DMCA. Copyrighted Work that you can Claim.
Base have 820 524 books.
Search: 


📙 Volatility and correlation: the perfect hedger and the fox by Riccardo Rebonato — epub download


In 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 thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options.

The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface.

Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes.

Praise for the First Edition:

“In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.… The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.” —Professor Ian Cooper, London Business School

“Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion…A rare combination of intellectual insight and practical common sense.” —Anthony Neuberger, London Business School

About book:

About file:

  • File size: 7 360 970
  • Format: pdf


Security code:
Download button

Similar books results


Volatility and Correlation: The Perfect Hedger and the Fox (Wiley Finance)
Volatility and Correlation: The Perfect Hedger and the Fox (Wiley Finance) free download by Riccardo Rebonato

Between major conventional military wars, the economic wars continue. This is a snapshot of the financial instrument instrument war by a sophisticated player. Escalation in this war is rapid, the book was surely dated before publication, however, conside...

Measuring and Controlling Interest Rate and Credit Risk, 2nd edition
Measuring and Controlling Interest Rate and Credit Risk, 2nd edition download pdf by Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

Measuring and Controlling Interest Rate and Credit Risk provides keys to using derivatives to control interest rate risk and credit risk, and controlling interest rate risk in a mortgage-backed securities derivative portfolio. This book includes informa...

Empirical Economic and Financial Research: Theory, Methods and Practice
Empirical Economic and Financial Research: Theory, Methods and Practice download pdf by Jan Beran, Yuanhua Feng, Hartmut Hebbel (eds.)

The purpose of this book is to establish a connection between the traditional field of empirical economic research and the emerging area of empirical financial research and to build a bridge between theoretical developments in these areas and their applic...

Physical geology
Physical geology pdf free by Charles (Carlos) Plummer, Diane Carlson, Lisa Hammersley

Physical Geology, 15th edition, is the latest refinement of a classic introductory text that has helped countless students learn basic physical geology concepts for over 25 years. Students taking introductory physical geology to fulfill a science elective...

Advanced Equity Derivatives: Volatility and Correlation
Advanced Equity Derivatives: Volatility and Correlation epub download by Sebastien Bossu, Peter Carr

In Advanced Equity Derivatives: Volatility and Correlation, Sébastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives.  Designed for financial modelers, option traders and sophisticated investors, th...

Why Does Stock Market Volatility Change Over Time?
Why Does Stock Market Volatility Change Over Time? free epub by G. William Schwert

This paper analyzes the relation of stock volatility with real and nominal macroeconomie volatility, economic activity, financial leverage, and stock trading activity using monthly data from 1857 to 1987. An important fact, previously noted by Officer (19...

The Myth of the Rational Market: A History of Risk, Reward, and Delusion on Wall Street
The Myth of the Rational Market: A History of Risk, Reward, and Delusion on Wall Street epub download by Justin Fox

In this fascinating book, Justin Fox, the business and economics columnist for Time magazine, charts the rise and fall of the myth of the efficient market. This notion was mostly American in origin, so Fox tells its story in a few universities, including...

Modelling the Riskiness in Country Risk Ratings: An Empirical Analysis of the Trends and Volatilities in Country Risk Ratings and Risk Returns
Modelling the Riskiness in Country Risk Ratings: An Empirical Analysis of the Trends and Volatilities in Country Risk Ratings and Risk Returns free epub by Suhejla Hoti, Michael McAleer

The importance of country risk is underscored by the existence of several prominent country risk rating agencies. These agencies combine information regarding alternative measures of economic, financial and political risk into associated composite risk ra...

Pricing of Bond Options: Unspanned Stochastic Volatility and Random Field Models
Pricing of Bond Options: Unspanned Stochastic Volatility and Random Field Models pdf free by Dr. Detlef Repplinger (auth.)

RWT Award 2008!For his excellent monograph, Detlef Repplinger won the RWT Reutlinger Wirtschaftstreuhand GMBH award in June 2008.A major theme of this book is the development of a consistent unified model framework for the evaluation of bond options. In g...