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Coherent stress testing [[electronic resource] ] : a Bayesian approach to the analysis of financial stress / / Riccardo Rebonato
| Coherent stress testing [[electronic resource] ] : a Bayesian approach to the analysis of financial stress / / Riccardo Rebonato |
| Autore | Rebonato Riccardo |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, 2010 |
| Descrizione fisica | 1 online resource (241 p.) |
| Disciplina | 658.15/501519542 |
| Soggetto topico |
Risk management
Probabilities Bayesian statistical decision theory |
| ISBN |
0-470-97148-7
1-118-37471-1 1-282-68378-0 9786612683787 0-470-66736-2 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910139184103321 |
Rebonato Riccardo
|
||
| Hoboken, NJ, : Wiley, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Coherent stress testing : a Bayesian approach to the analysis of financial stress / / Riccardo Rebonato
| Coherent stress testing : a Bayesian approach to the analysis of financial stress / / Riccardo Rebonato |
| Autore | Rebonato Riccardo |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, 2010 |
| Descrizione fisica | 1 online resource (241 p.) |
| Disciplina | 658.15/501519542 |
| Soggetto topico |
Risk management
Probabilities Bayesian statistical decision theory |
| ISBN |
0-470-97148-7
1-118-37471-1 1-282-68378-0 9786612683787 0-470-66736-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Coherent Stress Testing -- Contents -- Acknowledgements -- 1 Introduction -- 1.1 Why We Need Stress Testing -- 1.2 Plan of the Book -- 1.3 Suggestions for Further Reading -- I Data, Models and Reality -- 2 Risk and Uncertainty - or, Why Stress Testing is Not Enough -- 2.1 The Limits of Quantitative Risk Analysis -- 2.2 Risk or Uncertainty? -- 2.3 Suggested Reading -- 3 The Role of Models in Risk Management and Stress Testing -- 3.1 How Did We Get Here? -- 3.2 Statement of the Two Theses of this Chapter -- 3.3 Defence of the First Thesis (Centrality of Models) -- 3.3.1 Models as Indispensable Interpretative Tools -- 3.3.2 The Plurality-of-Models View -- 3.4 Defence of the Second Thesis (Coordination) -- 3.4.1 Traders as Agents -- 3.4.2 Agency Brings About Coordination -- 3.4.3 From Coordination to Positive Feedback -- 3.5 The Role of Stress and Scenario Analysis -- 3.6 Suggestions for Further Reading -- 4 What Kind of Probability Do We Need in Risk Management? -- 4.1 Frequentist versus Subjective Probability -- 4.2 Tail Co-dependence -- 4.3 From Structural Models to Co-dependence -- 4.4 Association or Causation? -- 4.5 Suggestions for Further Reading -- II The Probabilistic Tools and Concepts -- Probability with Boolean Variables I: Marginal and Conditional Probabilities -- 5.1 The Set-up and What We are Trying to Achieve -- 5.2 (Marginal) Probabilities -- 5.3 Deterministic Causal Relationship -- 5.4 Conditional Probabilities -- 5.5 Time Ordering and Causation -- 5.6 An Important Consequence: Bayes' Theorem -- 5.7 Independence -- 5.8 Two Worked-Out Examples -- 5.8.1 Dangerous Running -- 5.8.2 Rare and Even More Dangerous Diseases -- 5.9 Marginal and Conditional Probabilities: A Very Important Link -- 5.10 Interpreting and Generalizing the Factors -- 5.11 Conditional Probability Maps -- 6 Probability with Boolean Variables II: Joint Probabilities.
