cartoné
- Páginas: 368
- Fecha Publicación: 04/09/2009
- Nº Volúmenes: 1
- Idioma: Inglés