By John J. Murphy
Este handbook de ejercicios y textos de autoevaluación le ayudará a aprender las herramientas del análisis técnico que se exponen en el libro Análisis Técnico de los Mercados Financieros que es el más completo en l. a. materia. Empieza con los fundamentos de l. a. Teoría de Dow y desarrolla todas las técnicas, inclusive las más act
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Additional info for Analisis Tecnico de Los Mercados Financieros / Technical Analysis of Financial Markets (Spanish Edition)
The arguments are then applied to option pricing and leveraged exchange-traded funds (ETFs). Following the publication of this work, Avellaneda was awarded Risk’s Quant of the Year in 2010. Chapter 10, “Shortfall Factor Contributions” by Richard Martin and Roland Ordovàs, proposes a generalisation of the Euler formula to decompose the expected shortfall of a portfolio into a sum of risk factors. The Euler formula, an instrument used in asset and risk allocation, does not capture the contribution of individual factors as it focuses on positions and portfolio weights instead.
Indd 24 11/03/2013 10:09 2 Funding Beyond Discounting: Collateral Agreements and Derivatives Pricing Vladimir V. Piterbarg Barclays Standard derivatives pricing theory (see, for example, Hull, 2006) relies on the assumption that one can borrow and lend at a unique risk-free rate. The realities of being a derivatives desk are, however, rather different these days, as historically stable relationships between bank funding rates, government rates, Libor rates, etc, have broken down. The practicalities of funding, that is, how dealers borrow and lend money, are of central importance to derivatives pricing, because replicating naturally involves borrowing and lending money and other assets.
We now develop a model for the joint dynamics of S and the smile, using as dynamical variables S and σ0. indd 13 11/03/2013 10:09 post-crisis quant finance with the crucial condition that the breakeven levels σS, ν, ρ be strikeindependent – unlike the Black–Scholes implied volatility σ^K – and such that the market smile is recovered. A model for short near-the-money options Let us consider short-maturity vanilla options. 11) The smile is characterised by three quantities: σ0, the skew σ0α (σ0) and the curvature σ0β (σ0).