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Book Categories |
| I | Foundations | 1 |
| 1 | Theory and practice of option modelling | 3 |
| 2 | Option replication | 31 |
| 3 | The building blocks | 75 |
| 4 | Variance and mean reversion in the real and the risk-adjusted worlds | 101 |
| 5 | Instantaneous and terminal correlation | 141 |
| II | Smiles - equity and FX | 165 |
| 6 | Pricing options in the presence of smiles | 167 |
| 7 | Empirical facts about smiles | 201 |
| 8 | General features of smile-modelling approaches | 237 |
| 9 | The input data : fitting an exogenous smile surface | 249 |
| 10 | Quadratic variation and smiles | 293 |
| 11 | Local-volatility models : the Derman-and-Kani approach | 319 |
| 12 | Extracting the local volatility from option prices | 345 |
| 13 | Stochastic-volatility processes | 389 |
| 14 | Jump-diffusion processes | 439 |
| 15 | Variance-gamma | 511 |
| 16 | Displaced diffusions and generalizations | 529 |
| 17 | No-arbitrage restrictions on the dynamics of smile surfaces | 563 |
| III | Interest rates - deterministic volatilities | 601 |
| 18 | Mean reversion in interest-rate models | 603 |
| 19 | Volatility and correlation in the LIBOR market model | 625 |
| 20 | Calibration strategies for the LIBOR market model | 639 |
| 21 | Specifying the instantaneous volatility of forward rates | 667 |
| 22 | Specifying the instantaneous correlation among forward rates | 687 |
| IV | Interest rates - smiles | 701 |
| 23 | How to model interest-rate smiles | 703 |
| 24 | (CEV) processes in the context of the LMM | 729 |
| 25 | Stochastic-volatility extensions of the LMM | 751 |
| 26 | The dynamics of the swaption matrix | 765 |
| 27 | Stochastic-volatility extension of the LMM : two-regime instantaneous volatility | 783 |
| Price | Condition | Delivery | Seller | Action |
| $99.99 | Digital |
| WonderClub |
Dave Berte
reviewed Volatility and Correlation: The Perfect Hedger and the Fox on September 01, 2015 Volatility and Correlation: The Perfect Hedger and the Fox
I HATE this subject and anything quantitative. But if you, like me, are a complete klutz at regression analysis and can't tell a t-test from a t-shirt, this book will get you through the theory part of your exam. It saved my grade when I failed my practical.
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Add Volatility and Correlation: The Perfect Hedger and the Fox, In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of, Volatility and Correlation: The Perfect Hedger and the Fox to the inventory that you are selling on WonderClubX
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Add Volatility and Correlation: The Perfect Hedger and the Fox, In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of, Volatility and Correlation: The Perfect Hedger and the Fox to your collection on WonderClub |