SERVING THE QUANTITATIVE FINANCE COMMUNITY

 
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heikoscha
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Haug: Derivatives - Models on Models

July 11th, 2007, 11:35 am

I' ve recently purchased this book and after a 2 year history of reading (and only sometimes understanding) quant literature this one comes along in a fresh way - also due to the stylish flow and the interesting interviews. The more technical topics are well selected. For me in particular the chapter 9 about the valuation of Power Derivatives was interesting. In this chapter Dr.Haug correctly states that most Power-Forwards are Swaps in disguise. This is not only true for the Nordpool energy exchange but also for other echanges, e.g. the EEX. Now I have a question concerning the calulation of a power swap value (equation 9.1): According to my knowledge most power-swaps are cleared via a variation marging scheme with no initial cash outlay. So I wonder if the valuation introduced by Dr.Haug is relevant for future type settlement as well. Any opinions are welcome.Cheers
 
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WilmottBookshop
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Haug: Derivatives - Models on Models

July 11th, 2007, 11:37 am

Derivatives: Models on Models is instock at the Wilmott Bookshop.
Last edited by WilmottBookshop on July 10th, 2007, 10:00 pm, edited 1 time in total.
 
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Re: Haug: Derivatives - Models on Models

August 9th, 2019, 12:42 pm

I know many of you have missed a Chinese (Mandarin) version of my book, I am pleased to let you know it just has been translate by the Shanghai Stock Exchange 

大师谈衍生品模型(上海证券交易所金融创新文库)

The Amazon of China

A Old Norse version would also be good, another time.
 
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Cuchulainn
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Re: Haug: Derivatives - Models on Models

August 9th, 2019, 6:17 pm

How many copies sold to date?
 
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Collector
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Joined: August 21st, 2001, 12:37 pm

Re: Haug: Derivatives - Models on Models

August 9th, 2019, 6:37 pm

How many copies sold to date?
less than Harry Potter!
 
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ExSan
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Joined: April 12th, 2003, 10:40 am

Re: Haug: Derivatives - Models on Models

August 9th, 2019, 10:59 pm

I know many of you have missed a Chinese (Mandarin) version of my book, I am pleased to let you know it just has been translate by the Shanghai Stock Exchange 

大师谈衍生品模型(上海证券交易所金融创新文库)

The Amazon of China

A Old Norse version would also be good, another time.
Cuando va a estar disponible en Castellano?
 
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Collector
Posts: 4217
Joined: August 21st, 2001, 12:37 pm

Re: Haug: Derivatives - Models on Models

August 10th, 2019, 8:25 am

good idea! 
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