Yue Kuen Kwok, Wendong Zheng

Pricing Models of Volatility Products and Exotic Variance Derivatives

• Broschiertes Buch

Produktbeschreibung

This book summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. .

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Produktdetails

• Chapman and Hall/CRC Financial Mathematics Series
• Verlag: Taylor & Francis Ltd
• Seitenzahl: 284
• Erscheinungstermin: 27. Mai 2024
• Englisch
• Abmessung: 234mm x 156mm x 15mm
• Gewicht: 436g
• ISBN-13: 9781032204321
• ISBN-10: 103220432X
• Artikelnr.: 70353150

Autorenporträt

Yue Kuen Kwok is a professor in the Department of Mathematics and Financial Technology Thrust, the Hong Kong University of Science and Technology. Professor Kwok's research interests concentrate on pricing and risk management of financial derivatives and structured insurance products. He has published more than 80 research articles in major research journals in quantitative finance and actuarial sciences. In addition, he is the author of two books on quantitative finance: Mathematical Models of Financial Derivatives and Saddlepoint Approximation Methods in Financial Engineering . He has provided consulting services to financial institutions on various aspects of trading structured products and credit risk management. Professor Kwok has served on the editorial boards of Journal of Economic and Dynamics Control, Asian-Pacific Financial Markets and International Journal of Financial Engineering. He earned his PhD in applied mathematics from Brown University in 1985. Wendong Zheng joined Credit Suisse in Hong Kong in 2018. He is currently a vice president in the Quantitative Strategies Group, covering equity and hybrid derivatives modeling and trading. Before joining Credit Suisse, he held positions at Bank of China International and Barclays Investment Bank. He has performed both academic and industrial works on pricing and trading volatility derivatives. Also, he has co-authored the book Saddlepoint Approximation Methods in Financial Engineering. Dr. Zheng holds a PhD in mathematics from the Hong Kong University of Science and Technology.

Inhaltsangabe

1. Volatility Trading and Variance Derivatives. 1.1. Implied Volatility and
Local Volatility. 1.2. Volatility Trading using Options. 1.3. Derivatives
on Discrete Realized Variance. 1.4. Replication of Variance Swaps. 1.5.
Practical Implementation of Replication: Finite Strikes and Discrete
Monitoring. Appendix. 2. Lévy Processes and Stochastic Volatility Models.
2.1. Compound Poisson process. 2.2. Jump-diffusion Models. 2.3. Lévy
Processes. 2.4. Time-changed Lévy Processes. 2.5. Stochastic Volatility
Models with Jumps. 2.6. Affine Jump-diffusion Stochastic Volatility Models.
2.7. 3/2 Stochastic Volatility Model. Appendix. 3. VIX Derivatives Under
Consistent Models and direct Models. 3.1. VIX, Variance Swap Rate and VIX
Derivatives. 3.2. Pricing VIX Derivatives Under Consistent Models. 3.3.
Direct Modeling of VIX. Appendix. 4. Swap products on discrete Variance and
Volatility. 4.1. Direct Expectation of Square of Log Return. 4.2. Nested
Expectation via Partial Integro-differential Equation. 4.3. Moment
Generating Function Methods. 4.4. Variance Swaps Under Time-changed Lévy
Processes. Appendix. 5. Options on discrete realized Variance. 5.1.
Adjustment for Discretization Effect via Lognormal Approximation. 5.2.
Normal Approximation to Conditional Distribution of Discrete Realized
Variance. 5.3. Partially Exact and Bounded Approximation for Options on
Discrete Realized Variance. 5.4. Small Time Asymptotic Approximation. 6
Timer options. 6.1. Model Formulation. 6.2. Pricing Perpetual Timer
Options. 6.3. Finite Maturity Discrete Timer Options. Appendix.
Bibliography. Index.

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1. Volatility Trading and Variance Derivatives. 1.1. Implied Volatility and Local Volatility. 1.2. Volatility Trading using Options. 1.3. Derivatives on Discrete Realized Variance. 1.4. Replication of Variance Swaps. 1.5. Practical Implementation of Replication: Finite Strikes and Discrete Monitoring. Appendix. 2. Lévy Processes and Stochastic Volatility Models. 2.1. Compound Poisson process. 2.2. Jump-diffusion Models. 2.3. Lévy Processes. 2.4. Time-changed Lévy Processes. 2.5. Stochastic Volatility Models with Jumps. 2.6. Affine Jump-diffusion Stochastic Volatility Models. 2.7. 3/2 Stochastic Volatility Model. Appendix. 3. VIX Derivatives Under Consistent Models and direct Models. 3.1. VIX, Variance Swap Rate and VIX Derivatives. 3.2. Pricing VIX Derivatives Under Consistent Models. 3.3. Direct Modeling of VIX. Appendix. 4. Swap products on discrete Variance and Volatility. 4.1. Direct Expectation of Square of Log Return. 4.2. Nested Expectation via Partial Integro-differential Equation. 4.3. Moment Generating Function Methods. 4.4. Variance Swaps Under Time-changed Lévy Processes. Appendix. 5. Options on discrete realized Variance. 5.1. Adjustment for Discretization Effect via Lognormal Approximation. 5.2. Normal Approximation to Conditional Distribution of Discrete Realized Variance. 5.3. Partially Exact and Bounded Approximation for Options on Discrete Realized Variance. 5.4. Small Time Asymptotic Approximation. 6 Timer options. 6.1. Model Formulation. 6.2. Pricing Perpetual Timer Options. 6.3. Finite Maturity Discrete Timer Options. Appendix. Bibliography. Index.