By Sebastien Bossu,Peter Carr
In Advanced fairness Derivatives: Volatility and Correlation, Sébastien Bossu reports and explains the complex recommendations used for pricing and hedging fairness unique derivatives. Designed for monetary modelers, choice investors and complicated traders, the content material covers crucial theoretical and functional extensions of the Black-Scholes model.
Each bankruptcy contains a variety of illustrations and a quick number of difficulties, protecting key issues corresponding to implied volatility floor types, pricing with implied distributions, neighborhood volatility types, volatility derivatives, correlation measures, correlation buying and selling, neighborhood correlation versions and stochastic correlation.
The writer has a twin specialist and educational history, making Advanced fairness Derivatives: Volatility and Correlation the correct reference for quantitative researchers and mathematically savvy finance execs trying to collect an in-depth realizing of fairness unique derivatives pricing and hedging.
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Advanced Equity Derivatives: Volatility and Correlation (Wiley Finance) by Sebastien Bossu,Peter Carr