Frontiers in quantitative finance: volatility and credit risk modeling
The Petit Déjeuner de la Finance - which Rama Cont has been co-organizing in Paris since 1998 - is a well-known quantitative finance seminar that has progressively become a platform for the exchange of ideas between the academic and practitioner communities in quantitative finance. This seminar has...
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Hoboken, NJ
Wiley
2009
|
| Schriftenreihe: | Wiley finance series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Zusammenfassung: | The Petit Déjeuner de la Finance - which Rama Cont has been co-organizing in Paris since 1998 - is a well-known quantitative finance seminar that has progressively become a platform for the exchange of ideas between the academic and practitioner communities in quantitative finance. This seminar has included a prestigious list of international speakers who are considered major contributors to recent developments in quantitative finance. Frontiers in Quantitative Finance is a selection of recent presentations in the Petit Déjeuner de la Finance. Leading quants and academic researchers cover the most important emerging issues in quantitative finance and focus on portfolio credit risk and volatility modeling. |
| Beschreibung: | XVII, 299 S. graph. Darst. |
| ISBN: | 9780470292921 047029292X |
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| adam_text | FRONTIERS IN QUANTITATIVE VOLATILITY AND CREDIT RISK MODELING RAMA CONT,
EDITOR WILEY JOHN WILEY & SONS, INC. CONTENTS PREFACE IX ABOUT THE
EDITOR XIII ABOUT THE CONTRIBUTORS XV OPTION PRICING AND VOLATILITY
MODELING CHAPTER 1 A MOMENT APPROACH TO STATIC ARBITRAGE 3 ALEXANDRE
D ASPREMONT 1.1 INTRODUCTION 3 1.2 NO-ARBITRAGE CONDITIONS 7 1.3 EXAMPLE
15 1.4 CONCLUSION 16 CHAPTER2 ON BLACK-SCHOLES IMPNED VOLATILITY AT
EXTREME STRIKES IS SHALOM BENDIM, PETER FRIZ, AND ROGER LEE 2.1
INTRODUCTION 19 2.2 THE MOMENT FORMULA 20 2.3 REGULAR VARIATION AND THE
TAIL-WING FORMULA 24 2.4 RELATED RESULTS 27 2.5 APPLICATIONS 33 2.6
CEVANDSABR . 35 CHAPTERS DYNAMIC PROPERTIES OF SMILE MODELS 47 ^ LORENZO
BERGOMI 3.1 INTRODUCTION 48 3.2 SOME STANDARD SMILE MODELS 50 VL
CONTENTS 3.3 A NEW CLASS OF MODELS FOR SMILE DYNAMICS 65 3.4 PRICING
EXAMPLES 81 3.5 CONCLUSION 87 CHAPTER 4 A GEOMETRIC APPROACH TO THE
ASYMPTOTICS OF IMPLIED VOLATILITY 89 PIERRE HENRY-LABORDERE 4.1
VOLATILITY ASYMPTOTICS IN STOCHASTIC VOLATILITY MODELS 91 4.2 HEAT
KERNEL EXPANSION 92 4.3 GEOMETRY OF COMPLEX CURVES AND ASYMPTOTIC
VOLATILITY 100 4.4 A.-SABR MODEL AND HYPERBOLIC GEOMETRY 106 4.5 SABR
MODEL WITH/S = 0,1 117 4.6 CONCLUSIONS AND FUTURE WORK 122 4.7 APPENDIX
A: NOTIONS IN DIFFERENTIAL GEOMETRY 122 4.8 APPENDIX B: LAPLACE
INTEGRALS IN MANY DIMENSIONS 125 CHAPTER 5 PRICING, HEDGING, AND
