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Riccardo Rebonato

Volatility and Correlation (WILEY FINANCE)

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ISBN: 0470091398, 9780470091395
Издательство: John Wiley & Sons
The new edition of Volatility and Correlation has been thoroughly updated and expanded with over 80ew or reworked material, reflecting the changes and developments that have taken place in the field. The new and updated material includes: empirical and theoretical analysis of the smile dynamics; examination of the perfect-replication model in relation to exotic options; treatment of additional important models, namely, Variance Gamma, displaced diffusion, CEV, stochastic volatility for interest-rate smiles and equity/FX options; questioning of the informational efficiency of markets in commonly-used calibration and hedging practices. The book is split into four sections. Part I deals with a deterministic-volatility Black world (no smiles),and sets out the author's 'philosophical' approach to option pricing. Part II deals with smiles in the equity and FX worlds. Beginning with a review of relevant empirical information about smiles, this part provides coverage of...