Advanced equity derivatives: volatility and correlation
"In Advanced Equity Derivatives: Volatility and Correlation, Sebastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives. Designed for financial modelers, option traders and sophisticated investors, the content covers the most important theo...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Hoboken, NJ [u.a.]
Wiley
2014
|
| Schriftenreihe: | Wiley finance series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Zusammenfassung: | "In Advanced Equity Derivatives: Volatility and Correlation, Sebastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives. Designed for financial modelers, option traders and sophisticated investors, the content covers the most important theoretical and practical extensions of the Black-Scholes model. Each chapter includes numerous illustrations and a short selection of problems, covering key topics such as implied volatility surface models, pricing with implied distributions, local volatility models, volatility derivatives, correlation measures, correlation trading, local correlation models and stochastic correlation. Volatility and correlation are remarkably connected through the author's proxy formula which he discovered in 2004, and shares in the book. He also reveals a new derivation using linear algebra (included in Chapter 6), and the proxy formula is then exploited in the following chapters for correlation trading and correlation modeling. The author has a dual professional and academic background, making Advanced Equity Derivatives: Volatility and Correlation the perfect reference for quantitative researchers and mathematically savvy finance professionals looking to acquire an in-depth understanding of equity exotic derivatives pricing and hedging".. |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | XV, 152 S. graph. Darst. |
| ISBN: | 9781118750964 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV041722223 | ||
| 003 | DE-604 | ||
| 005 | 20150115 | ||
| 007 | t | ||
| 008 | 140306s2014 xxud||| |||| 00||| eng d | ||
| 010 | |a 013046823 | ||
| 020 | |a 9781118750964 |c cloth |9 978-1-118-75096-4 | ||
| 035 | |a (OCoLC)882935620 | ||
| 035 | |a (DE-599)BVBBV041722223 | ||
| 040 | |a DE-604 |b ger |e aacr | ||
| 041 | 0 | |a eng | |
| 044 | |a xxu |c US | ||
| 049 | |a DE-11 |a DE-473 |a DE-945 |a DE-355 | ||
| 050 | 0 | |a HG6024.A3 | |
| 082 | 0 | |a 332.64/57 |2 23 | |
| 084 | |a QK 650 |0 (DE-625)141674: |2 rvk | ||
| 084 | |a QK 660 |0 (DE-625)141676: |2 rvk | ||
| 100 | 1 | |a Bossu, Sébastien |e Verfasser |0 (DE-588)1052952976 |4 aut | |
| 245 | 1 | 0 | |a Advanced equity derivatives |b volatility and correlation |c Sébastien Bossu |
| 264 | 1 | |a Hoboken, NJ [u.a.] |b Wiley |c 2014 | |
| 300 | |a XV, 152 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Wiley finance series | |
| 500 | |a Includes bibliographical references and index | ||
| 520 | |a "In Advanced Equity Derivatives: Volatility and Correlation, Sebastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives. Designed for financial modelers, option traders and sophisticated investors, the content covers the most important theoretical and practical extensions of the Black-Scholes model. Each chapter includes numerous illustrations and a short selection of problems, covering key topics such as implied volatility surface models, pricing with implied distributions, local volatility models, volatility derivatives, correlation measures, correlation trading, local correlation models and stochastic correlation. Volatility and correlation are remarkably connected through the author's proxy formula which he discovered in 2004, and shares in the book. He also reveals a new derivation using linear algebra (included in Chapter 6), and the proxy formula is then exploited in the following chapters for correlation trading and correlation modeling. The author has a dual professional and academic background, making Advanced Equity Derivatives: Volatility and Correlation the perfect reference for quantitative researchers and mathematically savvy finance professionals looking to acquire an in-depth understanding of equity exotic derivatives pricing and hedging".. | ||
| 650 | 7 | |a BUSINESS & ECONOMICS / Finance |2 bisacsh | |
| 650 | 4 | |a Wirtschaft | |
