By Sebastien Bossu,Peter Carr
In Advanced fairness Derivatives: Volatility and Correlation, Sébastien Bossu reports and explains the complex ideas used for pricing and hedging fairness unique derivatives. Designed for monetary modelers, choice investors and complex traders, the content material covers crucial theoretical and functional extensions of the Black-Scholes model.
Each bankruptcy contains a number of illustrations and a brief collection of difficulties, masking key subject matters corresponding to implied volatility floor types, pricing with implied distributions, neighborhood volatility types, volatility derivatives, correlation measures, correlation buying and selling, neighborhood correlation versions and stochastic correlation.
The writer has a twin specialist and educational heritage, making Advanced fairness Derivatives: Volatility and Correlation definitely the right reference for quantitative researchers and mathematically savvy finance execs seeking to gather an in-depth knowing of fairness unique derivatives pricing and hedging.
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Bachelor Thesis from the yr 2013 within the topic company economics - funding and Finance, grade: 2,7, college of Mannheim (Area Banking, Finance, and Insurance), language: English, summary: Leveraged exchange-traded cash (LETFs) song the advance of an underlying index with a definite multiplier.
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Advanced Equity Derivatives: Volatility and Correlation (Wiley Finance) by Sebastien Bossu,Peter Carr