Info
Advanced equity derivatives [[electronic resource] ] : volatility and correlation / / Se̊bastien Bossu
| Advanced equity derivatives [[electronic resource] ] : volatility and correlation / / Se̊bastien Bossu |
| Autore | Bossu Sébastien |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : John Wiley & Sons, , 2014 |
| Descrizione fisica | 1 online resource (172 p.) |
| Disciplina | 332.64/57 |
| Collana | Wiley Finance Series |
| Soggetto topico |
Derivative securities
Actius financers derivats |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
1-118-77471-X
1-118-83536-0 1-118-77484-1 |
| Classificazione | BUS027000 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover; Title Page; Copyright; Contents; Foreword; Preface; Acknowledgments; Chapter 1 Exotic Derivatives; 1-1 Single-Asset Exotics; 1-1.1 Digital Options; 1-1.2 Asian Options; 1-1.3 Barrier Options; 1-1.4 Lookback Options; 1-1.5 Forward Start Options; 1-1.6 Cliquet Options; 1-2 Multi-Asset Exotics; 1-2.1 Spread Options; 1-2.2 Basket Options; 1-2.3 Worst-Of and Best-Of Options; 1-2.4 Quanto Options; 1-3 Structured Products; References; Problems; 1.1 "Free" Option; 1.2 Autocallable; 1.3 Geometric Asian Option; 1.4 Change of Measure; 1.5 At-the-Money Lookback Options; 1.6 Siegel's Paradox
Appendix 1.A: Change of Measure and Girsanov's TheoremChapter 2 The Implied Volatility Surface; 2-1 The Implied Volatility Smile and Its Consequences; 2-1.1 Consequence for the Pricing of Call and Put Spreads; 2-1.2 Consequence for Hedge Ratios; 2-1.3 Consequence for the Pricing of Exotics; 2-2 Interpolation and Extrapolation; 2-3 Implied Volatility Surface Properties; 2-4 Implied Volatility Surface Models; 2-4.1 A Parametric Model of Implied Volatility: The SVI Model; 2-4.2 Indirect Models of Implied Volatility; References; Problems; 2.1 No Call or Put Spread Arbitrage Condition 2.2 No Butterfly Spread Arbitrage Condition2.3 Sticky True Delta Rule; 2.4 SVI Fit; Chapter 3 Implied Distributions; 3-1 Butterfly Spreads and the Implied Distribution; 3-2 European Payoff Pricing and Replication; 3-3 Pricing Methods for European Payoffs; 3-4 Greeks; References; Problems; 3.1 Overhedging Concave Payoffs; 3.2 Perfect Hedging with Puts and Calls; 3.3 Implied Distribution and Exotic Pricing; 3.4 Conditional Pricing; 3.5 Path-Dependent Payoff; 3.6 Delta; Chapter 4 Local Volatility and Beyond; 4-1 Local Volatility Trees; 4-2 Local Volatility in Continuous Time 4-3 Calculating Local Volatilities4-3.1 Dupire's Equation; 4-3.2 From Implied Volatility to Local Volatility; 4-3.3 Hedging with Local Volatility; 4-4 Stochastic Volatility; 4-4.1 Hedging Theory; 4-4.2 Connection with Local Volatility; 4-4.3 Monte Carlo Method; 4-4.4 Pricing and Hedging Forward Start Options; 4-4.5 A Word on Stochastic Volatility Models with Jumps; References; Problems; 4.1 From Implied to Local Volatility; 4.2 Market Price of Volatility Risk; 4.3 Local Volatility Pricing; Appendix 4.A: Derivation of Dupire's Equation; Chapter 5 Volatility Derivatives; 5-1 Volatility Trading 5-2 Variance Swaps5-2.1 Variance Swap Payoff; 5-2.2 Variance Swap Market; 5-2.3 Variance Swap Hedging and Pricing; 5-2.4 Forward Variance; 5-3 Realized Volatility Derivatives; 5-4 Implied Volatility Derivatives; 5-4.1 VIX Futures; 5-4.2 VIX Options; References; Problems; 5.1 Delta-Hedging P&L Simulation; 5.2 Volatility Trading with Options; 5.3 Fair Variance Swap Strike; 5.4 Generalized Variance Swaps; 5.5 Call on Realized Variance; Chapter 6 Introducing Correlation; 6-1 Measuring Correlation; 6-1.1 Historical Correlation; 6-1.2 Implied Correlation; 6-2 Correlation Matrices 6-3 Correlation Average |
| Record Nr. | UNINA-9910132199803321 |
Bossu Sébastien