| 650 | 4 | |a Derivative securities | |
| 650 | 4 | |a BUSINESS & ECONOMICS / Finance | |
| 650 | 0 | 7 | |a Kapitalmarkt |0 (DE-588)4029578-3 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Derivat |g Wertpapier |0 (DE-588)4381572-8 |2 gnd |9 rswk-swf |
| 689 | 0 | 0 | |a Derivat |g Wertpapier |0 (DE-588)4381572-8 |D s |
| 689 | 0 | 1 | |a Kapitalmarkt |0 (DE-588)4029578-3 |D s |
| 689 | 0 | |5 DE-604 | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe, EPUB |z 978-1-118-77471-7 |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe, PDF |z 978-1-118-77484-7 |
| 856 | 4 | 2 | |m Digitalisierung UB Bamberg - ADAM Catalogue Enrichment |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027169180&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-027169180 | ||
Datensatz im Suchindex
| _version_ | 1804152000921731072 |
|---|---|
| adam_text | v
vy
ŕ .-ý
■
Contents
Foreword
xl
Preface
xiii
Acknowledgments
xv
СНАРТБИ
Exotic Derivatives
1
1-1
Single-Asset Exotics
1
1-2
Multi
-Asset Exotics
4
1-3
Structured Products
9
References
11
Problems
11
CHAPTttZ
Ίθ
ImpHed Volatility Surf ace
15
2-1
The Implied Volatility Smile and Its Consequences
15
2-2
Interpolation and Extrapolation
20
2-3
Implied Volatility Surface Properties
22
2-4
Implied Volatility Surface Models
22
References and Bibliography
29
Problems
30
СНАРТШЗ
bnpBed
nstributfons
38
3-1
Butterfly Spreads and the Implied Distribution
33
3-2
European Payoff Pricing and Replication
36
3-3
Pricing Methods for European Payoffs
39
3-4
Greeks 41
References
Problems
VI
CONTENTS
CHAPTER
4
Local Volatility and Beyond
46
4-1
Local Volatility Trees
45
4-2
Local Volatility in Continuous Time
46
4-3
Calculating Local Volatilities
48
4-4
Stochastic Volatility
50
References
55
Problems
55
Volatility Derivatives
58
5-1
Volatility Trading
59
5-2
Variance Swaps
61
5-3
Realized Volatility Derivatives
65
5-4
Implied Volatility Derivatives
67
References
70
Problems
70
CHAPTER
β
Introducing Correlation
78
6-1
Measuring Correlation
73
6-2
Correlation Matrices
75
6-3
Correlation Average
77
6-4
Black-Scholes with Constant Correlation
82
6-5
Local Volatility with Constant Correlation
84
References
84
Problems
85
CHAPTER
7
Correlation Trading
87
7-1
Dispersion Trading
87
7-2
Correlation Swaps
91
Problems
93
СНАРТИ
8
Local Correlation
95
8-1
The Implied Correlation Smile and Its Consequences
95
8-2
Local Volatility with Local Correlation
97
8-3
Dynamic Local Correlation Models
99
8-4
Limitations
99
References
200
Problems
j
00
Contents
_______________________________________________________________________________
CHAPTER
Є
Stochastic Correlation
103
9-1
Stochastic Single Correlation
103
9-2
Stochastic Average Correlation
104
9-3
Stochastic Correlation Matrix
108
References 111
Problems 111
Appendix A Probability Review
115
A-l Standard Probability Theory
115
A-2 Random Variables, Distribution, and Independence
116
A-3 Conditioning
117
A-4 Random Processes and Stochastic Calculus
118
Appendix
В
linear Algebra Review
11
Э
B-l Euclidean Spaces
119
B-2 Square Matrix Decompositions
120
Solutions Manual
123
Author s Note
About the Author 14S
Index
147
|
| any_adam_object | 1 |
| author | Bossu, Sébastien |
| author_GND | (DE-588)1052952976 |
| author_facet | Bossu, Sébastien |
| author_role | aut |
| author_sort | Bossu, Sébastien |
| author_variant | s b sb |
| building | Verbundindex |
| bvnumber | BV041722223 |
| callnumber-first | H - Social Science |
| callnumber-label | HG6024 |
| callnumber-raw | HG6024.A3 |
| callnumber-search | HG6024.A3 |
| callnumber-sort | HG 46024 A3 |
| callnumber-subject | HG - Finance |
| classification_rvk | QK 650 QK 660 |
| ctrlnum | (OCoLC)882935620 (DE-599)BVBBV041722223 |
| dewey-full | 332.64/57 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.64/57 |
| dewey-search | 332.64/57 |