6.1 Conditioning on More Than One Event -- 6.2 Joint Probabilities -- 6.3 A Remark on Notation -- 6.4 From the Joint to the Marginal and the Conditional Probabilities -- 6.5 From the Joint Distribution to Event Correlation -- 6.6 From the Conditional and Marginal to the Joint Probabilities? -- 6.7 Putting Independence to Work -- 6.8 Conditional Independence -- 6.9 Obtaining Joint Probabilities with Conditional Independence -- 6.10 At a Glance -- 6.11 Summary -- 6.12 Suggestions for Further Reading -- 7 Creating Probability Bounds -- 7.1 The Lay of the Land -- 7.2 Bounds on Joint Probabilities -- 7.3 How Tight are these Bounds in Practice? -- 8 Bayesian Nets I: An Introduction -- 8.1 Bayesian Nets: An Informal Definition -- 8.2 De.ning the Structure of Bayesian Nets -- 8.3 More About Conditional Independence -- 8.4 What Goes in the Conditional Probability Tables? -- 8.5 Useful Relationships -- 8.6 A Worked-Out Example -- 8.7 A Systematic Approach -- 8.8 What Can We Do with Bayesian Nets? -- 8.8.1 Unravelling the Causal Structure -- 8.8.2 Estimating the Joint Probabilities -- 8.9 Suggestions for Further Reading -- 9 Bayesian Nets II: Constructing Probability Tables -- 9.1 Statement of the Problem -- 9.2 Marginal Probabilities - First Approach -- 9.2.1 Starting from a Fixed Probability -- 9.2.2 Starting from a Fixed Magnitude of the Move -- 9.3 Marginal Probabilities - Second Approach -- 9.4 Handling Events of Different Probability -- 9.5 Conditional Probabilities: A Reasonable Starting Point -- 9.6 Conditional Probabilities: Checks and Constraints -- 9.6.1 Necessary Conditions -- 9.6.2 Triplet Conditions -- 9.6.3 Independence -- 9.6.4 Deterministic Causation -- 9.6.5 Incompatibility of Events -- 9.7 Internal Compatibility of Conditional Probabilities: The Need for a Systematic Approach -- III Applications. 10 Obtaining a Coherent Solution I: Linear Programming -- 10.1 Plan of the Work Ahead -- 10.2 Coherent Solution with Conditional Probabilities Only -- 10.3 The Methodology in Practice: First Pass -- 10.4 The CPU Cost of the Approach -- 10.5 Illustration of the Linear Programming Technique -- 10.6 What Can We Do with this Information? -- 10.6.1 Extracting Information with Conditional Probabilities Only -- 10.6.2 Extracting Information with Conditional and Marginal Probabilities -- 11 Obtaining a Coherent Solution II: Bayesian Nets -- 11.1 Solution with Marginal and n-conditioned Probabilities -- 11.1.1 Generalizing the Results -- 11.2 An 'Automatic' Prescription to Build Joint Probabilities -- 11.3 What Can We Do with this Information? -- 11.3.1 Risk-Adjusting Returns -- IV Making It Work In Practice -- 12 Overcoming Our Cognitive Biases -- 12.1 Cognitive Shortcomings and Bounded Rationality -- 12.1.1 How Pervasive are Cognitive Shortcomings? -- 12.1.2 The Social Context -- 12.1.3 Adaptiveness -- 12.2 Representativeness -- 12.3 Quantification of the Representativeness Bias -- 12.4 Causal/Diagnostic and Positive/Negative Biases -- 12.5 Conclusions -- 12.6 Suggestions for Further Reading -- 13 Selecting and Combining Stress Scenarios -- 13.1 Bottom Up or Top Down? -- 13.2 Relative Strengths and Weaknesses of the Two Approaches -- 13.3 Possible Approaches to a Top-Down Analysis -- 13.4 Sanity Checks -- 13.5 How to Combine Stresses - Handling the Dimensionality Curse -- 13.6 Combining the Macro and Bottom-Up Approaches -- 14 Governance -- 14.1 The Institutional Aspects of Stress Testing -- 14.1.1 Transparency and Ease of Use -- 14.1.2 Challenge by Non-specialists -- 14.1.3 Checks for Completeness -- 14.1.4 Interactions among Different Specialists -- 14.1.5 Auditability of the Process and of the Results -- 14.2 Lines of Criticism. 14.2.1 The Role of Subjective Inputs -- 14.2.2 The Complexity of the Stress-testing Process -- Appendix A Simple Introduction to Linear Programming -- A.1 Plan of the Appendix -- A.2 Linear Programming - A Refresher -- A.3 The Simplex Method -- References -- Index. |
| Record Nr. | UNINA-9910825531003321 |
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Rebonato Riccardo
|
||
| Hoboken, NJ, : Wiley, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The SABR/LIBOR market model [[electronic resource] ] : pricing, calibration and hedging for complex interest-rate derivatives / / Riccardo Rebonato Kenneth McKay Richard White
| The SABR/LIBOR market model [[electronic resource] ] : pricing, calibration and hedging for complex interest-rate derivatives / / Riccardo Rebonato Kenneth McKay Richard White |
| Autore | Rebonato Riccardo |
| Pubbl/distr/stampa | Hoboken, NJ, : John Wiley & Sons, 2009 |
| Descrizione fisica | 1 online resource (298 p.) |
| Disciplina | 332.63/23 |
| Altri autori (Persone) |
McKayKenneth <1981->
WhiteRichard <1976-> |
| Soggetto topico |
Hedging (Finance) - Mathematical models
Options (Finance) - Prices - Mathematical models Derivative securities - Accounting Interest rate futures LIBOR market model |
| ISBN |
1-119-99563-9
1-119-20639-1 1-282-68985-1 9786612689857 0-470-74488-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | The SABR/LIBOR Market Model; Contents; Acknowledgements; 1 Introduction; I The Theoretical Set-Up; II Implementation and Calibration; III Empirical Evidence; IV Hedging; References; Index |
| Record Nr. | UNINA-9910139504503321 |
|
Rebonato Riccardo
|
||
| Hoboken, NJ, : John Wiley & Sons, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
