By Sebastien Bossu,Peter Carr
In Advanced fairness Derivatives: Volatility and Correlation, Sébastien Bossu experiences and explains the complex innovations 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 useful extensions of the Black-Scholes model.
Each bankruptcy contains various illustrations and a quick choice of difficulties, protecting key issues equivalent to implied volatility floor versions, pricing with implied distributions, neighborhood volatility versions, volatility derivatives, correlation measures, correlation buying and selling, neighborhood correlation types and stochastic correlation.
The writer has a twin expert and educational heritage, making Advanced fairness Derivatives: Volatility and Correlation the correct reference for quantitative researchers and mathematically savvy finance execs trying to gather an in-depth figuring out of fairness unique derivatives pricing and hedging.
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Extra info for Advanced Equity Derivatives: Volatility and Correlation (Wiley Finance)
Advanced Equity Derivatives: Volatility and Correlation (Wiley Finance) by Sebastien Bossu,Peter Carr