Volatility and Correlation
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Описание:
The new edition of Volatility and Correlation has been thoroughly updated and expanded with over 80% new 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...Похожие книги
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