Pricing models of volatility products and exotic variance derivatives, Kwok, Yue Kuen (hong Kong University Of Science And Technology) Zheng, Wendong (credit Suisse)
Автор: Bergomi Название: Stochastic Volatility Modeling ISBN: 1482244063 ISBN-13(EAN): 9781482244069 Издательство: Taylor&Francis Рейтинг: Цена: 13473.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of derivatives, including:
Which trading issues do we tackle with stochastic volatility?
How do we design models and assess their relevance?
How do we tell which models are usable and when does calibration make sense?
This manual covers the practicalities of modeling local volatility, stochastic volatility, local-stochastic volatility, and multi-asset stochastic volatility. In the course of this exploration, the author, Risk's 2009 Quant of the Year and a leading contributor to volatility modeling, draws on his experience as head quant in Soci t G n rale's equity derivatives division. Clear and straightforward, the book takes readers through various modeling challenges, all originating in actual trading/hedging issues, with a focus on the practical consequences of modeling choices.
Автор: Bishwal Название: Parameter Estimation in Stochastic Volatility Models ISBN: 3031038606 ISBN-13(EAN): 9783031038600 Издательство: Springer Рейтинг: Цена: 20962.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book develops alternative methods to estimate the unknown parameters in stochastic volatility models, offering a new approach to test model accuracy.
Автор: Mele Antonio, Obayashi Yoshiki Название: The Price of Fixed Income Market Volatility ISBN: 3319799673 ISBN-13(EAN): 9783319799674 Издательство: Springer Рейтинг: Цена: 8418.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Fixed income volatility and equityvolatility evolve heterogeneously over time, co-moving disproportionatelyduring periods of global imbalances and each reacting to events of differentnature.
Автор: Fengler Matthias R. Название: Semiparametric Modeling of Implied Volatility ISBN: 3540262342 ISBN-13(EAN): 9783540262343 Издательство: Springer Рейтинг: Цена: 8384.00 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.
Автор: Itkin Andrey Название: Fitting Local Volatility: Analytic And Numerical Approaches ISBN: 9811212767 ISBN-13(EAN): 9789811212765 Издательство: World Scientific Publishing Рейтинг: Цена: 12672.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание:
The concept of local volatility as well as the local volatility model are one of the classical topics of mathematical finance. Although the existing literature is wide, there still exist various problems that have not drawn sufficient attention so far, for example: a) construction of analytical solutions of the Dupire equation for an arbitrary shape of the local volatility function; b) construction of parametric or non-parametric regression of the local volatility surface suitable for fast calibration; c) no-arbitrage interpolation and extrapolation of the local and implied volatility surfaces; d) extension of the local volatility concept beyond the Black-Scholes model, etc. Also, recent progresses in deep learning and artificial neural networks as applied to financial engineering have made it reasonable to look again at various classical problems of mathematical finance including that of building a no-arbitrage local/implied volatility surface and calibrating it to the option market data.
This book was written with the purpose of presenting new results previously developed in a series of papers and explaining them consistently, starting from the general concept of Dupire, Derman and Kani and then concentrating on various extensions proposed by the author and his co-authors. This volume collects all the results in one place, and provides some typical examples of the problems that can be efficiently solved using the proposed methods. This also results in a faster calibration of the local and implied volatility surfaces as compared to standard approaches.
The methods and solutions presented in this volume are new and recently published, and are accompanied by various additional comments and considerations. Since from the mathematical point of view, the level of details is closer to the applied rather than to the abstract or pure theoretical mathematics, the book could also be recommended to graduate students with majors in computational or quantitative finance, financial engineering or even applied mathematics. In particular, the author used to teach some topics of this book as a part of his special course on computational finance at the Tandon School of Engineering, New York University.
Описание: This book provides a key repository on the current state of knowledge, the latest debates and recent literature on financial mathematics, volatility and covariance modelling.
If you have experience in option trading, or a strong understanding of the options markets, but want to better understand how to trade given certain market conditions, this is the book for you. Mark Sebastian's new edition will teach trade evaluation, using Greeks, trading various spreads under different market conditions, portfolio-building, and risk management. Sebastian's approach will help traders understand how to find edge, what kind of trade under what conditions will capture edge, and how to create and successfully hedge. The book demonstrates how to structure a portfolio of trades that makes more money with less risk.
Table of Contents:
Foreword by Bill Luby
Part I: Professional Lessons Every Trader Needs to Know ?
Chapter 1: Trading in Options ?
Chapter 2: Risk Management ?
Chapter 3: Market Makers, Risk, and the Individual Trader ?
Chapter 4: Volatility ?
Chapter 5: What Is Edge? ?
Chapter 6: Locking in Edge ?
Part II: Using Spreads ?
Chapter 7: A Quick Review of Spreads ?
Chapter 8: Adding Edge to Spreads ?
Chapter 9: Butterflies and Condors ?
Chapter 10: The Front Spread ?
Chapter 11: Calendar Spreads ?
Chapter 12: Trading VIX
Chapter 13: Trading VIX ETP’s and ETF’s
Part III: Global Risk ?
Chapter 14: How a Market Maker Trades ?
Chapter 15: Portfolio Greeks ?
Chapter 16: Investing with Options/Stock Replacement
Chapter 17: Hedging and Crisis Alpha with Options ?
Part IV: Appendices ?
Автор: Andrey Itkin Название: Pricing Derivatives Under L?vy Models ISBN: 1493967908 ISBN-13(EAN): 9781493967902 Издательство: Springer Рейтинг: Цена: 11179.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Basics of a finite-difference method.- Modern finite-difference approach.- An M-matrix theory and FD.- Brief Introduction into Lйvy processes.- Pseudo-parabolic and fractional equations of option pricing.- Pseudo-parabolic equations for various Lйvy models.- High-order splitting methods for forward PDEs and PIDEs.- Multi-dimensional structural default models and correlated jumps.- LSV models with stochastic interest rates and correlated jumps.- Stochastic skew model.- Glossary.- References.- Index.
Автор: Lawal Bayo, Famoye Felix Название: Applied Statistics: Regression and Analysis of Variance ISBN: 0761861718 ISBN-13(EAN): 9780761861713 Издательство: Неизвестно Рейтинг: Цена: 24827.00 р. Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: This book presents a thorough treatment of the methods of regression and analysis of variance. Applied Statistics requires an understanding of introductory statistics courses and is suitable for both junior and senior undergraduate students.
ООО "Логосфера " Тел:+7(495) 980-12-10 www.logobook.ru