| dewey-sort | 3332.64 257 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>03296nam a2200505 c 4500</leader><controlfield tag="001">BV041722223</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20150115 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">140306s2014 xxud||| |||| 00||| eng d</controlfield><datafield tag="010" ind1=" " ind2=" "><subfield code="a">013046823</subfield></datafield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781118750964</subfield><subfield code="c">cloth</subfield><subfield code="9">978-1-118-75096-4</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)882935620</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV041722223</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">aacr</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxu</subfield><subfield code="c">US</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-11</subfield><subfield code="a">DE-473</subfield><subfield code="a">DE-945</subfield><subfield code="a">DE-355</subfield></datafield><datafield tag="050" ind1=" " ind2="0"><subfield code="a">HG6024.A3</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.64/57</subfield><subfield code="2">23</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 650</subfield><subfield code="0">(DE-625)141674:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 660</subfield><subfield code="0">(DE-625)141676:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Bossu, Sébastien</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)1052952976</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Advanced equity derivatives</subfield><subfield code="b">volatility and correlation</subfield><subfield code="c">Sébastien Bossu</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Hoboken, NJ [u.a.]</subfield><subfield code="b">Wiley</subfield><subfield code="c">2014</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XV, 152 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="490" ind1="0" ind2=" "><subfield code="a">Wiley finance series</subfield></datafield><datafield tag="500" ind1=" " ind2=" "><subfield code="a">Includes bibliographical references and index</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">"In Advanced Equity Derivatives: Volatility and Correlation, Sebastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives. Designed for financial modelers, option traders and sophisticated investors, the content covers the most important theoretical and practical extensions of the Black-Scholes model. Each chapter includes numerous illustrations and a short selection of problems, covering key topics such as implied volatility surface models, pricing with implied distributions, local volatility models, volatility derivatives, correlation measures, correlation trading, local correlation models and stochastic correlation. Volatility and correlation are remarkably connected through the author's proxy formula which he discovered in 2004, and shares in the book. He also reveals a new derivation using linear algebra (included in Chapter 6), and the proxy formula is then exploited in the following chapters for correlation trading and correlation modeling. The author has a dual professional and academic background, making Advanced Equity Derivatives: Volatility and Correlation the perfect reference for quantitative researchers and mathematically savvy finance professionals looking to acquire an in-depth understanding of equity exotic derivatives pricing and hedging"..</subfield></datafield><datafield tag="650" ind1=" " ind2="7"><subfield code="a">BUSINESS & ECONOMICS / Finance</subfield><subfield code="2">bisacsh</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Wirtschaft</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">Derivative securities</subfield></datafield><datafield tag="650" ind1=" " ind2="4"><subfield code="a">BUSINESS & ECONOMICS / Finance</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Kapitalmarkt</subfield><subfield code="0">(DE-588)4029578-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Derivat</subfield><subfield code="g">Wertpapier</subfield><subfield code="0">(DE-588)4381572-8</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Derivat</subfield><subfield code="g">Wertpapier</subfield><subfield code="0">(DE-588)4381572-8</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Kapitalmarkt</subfield><subfield code="0">(DE-588)4029578-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Online-Ausgabe, EPUB</subfield><subfield code="z">978-1-118-77471-7</subfield></datafield><datafield tag="776" ind1="0" ind2="8"><subfield code="i">Erscheint auch als</subfield><subfield code="n">Online-Ausgabe, PDF</subfield><subfield code="z">978-1-118-77484-7</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Bamberg - ADAM Catalogue Enrichment</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027169180&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-027169180</subfield></datafield></record></collection> |
