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The new edition of "Volatility and Correlation" has been thoroughly updated and expanded with over 80ew or reworked material, reflecting the changes and developments that have taken place in the field. The new and updated material includes: empirical and theoretical analysis of the smile dynamics; examination of the perfect-replication model in relation to exotic options; treatment of additional important models, namely, Variance Gamma, displaced diffusion, CEV, stochastic volatility for interest-rate smiles and equity/FX options; questioning of the informational efficiency of markets in commonly-used calibration and hedging practices. The book is split into four sections. Part I deals with a deterministic-volatility Black world (no smiles), and sets out the author"s "philosophical" approach to option pricing. Part II deals with smiles in the equity and FX worlds. Beginning with a review of relevant empirical information about smiles, this part 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 process-based model, and can directly prescribe the dynamics of the smile surface. Part III focuses on interest rates, and part IV extends the setting used for the deterministic-volatility LIBOR market model in order to account for interest-rate smiles in a financially-motivated and computationally-tractable manner. In this final part the author deals, in increasing levels of complexity, with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Covering FX, equity and interest-rate products, "Volatility and Correlation" is a blend of theoretical and practical material and is designed for traders, risk managers, financial professionals and students. "The second edition is even more comprehensive than the first, and ideally suited to quantitatively oriented traders and risk managers. Rebonato has a knack for distilling the essence from a wide range of complex option pricing models." Darrell Duffie, Stanford University, USA "The author has greatly extended the first edition of this book, whose main merit remains its courage t

Volatility And Correlation: The Perfect Hedger And The Fox RICCARDO REBONATO (gratis) Libro de fotografias personalizado. La impresion de libros en PDF le da control total. The new edition of "Volatility and Correlation" has been thoroughly updated and expanded with over 80ew or reworked material, reflecting the changes and developments that have take

  • Nº de páginas: 836 págs.
  • Encuadernación: Tapa dura
  • Editorial: LEA
  • Lengua: INGLÉS
  • ISBN: 9780470091395
  • 1046 libros de Economía financiera

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