Qunfang Bao

Broschiertes Buch

Mean-Reverting Logarithmic Modeling of VIX

Beschreibung

In this book, four mean-reverting logarithmic models of VIX index are proposed and compared from a practitioner's perspective. What separates the research in this book from the literature is that both static pricing formulas and dynamics of the VIX derivatives are derived. For practical applications of the models, calibration strategies and formulas are also proposed, where the VIX future term structure is fitted by construction and the VIX skew is calibrated with the model parameters.

Autor

Qunfang Bao holds a Ph.D. degree in Financial Mathematics at Zhejiang University. He currently works as a front office equity quant at Nomura. Previously he worked in the equity quant teams at UBS and Barclays Capital.

Produktdetails

• Verlag: LAP Lambert Academic Publishing
• Seitenzahl: 100
• Erscheinungstermin: 5. Januar 2018
• Englisch
• Abmessung: 220mm x 150mm x 6mm
• Gewicht: 168g
• ISBN-13: 9783659900068
• ISBN-10: 3659900060
• Artikelnr.: 50656458