| Description |
xvii, 338 pages : illustrations ; 24 cm |
| Series |
Wiley series in financial engineering |
|
Wiley series in financial engineering.
|
| Contents |
Pt. 1. Foundations. 1. Volatility: Fundamental Concepts and Definitions. 2. Variance and Mean Reversion in the Real and the Risk-Adjusted Worlds. 3. Instantaneous and Terminal Correlations -- Pt. 2. Dealing with Smiles. 4. Pricing Options in the Presence of Smiles. 5. Tree Methodologies for Smiley Option Prices. 6. Efficient Extraction of the Future Local Volatility from Plain-Vanilla Option Prices. 7. Closed-Form Solutions for Smiley Option Prices via Direct Modelling of the Density. 8. Explaining Smiles by Means of Mixed Jump - Diffusion Processes -- Pt. 3. Interest Rates. 9. The Role of Mean Reversion in Interest-Rate Models. 10. Optimal Calibration of the Brace-Gatarek-Musiela Model. 11. Specifying the Instantaneous Volatility of Forward Rates |
| Summary |
"Volatility and Correlation in the Pricing of Equity, FX and Interest-Rate Options is split into three sections."--BOOK JACKET. "In the first, an introduction is presented to the complex concepts of correlation and volatility encountered in equity/FX and interest-rate option pricing, aimed at providing practitioners with a better informed choice when deciding which models to utilise."--BOOK JACKET. "The author then moves on to the problem of smiles, with considerable emphasis placed on option pricing when markets are incomplete."--BOOK JACKET. "The analysis of the third part deals with the role of volatility and correlation in the context of interest-rate models."--BOOK JACKET |
| Bibliography |
Includes bibliographical references and index |
| Subject |
Interest rate futures -- Mathematical models.
|
|
Options (Finance) -- Mathematical models.
|
|
Options -- Finance
|
|
Securities -- Prices -- Mathematical models.
|
| LC no. |
99035173 |
| ISBN |
0471899984 |
|
