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Advanced Equity Derivatives "Volatility and Correlation"

Advanced Equity Derivatives "Volatility and Correlation"

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  • ISBN:9781118750964
  • Editorial: Wiley & Sons Ltd.
  • Fecha de la edición:
  • Encuadernación:
  • Nº Pág.:176
  • Idiomas:Ingles,Inglés

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In Advanced Equity Derivatives: Volatility and Correlation , Sebastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives. Designed for financial modelers, option traders and sophisticated investors, the content covers the most important theoretical and practical extensions of the Black-Scholes model. Each chapter includes numerous illustrations and a short selection of problems, covering key topics such as implied volatility surface models, pricing with implied distributions, local volatility models, volatility derivatives, correlation measures, correlation trading, local correlation models and stochastic correlation. The author has a dual professional and academic background, making Advanced Equity Derivatives: Volatility and Correlation the perfect reference for quantitative researchers and mathematically savvy finance professionals looking to acquire an in-depth understanding of equity exotic derivatives pricing and hedging.

Preface Acknowledgments Chapter 1: Exotic Derivatives Chapter 2: The Implied Volatility Surface Chapter 3: Implied Distributions Chapter 4: Local Volatility and Beyond Chapter 5: Volatility Derivatives Chapter 6: Introducing Correlation Chapter 7: Correlation Trading Chapter 8: Local Correlation Chapter 9: Stochastic Correlation Appendix A: Probability Review Appendix B: Linear Algebra Review Solutions Manual Author's Note About the Author Index

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