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VOLATILITY AND CORRELATION

THE PERFECT HEDGER AND THE FOX


Produto Indisponível

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Sinopse

The new edition of 'Volatility and correlation' 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. Covering FX, equity and interest-rate products, 'Volatility and correlation' is designed for traders, risk managers, financial professionals and students.

Detalhes do Produto

    • Edição:  2
    • Ano:  2004
    • País de Produção: United States
    • Código de Barras:  9780470091395
    • ISBN:  0470091398
    • Encadernação:  CAPA DURA
    • Complemento:  NENHUM
    • Nº de Páginas:  864

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