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The Volatility Smile, Derman Emanuel

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Цена: 10771р.
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Автор: Derman Emanuel
Название:  The Volatility Smile
ISBN: 9781118959169
Издательство: Wiley
ISBN-10: 1118959167
Обложка/Формат: Hardback
Страницы: 528
Вес: 0.762 кг.
Дата издания: 21.10.2016
Серия: Economics/Business/Finance
Язык: English
Иллюстрации: Illustrations
Размер: 163 x 237 x 45
Читательская аудитория: Professional & vocational
Ключевые слова: Finance & accounting
Ссылка на Издательство: Link
Поставляется из: Англии
Описание: The Volatility Smile The Black-Scholes-Merton option model was the greatest innovation of 20th century finance, and remains the most widely applied theory in all of finance.

Semiparametric Modeling of Implied Volatility

Автор: Fengler Matthias R.
Название: Semiparametric Modeling of Implied Volatility
ISBN: 3540262342 ISBN-13(EAN): 9783540262343
Издательство: Springer
Цена: 8384 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: The implied volatility surface is a key financial variable for the pricing and the risk management of plain vanilla and exotic options portfolios alike. Consequently, statistical models of the implied volatility surface are of immediate importance in practice: they may appear as estimates of the current surface or as fully specified dynamic models describing its propagation through space and time.This book fills a gap in the financial literature by bringing together both recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces: the first part of the book is devoted to smile-consistent pricing appoaches. The theory of implied and local volatility is presented concisely, and vital smile-consistent modeling approaches such as implied trees, mixture diffusion, or stochastic implied volatility models are discussed in detail. The second part of the book familiarizes the reader with estimation techniques that are natural candidates to meet the challenges in implied volatility modeling, such as the rich functional structure of observed implied volatility surfaces and the necessity for dimension reduction: non- and semiparametric smoothing techniques.The book introduces Nadaraya-Watson, local polynomial and least squares kernel smoothing, and dimension reduction methods such as common principle components, functional principle components models and dynamic semiparametric factor models. Throughout, most methods are illustrated with empirical investigations, simulations and pictures.

Financial models with levy processes and volatility clustering

Автор: Rachev, Svetlozar T. Kim, Young Shim Bianchi, Mich
Название: Financial models with levy processes and volatility clustering
ISBN: 0470482354 ISBN-13(EAN): 9780470482353
Издательство: Wiley
Цена: 13464 р.
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Описание: * In this book, authors Rachev, Kim, Bianchi, and Fabozzi present readers with the notions of risk and their corresponding performance measures.

Handbook of Volatility Models and Their Applications

Автор: Bauwens
Название: Handbook of Volatility Models and Their Applications
ISBN: 0470872519 ISBN-13(EAN): 9780470872512
Издательство: Wiley
Цена: 23594 р.
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Описание: A complete guide to the theory and practice of volatility models in financial engineering Volatility has become a hot topic in this era of instant communications, spawning a great deal of research in empirical finance and time series econometrics.

Forecasting Volatility in the Financial Markets,

Автор: Stephen Satchell
Название: Forecasting Volatility in the Financial Markets,
ISBN: 075066942X ISBN-13(EAN): 9780750669429
Издательство: Elsevier Science
Цена: 11815 р.
Наличие на складе: Нет в наличии.

Описание: Forecasting Volatility in the Financial Markets, Third Editionassumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility. Chapters new to this third edition:* What good is a volatility model? Engle and Patton* Applications for portfolio variety Dan diBartolomeo* A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish* Volatility modeling and forecasting in finance Xiao and Aydemir* An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey

Volatility Trading + CD-ROM

Автор: Sinclair
Название: Volatility Trading + CD-ROM
ISBN: 0470181990 ISBN-13(EAN): 9780470181997
Издательство: Wiley
Цена: 9187 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: In Volatility Trading , Sinclair offers you a quantitative model for measuring volatility in order to gain an edge in your everyday option trading endeavors. With an accessible, straightforward approach. He guides traders through the basics of option pricing, volatility measurement, hedging, money management, and trade evaluation.

High Performance Options Trading: Option Volatility & Pricing Strategies

Автор: Leonard Yates
Название: High Performance Options Trading: Option Volatility & Pricing Strategies
ISBN: 0471323659 ISBN-13(EAN): 9780471323655
Издательство: Wiley
Цена: 8712 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: The essential resource for the successful option trader High Performance Options Trading offers a fresh perspective on trading options from a seasoned options trader programmer/engineer, Leonard Yates. Drawing on twenty-five years of experience as an options trader and software programmer, Yates has written this straightforward guide.

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