CALIBRATION IN JUMP-DIFTUSION MODELS 129 PETER TANKOV AND EKATERINA
VOLTCHKOVA 5.1 OVERVIEW OF JUMP-DIFFUSION MODELS 131 5.2 PRICING
EUROPEAN OPTIONS VIA FOURIER TRANSFORM 137 5.3 INTEGRO-DIFFERENTIAL
EQUATIONS FOR BARRIER AND AMERICAN OPTIONS 140 5.4 HEDGING JUMP RISK 147
5.5 MODEL CALIBRATION 153 PJRTJWO^ _ _. _-_-_-- - ____ CREDIT RISK
CHAPTERS MODELING CREDIT RISK 183 L. C. G. ROGERS 6.1 WHAT IS THE
PROBLEM? 163 6.2 HAZARD RATE MODELS 166 6.3 STRUCTURAL MODELS 175 6.4
SOME NICE IDEAS 179 6.5 CONCLUSION 181 CONTENTS VJI CHAPTER? AN OVERVIEW
OF FACTOR MODELING FOR COO PRICING 185 JEAN-PAUL LAURENT AND ARESKI
COUSIN 7.1 PRICING OF PORTFOLIO CREDIT DERIVATIVES 185 7.2 FACTOR MODELS
FOR THE PRICING OF CDO TRANCHES 189 7.3 A REVIEW OF FACTOR APPROACHES TO
THE PRICING OF CDOS 198 7.4 CONCLUSION 212 CHAPTER 8 FACTOR
DISTRIBUTIONS IMPLIED BY QUOTED CDO SPREADS 217 ERIK SCHLOGL AND LUTZ
SCHLOGL 8.1 INTRODUCTION 217 .8.2 MODELING 220 8.3 EXAMPLES 224 8.4
CONCLUSION 231 8.5 APPENDIX: SOME USEFUL RESULTS ON HERMITE
POLYNOMIALS UNDER LINEAR COORDINATE TRANSFORMS 232 CHAPTERS PRICING CDOS
WITH A SMILE: THE LOCAL CORRELATION MODEL 235 JULIEN TURC AND PHILIPPE
VERY 9.1 THE LOCAL CORRELATION MODEL 9.2 SIMPLIFICATION UNDER THE LARGE
POOL ASSUMPTION 9.3 BUILDING THE LOCAL CORRELATION FUNCTION WITHOUT THE
LARGE POOL ASSUMPTION 9.4 PRICING AND HEDGING WITH LOCAL CORRELATION
CHAPTER 10 PORTFOLIO CREDIT RISK: TOP-DOWN VERSUS BOTTOM-UP APPROACHES
KAY GIESECKE 10.1 INTRODUCTION 10.2 PORTFOLIO CREDIT MODELS 10.3
INFORMATION AND SPECIFICATION 10.4 DEFAULT DISTRIBUTION 10.5 CALIBRATION
10.6 CONCLUSION 236 240 243 247 251 251 251 253 259 264 265 CHAPTER 11
FORWARD EQUATIONS FOR PORTFOLIO CREDIT DERIVATIVES 268 RAMA CONT AND
IOANA SAVESCU 11.1 PORTFOLIO CREDIT DERIVATIVES 270 11.2 TOP-DOWN MODELS
FOR CDO PRICING 273 VILL 11.3 11.4 11.5 11.6 EFFECTIVE DEFAULT INTENSITY
A FORWARD EQUATION FOR CDO PRICING RECOVERING FORWARD DEFAULT
INTENSITIES FROM TRANCHE SPREADS CONCLUSION CONTENTS 275 278 282 288
INDEX 295
|
| adam_txt |
FRONTIERS IN QUANTITATIVE VOLATILITY AND CREDIT RISK MODELING RAMA CONT,
EDITOR WILEY JOHN WILEY & SONS, INC. CONTENTS PREFACE IX ABOUT THE
EDITOR XIII ABOUT THE CONTRIBUTORS XV OPTION PRICING AND VOLATILITY
MODELING CHAPTER 1 A MOMENT APPROACH TO STATIC ARBITRAGE 3 ALEXANDRE
D'ASPREMONT 1.1 INTRODUCTION 3 1.2 NO-ARBITRAGE CONDITIONS 7 1.3 EXAMPLE
15 1.4 CONCLUSION 16 CHAPTER2 ON BLACK-SCHOLES IMPNED VOLATILITY AT
EXTREME STRIKES IS SHALOM BENDIM, PETER FRIZ, AND ROGER LEE 2.1
INTRODUCTION 19 2.2 THE MOMENT FORMULA 20 2.3 REGULAR VARIATION AND THE
TAIL-WING FORMULA 24 2.4 RELATED RESULTS 27 2.5 APPLICATIONS 33 2.6
CEVANDSABR . 35 CHAPTERS DYNAMIC PROPERTIES OF SMILE MODELS 47 ^ LORENZO
BERGOMI 3.1 INTRODUCTION 48 3.2 SOME STANDARD SMILE MODELS 50 VL
