The Resource Advanced equity derivatives : volatility and correlation, Sebastien Bossu

Advanced equity derivatives : volatility and correlation, Sebastien Bossu

Label
Advanced equity derivatives : volatility and correlation
Title
Advanced equity derivatives
Title remainder
volatility and correlation
Statement of responsibility
Sebastien Bossu
Creator
Subject
Language
eng
Summary
"In Advanced Equity Derivatives: Volatility and Correlation, Sebastien 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. Each 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. Volatility and correlation are remarkably connected through the author's proxy formula which he discovered in 2004, and shares in the book. He also reveals a new derivation using linear algebra (included in Chapter 6), and the proxy formula is then exploited in the following chapters for correlation trading and correlation modeling. The author has a dual professional and academic background, making Advanced Equity Derivatives: Volatility and Correlation 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"--
Member of
Assigning source
Provided by publisher
Cataloging source
DLC
Dewey number
332.64/57
Index
index present
LC call number
HG6024.A3
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
Wiley finance series
Label
Advanced equity derivatives : volatility and correlation, Sebastien Bossu
Publication
Bibliography note
Includes bibliographical references and index
http://library.link/vocab/branchCode
  • net
Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Control code
ocn864808998
Extent
1 online resource
Form of item
online
Isbn
9781118774847
Lccn
2013048878
Media category
computer
Media MARC source
rdamedia
Media type code
c
http://library.link/vocab/ext/overdrive/overdriveId
  • 0418f010-722c-47bb-aa88-1743d29b577a
  • cl0500000570
http://library.link/vocab/recordID
.b30259332
Specific material designation
remote
System control number
  • (OCoLC)864808998
  • pebcs111877471X

Library Locations

    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
Processing Feedback ...