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| Hoboken, New Jersey : , : John Wiley & Sons, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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Computation of Greeks using the discrete Malliavian calculus and binomial tree / / Yoshifumi Muroi
| Computation of Greeks using the discrete Malliavian calculus and binomial tree / / Yoshifumi Muroi |
| Autore | Muroi Yoshifumi |
| Pubbl/distr/stampa | Singapore : , : Springer, , [2022] |
| Descrizione fisica | 1 online resource (113 pages) |
| Disciplina | 332.645 |
| Collana | SpringerBriefs in Statistics |
| Soggetto topico |
Derivative securities - Mathematics
Malliavin calculus Càlcul de Malliavin Actius financers derivats |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
9789811910739
9789811910722 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-996472038203316 |
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Muroi Yoshifumi
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| Singapore : , : Springer, , [2022] | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Derivatives and Internal Models : Modern Risk Management / / by Hans-Peter Deutsch, Mark W. Beinker
| Derivatives and Internal Models : Modern Risk Management / / by Hans-Peter Deutsch, Mark W. Beinker |
| Autore | Deutsch Hans-Peter |
| Edizione | [5th ed. 2019.] |
| Pubbl/distr/stampa | Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2019 |
| Descrizione fisica | 1 online resource (XXXII, 897 p. 39 illus.) |
| Disciplina |
332.0415
332.632042 |
| Collana | Finance and Capital Markets Series |
| Soggetto topico |
Capital market
Financial risk management Accounting Economics Business enterprises - Finance Financial services industry Capital Markets Risk Management Corporate Finance Financial Services Gestió del risc Risc (Economia) Actius financers derivats |
| Soggetto genere / forma | Llibres electrònics |
| ISBN |
9783030228996
3030228991 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 1. Introduction -- 2. Fundamental Risk Factors of Financial Markets -- 3. Financial Instruments: A System of Derivatives and Underlyings -- 4. Overview of the Assumptions -- 5. Present Value Methods, Yields and Traditional Risk Measures -- 6. Arbitrage -- 7. The Black-Scholes Differential Equation -- 8. Integral Forms and Analytic Solutions in the Black-Scholes World -- 9. Binomial and Trinomial Trees -- 10. Numerical Solutions Using Finite Differences -- 11. Monte Carlo Simulations -- 12. Hedging -- 13. Martingales and Numeraires -- 14. Interest Rates and Term Structure Models -- 15. Simple Interest Rate Products -- 16. FX Derivatives -- 17. Variants of Fixed Income Instruments -- 18. Plain Vanilla Options -- 19. Exotic Options -- 20. Credit Risk -- 21. Fundamentals -- 22. The Variance-Covariance Method -- 23. Simulation Methods -- 24. Example of a VaR Computation -- 25. Backtesting: Checking the Applied Methods -- 26. Classical Portfolio Management -- 27. Attributes and their Characteristic Portfolios.-28. Active Management and Benchmarking -- 29. Construction of the Yield Curve Universe -- 30. Volatility -- 31. Market Parameter from Historical Time Series -- 32. Time Series Modeling -- 33. Forecasting with Time Series Models -- 34. Principal Component Analysis -- 35. Pre-Treatment of Time Series and Assessment of Models. |
| Record Nr. | UNINA-9910349526303321 |
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Deutsch Hans-Peter
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| Cham : , : Springer International Publishing : , : Imprint : Palgrave Macmillan, , 2019 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
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