CONTENTS 3.3 A NEW CLASS OF MODELS FOR SMILE DYNAMICS 65 3.4 PRICING
EXAMPLES 81 3.5 CONCLUSION 87 CHAPTER 4 A GEOMETRIC APPROACH TO THE
ASYMPTOTICS OF IMPLIED VOLATILITY 89 PIERRE HENRY-LABORDERE 4.1
VOLATILITY ASYMPTOTICS IN STOCHASTIC VOLATILITY MODELS 91 4.2 HEAT
KERNEL EXPANSION 92 4.3 GEOMETRY OF COMPLEX CURVES AND ASYMPTOTIC
VOLATILITY 100 4.4 A.-SABR MODEL AND HYPERBOLIC GEOMETRY 106 4.5 SABR
MODEL WITH/S = 0,1 117 4.6 CONCLUSIONS AND FUTURE WORK 122 4.7 APPENDIX
A: NOTIONS IN DIFFERENTIAL GEOMETRY 122 4.8 APPENDIX B: LAPLACE
INTEGRALS IN MANY DIMENSIONS 125 CHAPTER 5 PRICING, HEDGING, AND
CALIBRATION IN JUMP-DIFTUSION MODELS 129 PETER TANKOV AND EKATERINA
VOLTCHKOVA 5.1 OVERVIEW OF JUMP-DIFFUSION MODELS 131 5.2 PRICING
EUROPEAN OPTIONS VIA FOURIER TRANSFORM 137 5.3 INTEGRO-DIFFERENTIAL
EQUATIONS FOR BARRIER AND AMERICAN OPTIONS 140 5.4 HEDGING JUMP RISK 147
5.5 MODEL CALIBRATION 153 PJRTJWO^ _ _. _-_-_-- - _ CREDIT RISK
CHAPTERS MODELING CREDIT RISK 183 L. C. G. ROGERS 6.1 WHAT IS THE
PROBLEM? 163 6.2 HAZARD RATE MODELS 166 6.3 STRUCTURAL MODELS 175 6.4
SOME NICE IDEAS 179 6.5 CONCLUSION 181 CONTENTS VJI CHAPTER? AN OVERVIEW
OF FACTOR MODELING FOR COO PRICING 185 JEAN-PAUL LAURENT AND ARESKI
COUSIN 7.1 PRICING OF PORTFOLIO CREDIT DERIVATIVES 185 7.2 FACTOR MODELS
FOR THE PRICING OF CDO TRANCHES 189 7.3 A REVIEW OF FACTOR APPROACHES TO
THE PRICING OF CDOS 198 7.4 CONCLUSION 212 CHAPTER 8 FACTOR
DISTRIBUTIONS IMPLIED BY QUOTED CDO SPREADS 217 ERIK SCHLOGL AND LUTZ
SCHLOGL 8.1 INTRODUCTION 217 .8.2 MODELING 220 8.3 EXAMPLES 224 8.4
CONCLUSION " 231 8.5 APPENDIX: SOME USEFUL RESULTS ON HERMITE
POLYNOMIALS UNDER LINEAR COORDINATE TRANSFORMS 232 CHAPTERS PRICING CDOS
WITH A SMILE: THE LOCAL CORRELATION MODEL 235 JULIEN TURC AND PHILIPPE
VERY 9.1 THE LOCAL CORRELATION MODEL 9.2 SIMPLIFICATION UNDER THE LARGE
POOL ASSUMPTION 9.3 BUILDING THE LOCAL CORRELATION FUNCTION WITHOUT THE
LARGE POOL ASSUMPTION 9.4 PRICING AND HEDGING WITH LOCAL CORRELATION
CHAPTER 10 PORTFOLIO CREDIT RISK: TOP-DOWN VERSUS BOTTOM-UP APPROACHES
KAY GIESECKE 10.1 INTRODUCTION 10.2 PORTFOLIO CREDIT MODELS 10.3
INFORMATION AND SPECIFICATION 10.4 DEFAULT DISTRIBUTION 10.5 CALIBRATION
10.6 CONCLUSION 236 240 243 247 251 251 251 253 259 264 265 CHAPTER 11
FORWARD EQUATIONS FOR PORTFOLIO CREDIT DERIVATIVES 268 RAMA CONT AND
IOANA SAVESCU 11.1 PORTFOLIO CREDIT DERIVATIVES 270 11.2 TOP-DOWN MODELS
FOR CDO PRICING 273 VILL 11.3 11.4 11.5 11.6 EFFECTIVE DEFAULT INTENSITY
A FORWARD EQUATION FOR CDO PRICING RECOVERING FORWARD DEFAULT
INTENSITIES FROM TRANCHE SPREADS CONCLUSION CONTENTS 275 278 282 288
INDEX 295 |
