In Volatility and Correlation 2 nd edition: The Perfect Hedger and the Fox , Rebonato looks at derivatives pricing from the angle of volatility and correlation. In den letzten 10 Jahren sind Mathematikmodelle für Händler zum Alltag geworden. Seit der Einführung der Black & Scholes Formel haben anerkannte Akademiker und Fachleute in der Praxis eine Reihe von Modellen entwickelt, die der Schnellebigkeit in der internationalen Finanzwelt Rechnung tragen sollen. Sie haben versucht, das Modellverfahren soweit zu verfeinern, daß man es auf eine größere Anzahl von Optionsszenarios anwenden kann.…mehr
In Volatility and Correlation 2 nd edition: The Perfect Hedger and the Fox , Rebonato looks at derivatives pricing from the angle of volatility and correlation.In den letzten 10 Jahren sind Mathematikmodelle für Händler zum Alltag geworden. Seit der Einführung der Black & Scholes Formel haben anerkannte Akademiker und Fachleute in der Praxis eine Reihe von Modellen entwickelt, die der Schnellebigkeit in der internationalen Finanzwelt Rechnung tragen sollen. Sie haben versucht, das Modellverfahren soweit zu verfeinern, daß man es auf eine größere Anzahl von Optionsszenarios anwenden kann. Dieser Band erläutert den nächsten bedeutenden Schritt bei der Entwicklung eines Optionspreis-Modells: die Einbeziehung von Volatilität und Korrelation. Gemessen an den Neuentwicklungen bewertet der Autor bestehende Modelle, wobei er immer wieder auf seinen 10-jährigen Erfahrungsschatz zurückgreift. Darüber hinaus stellt er auch einige neue Originalansätze vor und erläutert anhand von Fallstudien die praktische Seite dieser äußerst komplexen Theorien. (10/99)
Riccardo Rebonato is Head of Group Market Risk for the Royal Bank of Scotland Group, and Head of The Royal Bank of Scotland Group Quantitative Research Centre. He is also a Visiting Lecturer at Oxford University for the Mathematical Finance Diploma and MSc. He holds Doctorates in Nuclear Engineering and Science of Materials/Solid State Physics. He sits on the Board of Directors of ISDA and on the Board of Trustees of GARP. Prior to joining the Royal Bank of Scotland, he was Head of Complex Derivatives Trading Europe and Head of Derivatives Research at Barclays Capital (BZW), where he worked for nine years. Before that he was a Research Fellow in Physics at Corpus Christi College, Oxford, UK. He is the author of three books, Modern Pricing of Interest-Rate Derivatives, Volatility and Correlation in Option Pricing and Interest-Rate Option Models. He has published several papers on finance in academic journals, and is on the editorial board of several journals. He is a regular speaker at conferences worldwide.
Inhaltsangabe
Why a Second Edition. What This Book Is Not About. The New Sub Title. I Foundations. 1 Theory and Practice of Option Modelling. 2 Option Replication. 3 The Building Blocks. 4 Variance and Mean Reversion in the Real and the Risk Adjusted Worlds. 5 Instantaneous and Terminal Correlation. II Smiles Equity and FX. 6 Pricing Options in the Presence of Smiles. 7 Empirical Facts about Smiles. 8 General Features of Smile Modelling Approaches. 9 The Input Data: Fitting an Exogenous Smile Surface. 10 Quadratic Variation and Smiles. 11 Local Volatility Models: the Derman and Kani Approach. 12 Extracting the Local Volatility from Option Prices. 13 Stochastic Volatility Processes. 14 Jump Diffusion Processes. 15 Variance Gamma. 16 Displaced Diffusions and Generalizations. 17 No Arbitrage Restrictions on the Dynamics of Smile Surfaces. III Interest Rates Deterministic Volatilities. 18 Mean Reversion in Interest Rate Models. 19 Volatility and Correlation in the LIBOR Market Model. 20 Calibration Strategies for the LIBOR Market Model. 21 Specifying the Instantaneous Volatility of Forward Rates. 22 Specifying the Instantaneous Correlation Among Forward Rates. IV Interest Rates Smiles. 23 How To Model Interest Rate Smiles. 24 Constant Elasticity of Variance (CEV) Processes in the Context of the LMM. 25 Stochastic Volatility Extensions of the LIBOR Market Model. 26 The Dynamics of the Swaption Matrix. 27 Stochastic Volatility Extension of the LMM: Two Regime Instantaneous Volatility. Bibliography. Index.
Why a Second Edition. What This Book Is Not About. The New Sub Title. I Foundations. 1 Theory and Practice of Option Modelling. 2 Option Replication. 3 The Building Blocks. 4 Variance and Mean Reversion in the Real and the Risk Adjusted Worlds. 5 Instantaneous and Terminal Correlation. II Smiles Equity and FX. 6 Pricing Options in the Presence of Smiles. 7 Empirical Facts about Smiles. 8 General Features of Smile Modelling Approaches. 9 The Input Data: Fitting an Exogenous Smile Surface. 10 Quadratic Variation and Smiles. 11 Local Volatility Models: the Derman and Kani Approach. 12 Extracting the Local Volatility from Option Prices. 13 Stochastic Volatility Processes. 14 Jump Diffusion Processes. 15 Variance Gamma. 16 Displaced Diffusions and Generalizations. 17 No Arbitrage Restrictions on the Dynamics of Smile Surfaces. III Interest Rates Deterministic Volatilities. 18 Mean Reversion in Interest Rate Models. 19 Volatility and Correlation in the LIBOR Market Model. 20 Calibration Strategies for the LIBOR Market Model. 21 Specifying the Instantaneous Volatility of Forward Rates. 22 Specifying the Instantaneous Correlation Among Forward Rates. IV Interest Rates Smiles. 23 How To Model Interest Rate Smiles. 24 Constant Elasticity of Variance (CEV) Processes in the Context of the LMM. 25 Stochastic Volatility Extensions of the LIBOR Market Model. 26 The Dynamics of the Swaption Matrix. 27 Stochastic Volatility Extension of the LMM: Two Regime Instantaneous Volatility. Bibliography. Index.
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