The SABR/LIBOR market model : pricing, calibration and hedging for complex interest-rate derivatives / / Riccardo Rebonato Kenneth McKay Richard White
| The SABR/LIBOR market model : pricing, calibration and hedging for complex interest-rate derivatives / / Riccardo Rebonato Kenneth McKay Richard White |
| Autore | Rebonato Riccardo |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Hoboken, NJ, : John Wiley & Sons, 2009 |
| Descrizione fisica | 1 online resource (298 p.) |
| Disciplina | 332.63/23 |
| Altri autori (Persone) |
McKayKenneth <1981->
WhiteRichard <1976-> |
| Soggetto topico |
Hedging (Finance) - Mathematical models
Options (Finance) - Prices - Mathematical models Derivative securities - Accounting Interest rate futures LIBOR market model |
| ISBN |
1-119-99563-9
1-119-20639-1 1-282-68985-1 9786612689857 0-470-74488-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | The SABR/LIBOR Market Model; Contents; Acknowledgements; 1 Introduction; I The Theoretical Set-Up; II Implementation and Calibration; III Empirical Evidence; IV Hedging; References; Index |
| Record Nr. | UNINA-9910812724303321 |
|
Rebonato Riccardo
|
||
| Hoboken, NJ, : John Wiley & Sons, 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Volatility and Correlation [[electronic resource] ] : The Perfect Hedger and the Fox
| Volatility and Correlation [[electronic resource] ] : The Perfect Hedger and the Fox |
| Autore | Rebonato Riccardo |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, : Wiley, 2005 |
| Descrizione fisica | 1 online resource (866 p.) |
| Disciplina |
332.6323
332.64/53 |
| Altri autori (Persone) | RebonatoRiccardo |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Interest rate futures
Interest rate futures - Mathematical models Mathematical models Options (Finance) - Mathematical models Options (Finance) Prices Securities Securities - Prices - Mathematical models Investment & Speculation Finance Business & Economics |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-118-67353-0
1-280-26910-3 9786610269105 0-470-09140-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Volatility 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
1.2.3 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 2.2 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 π(1) and π(2) Really Probabilities? 2.3.8 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 3.1 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 3.8.1 Why Is This Option Important? (And Why Is it Difficult to Hedge?) |
| Record Nr. | UNINA-9910143702803321 |
|
Rebonato Riccardo
|
||
| Hoboken, : Wiley, 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Volatility and Correlation [[electronic resource] ] : The Perfect Hedger and the Fox
| Volatility and Correlation [[electronic resource] ] : The Perfect Hedger and the Fox |
| Autore | Rebonato Riccardo |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, : Wiley, 2005 |
| Descrizione fisica | 1 online resource (866 p.) |
| Disciplina |
332.6323
332.64/53 |
| Altri autori (Persone) | RebonatoRiccardo |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Interest rate futures
Interest rate futures - Mathematical models Mathematical models Options (Finance) - Mathematical models Options (Finance) Prices Securities Securities - Prices - Mathematical models Investment & Speculation Finance Business & Economics |
| ISBN |
1-118-67353-0
1-280-26910-3 9786610269105 0-470-09140-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Volatility 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
1.2.3 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 2.2 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 π(1) and π(2) Really Probabilities? 2.3.8 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 3.1 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 3.8.1 Why Is This Option Important? (And Why Is it Difficult to Hedge?) |
| Record Nr. | UNINA-9910830708703321 |
|
Rebonato Riccardo
|
||
| Hoboken, : Wiley, 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Volatility and correlation : the perfect hedger and the fox / / Riccardo Rebonato
| Volatility and correlation : the perfect hedger and the fox / / Riccardo Rebonato |
| Autore | Rebonato Riccardo |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Chichester, West Sussex ; ; Hoboken, NJ, : J. Wiley, 2004 |
| Descrizione fisica | 1 online resource (866 p.) |
| Disciplina |
332.6323
332.64/53 |
| Altri autori (Persone) | RebonatoRiccardo |
| Collana | The Wiley Finance Series |
| Soggetto topico |
Options (Finance) - Mathematical models
Interest rate futures - Mathematical models Securities - Prices - Mathematical models |
| ISBN |
1-118-67353-0
1-280-26910-3 9786610269105 0-470-09140-1 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Volatility 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
1.2.3 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 2.2 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 π(1) and π(2) Really Probabilities? 2.3.8 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 3.1 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 3.8.1 Why Is This Option Important? (And Why Is it Difficult to Hedge?) |
| Record Nr. | UNINA-9910877669903321 |
|
Rebonato Riccardo
|
||
| Chichester, West Sussex ; ; Hoboken, NJ, : J. Wiley, 2004 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||