LEADER 01652nam 2200397Ia 450 001 996389955603316 005 20200824132606.0 035 $a(CKB)1000000000650425 035 $a(EEBO)2240917991 035 $a(OCoLC)ocm11873342e 035 $a(OCoLC)11873342 035 $a(EXLCZ)991000000000650425 100 $a19850401d1682 uy | 101 0 $aeng 135 $aurbn||||a|bb| 200 00$aNuncius C?lestis, or, The starry messenger for the year of our redemption 1682$b[electronic resource] $e... being the second from the bissextile or leap-year : wherein is contained (1) astronomical and meterological observations (2) astrological predictions of the state of the year ... (3) the rising and setting of the sun and moon, also her southing : together with many useful rules and tables ... accomodated to the meridian of London : to which is added a short account of the late dreadful comet ... /$fby Henry Coley .. 205 $aThe eleventh impression. 210 $aLondon $cPrinted by J.G. for the Company of Stationers$d1682 215 $a[50] p 300 $aReproduction of original in Bodleian Library. 330 $aeebo-0014 606 $aAlmanacs, English 606 $aAstrology$vEarly works to 1800 606 $aEphemerides 615 0$aAlmanacs, English. 615 0$aAstrology 615 0$aEphemerides. 700 $aColey$b Henry$f1633-1695?$01001031 801 0$bEAA 801 1$bEAA 801 2$bm/c 801 2$bWaOLN 906 $aBOOK 912 $a996389955603316 996 $aNuncius C?lestis, or, The starry messenger for the year of our redemption 1682$92421200 997 $aUNISA LEADER 06050nam 22008773u 450 001 9910143702803321 005 20210114061014.0 010 $a1-118-67353-0 010 $a1-280-26910-3 010 $a9786610269105 010 $a0-470-09140-1 035 $a(CKB)1000000000356560 035 $a(EBL)232702 035 $a(OCoLC)475938795 035 $a(SSID)ssj0000268414 035 $a(PQKBManifestationID)11217064 035 $a(PQKBTitleCode)TC0000268414 035 $a(PQKBWorkID)10213805 035 $a(PQKB)11297295 035 $a(MiAaPQ)EBC232702 035 $a(EXLCZ)991000000000356560 100 $a20131014d2005|||| u|| | 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aVolatility and Correlation$b[electronic resource] $eThe Perfect Hedger and the Fox 205 $a2nd ed. 210 $aHoboken $cWiley$d2005 215 $a1 online resource (866 p.) 225 1 $aThe Wiley Finance Series 300 $aDescription based upon print version of record. 311 $a0-470-09139-8 327 $aVolatility and Correlation 2(nd) Edition; Contents; Preface; 0.1 Why a Second Edition?; 0.2 What This Book Is Not About; 0.3 Structure of the Book; 0.4 The New Subtitle; Acknowledgements; I Foundations; 1 Theory and Practice of Option Modelling; 1.1 The Role of Models in Derivatives Pricing; 1.1.1 What Are Models For?; 1.1.2 The Fundamental Approach; 1.1.3 The Instrumental Approach; 1.1.4 A Conundrum (or, 'What is Vega Hedging For?'); 1.2 The Efficient Market Hypothesis and Why It Matters for Option Pricing; 1.2.1 The Three Forms of the EMH; 1.2.2 Pseudo-Arbitrageurs in Crisis 327 $a1.2.3 Model Risk for Traders and Risk Managers1.2.4 The Parable of the Two Volatility Traders; 1.3 Market Practice; 1.3.1 Different Users of Derivatives Models; 1.3.2 In-Model and Out-of-Model Hedging; 1.4 The Calibration Debate; 1.4.1 Historical vs Implied Calibration; 1.4.2 The Logical Underpinning of the Implied Approach; 1.4.3 Are Derivatives Markets Informationally Efficient?; 1.4.4 Back to Calibration; 1.4.5 A Practical Recommendation; 1.5 Across-Markets Comparison of Pricing and Modelling Practices; 1.6 Using Models; 2 Option Replication; 2.1 The Bedrock of Option Pricing 327 $a2.2 The Analytic (PDE) Approach2.2.1 The Assumptions; 2.2.2 The Portfolio-Replication Argument (Deterministic Volatility); 2.2.3 The Market Price of Risk with Deterministic Volatility; 2.2.4 Link with Expectations - the Feynman-Kac Theorem; 2.3 Binomial Replication; 2.3.1 First Approach - Replication Strategy; 2.3.2 Second Approach - 'Naive Expectation'; 2.3.3 Third Approach - 'Market Price of Risk'; 2.3.4 A Worked-Out Example; 2.3.5 Fourth Approach - Risk-Neutral Valuation; 2.3.6 Pseudo-Probabilities; 2.3.7 Are the Quantities ?(1) and ?(2) Really Probabilities? 327 $a2.3.8 Introducing Relative Prices2.3.9 Moving to a Multi-Period Setting; 2.3.10 Fair Prices as Expectations; 2.3.11 Switching Numeraires and Relating Expectations Under Different Measures; 2.3.12 Another Worked-Out Example; 2.3.13 Relevance of the Results; 2.4 Justifying the Two-State Branching Procedure; 2.4.1 How To Recognize a Jump When You See One; 2.5 The Nature of the Transformation between Measures: Girsanov's Theorem; 2.5.1 An Intuitive Argument; 2.5.2 A Worked-Out Example; 2.6 Switching Between the PDE, the Expectation and the Binomial Replication Approaches; 3 The Building Blocks 327 $a3.1 Introduction and Plan of the Chapter3.2 Definition of Market Terms; 3.3 Hedging Forward Contracts Using Spot Quantities; 3.3.1 Hedging Equity Forward Contracts; 3.3.2 Hedging Interest-Rate Forward Contracts; 3.4 Hedging Options: Volatility of Spot and Forward Processes; 3.5 The Link Between Root-Mean-Squared Volatilities and the Time-Dependence of Volatility; 3.6 Admissibility of a Series of Root-Mean-Squared Volatilities; 3.6.1 The Equity/FX Case; 3.6.2 The Interest-Rate Case; 3.7 Summary of the Definitions So Far; 3.8 Hedging an Option with a Forward-Setting Strike 327 $a3.8.1 Why Is This Option Important? (And Why Is it Difficult to Hedge?) 330 $aIn Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation - with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the 'perfect-replication' approach to derivatives pricing, with special attention given to exotic options; a t 410 4$aThe Wiley Finance Series 606 $aInterest rate futures 606 $aInterest rate futures - Mathematical models 606 $aMathematical models 606 $aOptions (Finance) - Mathematical models 606 $aOptions (Finance) 606 $aPrices 606 $aSecurities 606 $aSecurities - Prices - Mathematical models 606 $aInvestment & Speculation$2HILCC 606 $aFinance$2HILCC 606 $aBusiness & Economics$2HILCC 608 $aElectronic books. 615 4$aInterest rate futures. 615 4$aInterest rate futures - Mathematical models. 615 4$aMathematical models. 615 4$aOptions (Finance) - Mathematical models. 615 4$aOptions (Finance). 615 4$aPrices. 615 4$aSecurities. 615 4$aSecurities - Prices - Mathematical models. 615 7$aInvestment & Speculation 615 7$aFinance 615 7$aBusiness & Economics 676 $a332.6323 676 $a332.64/53 700 $aRebonato$b Riccardo$0464700 701 $aRebonato$b Riccardo$0464700 801 0$bAU-PeEL 801 1$bAU-PeEL 801 2$bAU-PeEL 906 $aBOOK 912 $a9910143702803321 996 $aVolatility and Correlation$92244958 997 $aUNINA