Risk Neutral Dynamics of the Stochastic Market Implied Volatility
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Published: 2001
Total Pages: 24
ISBN-13:
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Publisher:
Published: 2001
Total Pages: 24
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DOWNLOAD EBOOKAuthor: Peng He
Publisher:
Published: 2007
Total Pages: 134
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DOWNLOAD EBOOKAuthor: Jim Gatheral
Publisher: John Wiley & Sons
Published: 2011-03-10
Total Pages: 204
ISBN-13: 1118046455
DOWNLOAD EBOOKPraise for The Volatility Surface "I'm thrilled by the appearance of Jim Gatheral's new book The Volatility Surface. The literature on stochastic volatility is vast, but difficult to penetrate and use. Gatheral's book, by contrast, is accessible and practical. It successfully charts a middle ground between specific examples and general models--achieving remarkable clarity without giving up sophistication, depth, or breadth." --Robert V. Kohn, Professor of Mathematics and Chair, Mathematical Finance Committee, Courant Institute of Mathematical Sciences, New York University "Concise yet comprehensive, equally attentive to both theory and phenomena, this book provides an unsurpassed account of the peculiarities of the implied volatility surface, its consequences for pricing and hedging, and the theories that struggle to explain it." --Emanuel Derman, author of My Life as a Quant "Jim Gatheral is the wiliest practitioner in the business. This very fine book is an outgrowth of the lecture notes prepared for one of the most popular classes at NYU's esteemed Courant Institute. The topics covered are at the forefront of research in mathematical finance and the author's treatment of them is simply the best available in this form." --Peter Carr, PhD, head of Quantitative Financial Research, Bloomberg LP Director of the Masters Program in Mathematical Finance, New York University "Jim Gatheral is an acknowledged master of advanced modeling for derivatives. In The Volatility Surface he reveals the secrets of dealing with the most important but most elusive of financial quantities, volatility." --Paul Wilmott, author and mathematician "As a teacher in the field of mathematical finance, I welcome Jim Gatheral's book as a significant development. Written by a Wall Street practitioner with extensive market and teaching experience, The Volatility Surface gives students access to a level of knowledge on derivatives which was not previously available. I strongly recommend it." --Marco Avellaneda, Director, Division of Mathematical Finance Courant Institute, New York University "Jim Gatheral could not have written a better book." --Bruno Dupire, winner of the 2006 Wilmott Cutting Edge Research Award Quantitative Research, Bloomberg LP
Author: Jens Carsten Jackwerth
Publisher:
Published: 2008
Total Pages:
ISBN-13:
DOWNLOAD EBOOKAuthor: George J Kaye
Publisher: World Scientific Publishing Company
Published: 2012-11-16
Total Pages: 438
ISBN-13: 1908979585
DOWNLOAD EBOOKAlong with the extraordinary growth in the derivatives market over the last decade, the impact of model choice, and model parameter usage, has become a major source of valuation uncertainty. This book concentrates on equity derivatives and charts, step by step, how key assumptions on the dynamics of stocks impact on the value of exotics. The presentation is technical, but maintains a strong focus on intuition and practical application./a
Author: Ricardo Baeza-Yates
Publisher: Springer Science & Business Media
Published: 2006-02-28
Total Pages: 497
ISBN-13: 0387233946
DOWNLOAD EBOOKApplied probability is a broad research area that is of interest to scientists in diverse disciplines in science and technology, including: anthropology, biology, communication theory, economics, epidemiology, finance, geography, linguistics, medicine, meteorology, operations research, psychology, quality control, sociology, and statistics. Recent Advances in Applied Probability is a collection of survey articles that bring together the work of leading researchers in applied probability to present current research advances in this important area. This volume will be of interest to graduate students and researchers whose research is closely connected to probability modelling and their applications. It is suitable for one semester graduate level research seminar in applied probability.
Author: Fabio Fornari
Publisher: Springer Science & Business Media
Published: 2000-05-31
Total Pages: 168
ISBN-13: 9780792378426
DOWNLOAD EBOOKPresenting advanced topics in financial econometrics and theoretical finance, this guide is divided into three main parts.
Author: Carol Alexander
Publisher: John Wiley & Sons
Published: 2008-06-09
Total Pages: 427
ISBN-13: 0470997893
DOWNLOAD EBOOKWritten by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and Trading Financial Instruments forms part three of the Market Risk Analysis four volume set. This book is an in-depth, practical and accessible guide to the models that are used for pricing and the strategies that are used for hedging financial instruments, and to the markets in which they trade. It provides a comprehensive, rigorous and accessible introduction to bonds, swaps, futures and forwards and options, including variance swaps, volatility indices and their futures and options, to stochastic volatility models and to modelling the implied and local volatility surfaces. All together, the Market Risk Analysis four volume set illustrates virtually every concept or formula with a practical, numerical example or a longer, empirical case study. Across all four volumes there are approximately 300 numerical and empirical examples, 400 graphs and figures and 30 case studies many of which are contained in interactive Excel spreadsheets available from the the accompanying CD-ROM . Empirical examples and case studies specific to this volume include: Duration-Convexity approximation to bond portfolios, and portfolio immunization; Pricing floaters and vanilla, basis and variance swaps; Coupon stripping and yield curve fitting; Proxy hedging, and hedging international securities and energy futures portfolios; Pricing models for European exotics, including barriers, Asians, look-backs, choosers, capped, contingent, power, quanto, compo, exchange, ‘best-of’ and spread options; Libor model calibration; Dynamic models for implied volatility based on principal component analysis; Calibration of stochastic volatility models (Matlab code); Simulations from stochastic volatility and jump models; Duration, PV01 and volatility invariant cash flow mappings; Delta-gamma-theta-vega mappings for options portfolios; Volatility beta mapping to volatility indices.
Author: Jean-Pierre Fouque
Publisher: Cambridge University Press
Published: 2000-07-03
Total Pages: 222
ISBN-13: 9780521791632
DOWNLOAD EBOOKThis book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market volatility.
Author: Alexander David
Publisher:
Published: 1999
Total Pages: 78
ISBN-13:
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