{"product_id":"advanced-equity-derivatives-volatility-and-correlation-hardback-9781118750964","title":"Advanced Equity Derivatives; Volatility and Correlation (Hardback) 9781118750964","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eAdvanced Equity Derivatives\u003c\/font\u003e\u003cbr\u003e\r\n\u003cfont size=\"5\"\u003eVolatility and Correlation\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eSebastien Bossu (Author), Peter Carr (Foreword by)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9781118750964, Wiley\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 1 July 2014\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e176 pages\u003cbr\u003e23.6 x 16 x 1.8 cm, 0.349 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003e\u003cp\u003eIn \u003ci\u003eAdvanced Equity Derivatives: Volatility and Correlation\u003c\/i\u003e, Sébastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives.  Designed for financial modelers, option traders and sophisticated investors, the content covers the most important theoretical and practical extensions of the Black-Scholes model.\u003c\/p\u003e \u003cp\u003eEach chapter includes numerous illustrations and a short selection of problems, covering key topics such as implied volatility surface models, pricing with implied distributions, local volatility models, volatility derivatives, correlation measures, correlation trading, local correlation models and stochastic correlation.\u003c\/p\u003e \u003cp\u003eThe author has a dual professional and academic background, making \u003ci\u003eAdvanced Equity Derivatives: Volatility and Correlation\u003c\/i\u003e the perfect reference for quantitative researchers and mathematically savvy finance professionals looking to acquire an in-depth understanding of equity exotic derivatives pricing and hedging.\u003c\/p\u003e\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e\u003cp\u003eForeword xi\u003c\/p\u003e \u003cp\u003ePreface xiii\u003c\/p\u003e \u003cp\u003eAcknowledgments xv\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 Exotic Derivatives 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1-1 Single-Asset Exotics 1\u003c\/p\u003e \u003cp\u003e1-2 Multi-Asset Exotics 4\u003c\/p\u003e \u003cp\u003e1-3 Structured Products 9\u003c\/p\u003e \u003cp\u003eReferences 11\u003c\/p\u003e \u003cp\u003eProblems 11\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 The Implied Volatility Surface 15\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2-1 The Implied Volatility Smile and Its Consequences 15\u003c\/p\u003e \u003cp\u003e2-2 Interpolation and Extrapolation 20\u003c\/p\u003e \u003cp\u003e2-3 Implied Volatility Surface Properties 22\u003c\/p\u003e \u003cp\u003e2-4 Implied Volatility Surface Models 22\u003c\/p\u003e \u003cp\u003eReferences 29\u003c\/p\u003e \u003cp\u003eProblems 30\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Implied Distributions 33\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3-1 Butterfly Spreads and the Implied Distribution 33\u003c\/p\u003e \u003cp\u003e3-2 European Payoff Pricing and Replication 36\u003c\/p\u003e \u003cp\u003e3-3 Pricing Methods for European Payoffs 39\u003c\/p\u003e \u003cp\u003e3-4 Greeks 41\u003c\/p\u003e \u003cp\u003eReferences 42\u003c\/p\u003e \u003cp\u003eProblems 42\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Local Volatility and Beyond 45\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4-1 Local Volatility Trees 45\u003c\/p\u003e \u003cp\u003e4-2 Local Volatility in Continuous Time 46\u003c\/p\u003e \u003cp\u003e4-3 Calculating Local Volatilities 48\u003c\/p\u003e \u003cp\u003e4-4 Stochastic Volatility 50\u003c\/p\u003e \u003cp\u003eReferences 55\u003c\/p\u003e \u003cp\u003eProblems 55\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Volatility Derivatives 59\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5-1 Volatility Trading 59\u003c\/p\u003e \u003cp\u003e5-2 Variance Swaps 61\u003c\/p\u003e \u003cp\u003e5-3 Realized Volatility Derivatives 65\u003c\/p\u003e \u003cp\u003e5-4 Implied Volatility Derivatives 67\u003c\/p\u003e \u003cp\u003eReferences 70\u003c\/p\u003e \u003cp\u003eProblems 70\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Introducing Correlation 73\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6-1 Measuring Correlation 73\u003c\/p\u003e \u003cp\u003e6-2 Correlation Matrices 75\u003c\/p\u003e \u003cp\u003e6-3 Correlation Average 77\u003c\/p\u003e \u003cp\u003e6-4 Black-Scholes with Constant Correlation 82\u003c\/p\u003e \u003cp\u003e6-5 Local Volatility with Constant Correlation 84\u003c\/p\u003e \u003cp\u003eReferences 84\u003c\/p\u003e \u003cp\u003eProblems 85\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Correlation Trading 87\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7-1 Dispersion Trading 87\u003c\/p\u003e \u003cp\u003e7-2 Correlation Swaps 91\u003c\/p\u003e \u003cp\u003eProblems 93\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Local Correlation 95\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8-1 The Implied Correlation Smile and Its Consequences 95\u003c\/p\u003e \u003cp\u003e8-2 Local Volatility with Local Correlation 97\u003c\/p\u003e \u003cp\u003e8-3 Dynamic Local Correlation Models 99\u003c\/p\u003e \u003cp\u003e8-4 Limitations 99\u003c\/p\u003e \u003cp\u003eReferences 100\u003c\/p\u003e \u003cp\u003eProblems 100\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Stochastic Correlation 103\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9-1 Stochastic Single Correlation 103\u003c\/p\u003e \u003cp\u003e9-2 Stochastic Average Correlation 104\u003c\/p\u003e \u003cp\u003e9-3 Stochastic Correlation Matrix 108\u003c\/p\u003e \u003cp\u003eReferences 111\u003c\/p\u003e \u003cp\u003eProblems 111\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix A Probability Review 115\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA-1 Standard Probability Theory 115\u003c\/p\u003e \u003cp\u003eA-2 Random Variables, Distribution, and Independence 116\u003c\/p\u003e \u003cp\u003eA-3 Conditioning 117\u003c\/p\u003e \u003cp\u003eA-4 Random Processes and Stochastic Calculus 118\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix B Linear Algebra Review 119\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eB-1 Euclidean Spaces 119\u003c\/p\u003e \u003cp\u003eB-2 Square Matrix Decompositions 120\u003c\/p\u003e \u003cp\u003eSolutions Manual 123\u003c\/p\u003e \u003cp\u003eAuthor’s Note 143\u003c\/p\u003e \u003cp\u003eAbout the Author 145\u003c\/p\u003e \u003cp\u003eIndex 147\u003c\/p\u003e\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Finance \u0026amp; accounting [\u003ca title=\"See our other books on Finance 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