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| spelling | Frontiers in quantitative finance volatility and credit risk modeling Rama Cont ed. Hoboken, NJ Wiley 2009 XVII, 299 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance series The Petit Déjeuner de la Finance - which Rama Cont has been co-organizing in Paris since 1998 - is a well-known quantitative finance seminar that has progressively become a platform for the exchange of ideas between the academic and practitioner communities in quantitative finance. This seminar has included a prestigious list of international speakers who are considered major contributors to recent developments in quantitative finance. Frontiers in Quantitative Finance is a selection of recent presentations in the Petit Déjeuner de la Finance. Leading quants and academic researchers cover the most important emerging issues in quantitative finance and focus on portfolio credit risk and volatility modeling. Mathematisches Modell Finance Mathematical models Derivative securities Mathematical models Kreditrisiko (DE-588)4114309-7 gnd rswk-swf Optionspreis (DE-588)4115453-8 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Kreditrisiko (DE-588)4114309-7 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Optionspreis (DE-588)4115453-8 s Volatilität (DE-588)4268390-7 s Cont, Rama Sonstige (DE-588)140923446 oth GBV Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016966345&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
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| title | Frontiers in quantitative finance volatility and credit risk modeling |
| title_auth | Frontiers in quantitative finance volatility and credit risk modeling |
| title_exact_search | Frontiers in quantitative finance volatility and credit risk modeling |
| title_exact_search_txtP | Frontiers in quantitative finance volatility and credit risk modeling |
| title_full | Frontiers in quantitative finance volatility and credit risk modeling Rama Cont ed. |
| title_fullStr | Frontiers in quantitative finance volatility and credit risk modeling Rama Cont ed. |
| title_full_unstemmed | Frontiers in quantitative finance volatility and credit risk modeling Rama Cont ed. |
| title_short | Frontiers in quantitative finance |
| title_sort | frontiers in quantitative finance volatility and credit risk modeling |
| title_sub | volatility and credit risk modeling |
| topic | Mathematisches Modell Finance Mathematical models Derivative securities Mathematical models Kreditrisiko (DE-588)4114309-7 gnd Optionspreis (DE-588)4115453-8 gnd Volatilität (DE-588)4268390-7 gnd Mathematisches Modell (DE-588)4114528-8 gnd |
| topic_facet | Mathematisches Modell Finance Mathematical models Derivative securities Mathematical models Kreditrisiko Optionspreis Volatilität Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016966345&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT contrama frontiersinquantitativefinancevolatilityandcreditriskmodeling |