Can Option Smiles Forecast Changes in Interest Rates?
Author: Marcello Pericoli
Publisher:
Published: 2005
Total Pages: 52
ISBN-13:
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Author: Marcello Pericoli
Publisher:
Published: 2005
Total Pages: 52
ISBN-13:
DOWNLOAD EBOOKAuthor: Leonardo Gambacorta
Publisher:
Published: 2005
Total Pages: 44
ISBN-13:
DOWNLOAD EBOOKAuthor: Luca Casolaro
Publisher:
Published: 2005
Total Pages: 68
ISBN-13:
DOWNLOAD EBOOKAuthor: Jens Carsten Jackwerth
Publisher:
Published: 2008
Total Pages:
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DOWNLOAD EBOOKAuthor: Roberto Felici
Publisher:
Published: 2005
Total Pages: 60
ISBN-13:
DOWNLOAD EBOOKAuthor: Bernard Dumas
Publisher:
Published: 1996
Total Pages: 34
ISBN-13:
DOWNLOAD EBOOKAbstract: Black and Scholes (1973) implied volatilities tend to be systematically related to the option's exercise price and time to expiration. Derman and Kani (1994), Dupire (1994), and Rubinstein (1994) attribute this behavior to the fact that the Black-Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the underlying asset's return is a deterministic function of the asset price and time and develop the deterministic volatility function (DVF) option valuation model, which has the potential of fitting the observed cross-section of option prices exactly. Using a sample of S & P 500 index options during the period June 1988 through December 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive and hedging performance of the DV option valuation model. We find that its performance is worse than that of an ad hoc Black-Scholes model with variable implied volatilities.
Author: Silvia Fabiani
Publisher:
Published: 2005
Total Pages: 60
ISBN-13:
DOWNLOAD EBOOKAuthor: Damiano Brigo
Publisher: Springer Science & Business Media
Published: 2007-09-26
Total Pages: 1016
ISBN-13: 354034604X
DOWNLOAD EBOOKThe 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, with an analysis of the impact of the swaptions interpolation technique and of the exogenous instantaneous correlation on the calibration outputs. A discussion of historical estimation of the instantaneous correlation matrix and of rank reduction has been added, and a LIBOR-model consistent swaption-volatility interpolation technique has been introduced. The old sections devoted to the smile issue in the LIBOR market model have been enlarged into a new chapter. New sections on local-volatility dynamics, and on stochastic volatility models have been added, with a thorough treatment of the recently developed uncertain-volatility approach. Examples of calibrations to real market data are now considered. The fast-growing interest for hybrid products has led to a new chapter. A special focus here is devoted to the pricing of inflation-linked derivatives. The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling framework much of the technique involved is analogous to interest-rate modeling, Credit Derivatives -- mostly Credit Default Swaps (CDS), CDS Options and Constant Maturity CDS - are discussed, building on the basic short rate-models and market models introduced earlier for the default-free market. Counterparty risk in interest rate payoff valuation is also considered, motivated by the recent Basel II framework developments.
Author: Alberto Dalmazzo
Publisher:
Published: 2005
Total Pages: 52
ISBN-13:
DOWNLOAD EBOOKAuthor: Jim Gatheral
Publisher:
Published: 2006
Total Pages: 179
ISBN-13: 9781119202073
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