| id | DE-604.BV041722223 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T01:03:46Z |
| institution | BVB |
| isbn | 9781118750964 |
| language | English |
| lccn | 013046823 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027169180 |
| oclc_num | 882935620 |
| open_access_boolean | |
| owner | DE-11 DE-473 DE-BY-UBG DE-945 DE-355 DE-BY-UBR |
| owner_facet | DE-11 DE-473 DE-BY-UBG DE-945 DE-355 DE-BY-UBR |
| physical | XV, 152 S. graph. Darst. |
| publishDate | 2014 |
| publishDateSearch | 2014 |
| publishDateSort | 2014 |
| publisher | Wiley |
| record_format | marc |
| series2 | Wiley finance series |
| spelling | Bossu, Sébastien Verfasser (DE-588)1052952976 aut Advanced equity derivatives volatility and correlation Sébastien Bossu Hoboken, NJ [u.a.] Wiley 2014 XV, 152 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wiley finance series Includes bibliographical references and index "In Advanced Equity Derivatives: Volatility and Correlation, Sebastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives. Designed for financial modelers, option traders and sophisticated investors, the content covers the most important theoretical and practical extensions of the Black-Scholes model. Each chapter includes numerous illustrations and a short selection of problems, covering key topics such as implied volatility surface models, pricing with implied distributions, local volatility models, volatility derivatives, correlation measures, correlation trading, local correlation models and stochastic correlation. Volatility and correlation are remarkably connected through the author's proxy formula which he discovered in 2004, and shares in the book. He also reveals a new derivation using linear algebra (included in Chapter 6), and the proxy formula is then exploited in the following chapters for correlation trading and correlation modeling. The author has a dual professional and academic background, making Advanced Equity Derivatives: Volatility and Correlation the perfect reference for quantitative researchers and mathematically savvy finance professionals looking to acquire an in-depth understanding of equity exotic derivatives pricing and hedging".. BUSINESS & ECONOMICS / Finance bisacsh Wirtschaft Derivative securities BUSINESS & ECONOMICS / Finance Kapitalmarkt (DE-588)4029578-3 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 s Kapitalmarkt (DE-588)4029578-3 s DE-604 Erscheint auch als Online-Ausgabe, EPUB 978-1-118-77471-7 Erscheint auch als Online-Ausgabe, PDF 978-1-118-77484-7 Digitalisierung UB Bamberg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027169180&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Bossu, Sébastien Advanced equity derivatives volatility and correlation BUSINESS & ECONOMICS / Finance bisacsh Wirtschaft Derivative securities BUSINESS & ECONOMICS / Finance Kapitalmarkt (DE-588)4029578-3 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4029578-3 (DE-588)4381572-8 |
| title | Advanced equity derivatives volatility and correlation |
| title_auth | Advanced equity derivatives volatility and correlation |
| title_exact_search | Advanced equity derivatives volatility and correlation |
| title_full | Advanced equity derivatives volatility and correlation Sébastien Bossu |
| title_fullStr | Advanced equity derivatives volatility and correlation Sébastien Bossu |
| title_full_unstemmed | Advanced equity derivatives volatility and correlation Sébastien Bossu |
| title_short | Advanced equity derivatives |
| title_sort | advanced equity derivatives volatility and correlation |
| title_sub | volatility and correlation |
| topic | BUSINESS & ECONOMICS / Finance bisacsh Wirtschaft Derivative securities BUSINESS & ECONOMICS / Finance Kapitalmarkt (DE-588)4029578-3 gnd Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | BUSINESS & ECONOMICS / Finance Wirtschaft Derivative securities Kapitalmarkt Derivat Wertpapier |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027169180&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT bossusebastien advancedequityderivativesvolatilityandcorrelation |