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Black Scholes and Beyond Option Pricing Models.pdf
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Publication Date: September 1, 1996
An unprecedented book on option pricing! For the first time, the basics on modern option pricing are explained ``from scratch'' using only minimal mathematics. Market practitioners and students alike will learn how and why the Black-Scholes equation works, and what other new methods have been developed that build on the success of Black-Shcoles. The Cox-Ross-Rubinstein binomial trees are discussed, as well as two recent theories of option pricing: the Derman-Kani theory on implied volatility trees and Mark Rubinstein's implied binomial trees. Black-Scholes and Beyond will not only help the reader gain a solid understanding of the Balck-Scholes formula, but will also bring the reader up to date by detailing current theoretical developments from Wall Street. Furthermore, the author expands upon existing research and adds his own new approaches to modern option pricing theory. Among the topics covered in Black-Scholes and Beyond: detailed discussions of pricing and hedging options; volatility smiles and how to price options "in the presence of the smile''; complete explanation on pricing barrier options.
2.REVITALIZE HMA – THE CASE FOR CHANGE
Revitalize-HMA-Presentation.pdf
(1.67 MB, 需要: 10 个论坛币)
Glenview Capital Management LLC, which owns 14.6% of the common stock of Health Management Associates, Inc. (NYSE: HMA) through affiliated investment funds, today confirms it will move forward to Revitalize HMA and encourages all HMA shareholders to consent promptly to replace the sitting Board with the Fresh Alternative nominees and issued the following statement as in the document.
3.Home Equity ABS Basics by Nomura Fixed Income Research
Home_Equity_ABS_Basics.pdf
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Home equity loan (HEL) ABS are one of the major components of the ABS market, along with credit card ABS, auto loan ABS, and student loan ABS. As of the end of 2003, HEL ABS accounted for roughly 25% of all outstanding ABS. HEL ABS issuance through the first half of 2004 was about $192 billion, representing more than half of all ABS issuance in the first half of the year. The HEL ABS sector is really an amalgamation of diverse sub-sectors. Each sub-sector relates to a distinct type of underlying mortgage product. Examples are first lien sub-prime mortgage loans, traditional home equity loans (i.e., closed-end second mortgage loans), so-called "high LTV" mortgage loans, and home equity lines of credit. First lien sub-prime mortgage loans account for the lion's share (>75%) of collateral backing HEL ABS deals; the other loan types account for much smaller shares.
HEL ABS occupy the no-man's land between traditional MBS and non-real estate ABS. That is, HEL ABS present investors with a combination of credit and prepayment considerations. The presence of prepayment risk causes spreads on HEL ABS to be much wider than spreads on credit card ABS or auto loan ABS with comparable weighted-average lives (WALs). In addition, HEL ABS have experienced somewhat greater credit volatility than other mainstream ABS asset classes.
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