Advanced Equity Derivatives: Volatility and Correlation by Sebastien Bossu, Peter Carr

By Sebastien Bossu, Peter Carr

In Advanced fairness Derivatives: Volatility and Correlation, Sébastien Bossu reports and explains the complicated recommendations used for pricing and hedging fairness unique derivatives.  Designed for monetary modelers, choice investors and complex traders, the content material covers an important theoretical and useful extensions of the Black-Scholes model.

Each bankruptcy comprises quite a few illustrations and a brief choice of difficulties, protecting key subject matters equivalent to implied volatility floor versions, pricing with implied distributions, neighborhood volatility versions, 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 suitable reference for quantitative researchers and mathematically savvy finance execs seeking to collect an in-depth figuring out of fairness unique derivatives pricing and hedging.

Show description

Read Online or Download Advanced Equity Derivatives: Volatility and Correlation PDF

Best finance books

The Credit Default Swap Basis

The expansion of the credits derviatives industry has produced a liquid marketplace in credits default swaps around the credits curve, and this liquidity has led many traders to entry either the credits by-product and money bond markets to fulfill their funding requirements.

This publication investigates the shut dating among the factitious and money markets in credits, which manifests itself within the credits default change foundation. Choudhry covers the criteria that force the root, implications for industry contributors, the CDS index foundation, and buying and selling the basis.

Credit marketplace traders and investors in addition to someone with an curiosity within the international debt markets will locate this insightful and lucrative.

The Economist (4 February 2012)

The Economist is an English-language weekly information and foreign affairs book owned through "The Economist Newspaper Ltd" and edited in London. it's been in non-stop booklet given that James Wilson validated it in September 1843. As of summer season 2007, its general stream crowned 1.

Advanced Equity Derivatives: Volatility and Correlation

In complicated fairness Derivatives: Volatility and Correlation, Sébastien Bossu reports and explains the complex options used for pricing and hedging fairness unique derivatives.  Designed for monetary modelers, alternative investors and complex traders, the content material covers an important theoretical and sensible extensions of the Black-Scholes version.

Additional info for Advanced Equity Derivatives: Volatility and Correlation

Example text

In all other cases the payoff is typically programmed on a Monte Carlo simulation engine. Multi-asset structured products significantly expand the payoff possibilities of exotic options. They allow investors to play on correlation and express complex investment views. EXAMPLE Worst-Of Reverse Convertible Note Quanto CHF Issuer: ABC Bank Co. Notional amount: CHF 5,000,000 Issue date: [Today] Maturity date: [Today + 3 years] Underlying indexes: S&P 500 (SPX), EuroStoxx-50 (SX5E), Nikkei 225 (NKY) Payoff: (a) If, between the start and maturity dates, all underlying indexes always trade above the Barrier level, Issuer will pay: )) ( ( SPXfinal SX5Efinal NKYfinal , , Notional × max 120%, min SPXinitial SX5Einitial NKYinitial (Continued) 1 Provided the issuer does not go bankrupt.

Gatheral, Jim. 2004. ” Proceedings of the Global Derivatives and Risk Management 2004 Madrid conference. Gatheral, Jim. 2005. The Implied Volatility Surface: A Practitioner’s Guide. Hoboken, NJ: John Wiley & Sons. Gatheral, Jim, and Antoine Jacquier. 2011. ” Quantitative Finance 11 (8): 1129–1132. Gurrieri, Sébastien. 2011. ” Working paper. 1779463. , Deep Kumar, Andrew L. Lesniewski, and Diana E. Woodward. 2002. ” Wilmott Magazine (September): 84–108. Heston, Stephen L. 1993. ” Review of Financial Studies 6 (2): 327–343.

Gatheral, Jim. 2005. The Implied Volatility Surface: A Practitioner’s Guide. Hoboken, NJ: John Wiley & Sons. Gatheral, Jim, and Antoine Jacquier. 2011. ” Quantitative Finance 11 (8): 1129–1132. Gurrieri, Sébastien. 2011. ” Working paper. 1779463. , Deep Kumar, Andrew L. Lesniewski, and Diana E. Woodward. 2002. ” Wilmott Magazine (September): 84–108. Heston, Stephen L. 1993. ” Review of Financial Studies 6 (2): 327–343. Hodges, Hardy M. 1996. ” Journal of Derivatives (Summer): 23–35. Homescu, Cristian.

Download PDF sample

Rated 4.90 of 5 – based on 29 votes