Read e-book online Advanced Equity Derivatives: Volatility and Correlation PDF

By Sebastien Bossu,Peter Carr

ISBN-10: 1118750969

ISBN-13: 9781118750964

In Advanced fairness Derivatives: Volatility and Correlation, Sébastien Bossu stories and explains the complex innovations used for pricing and hedging fairness unique derivatives.  Designed for monetary modelers, choice investors and complicated traders, the content material covers crucial theoretical and useful extensions of the Black-Scholes model.

Each bankruptcy comprises a number of illustrations and a quick collection of difficulties, overlaying key themes resembling implied volatility floor versions, pricing with implied distributions, neighborhood volatility versions, volatility derivatives, correlation measures, correlation buying and selling, neighborhood correlation types and stochastic correlation.

The writer has a twin specialist and educational historical past, making Advanced fairness Derivatives: Volatility and Correlation the fitting reference for quantitative researchers and mathematically savvy finance execs seeking to collect an in-depth figuring out of fairness unique derivatives pricing and hedging.

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Advanced Equity Derivatives: Volatility and Correlation (Wiley Finance) by Sebastien Bossu,Peter Carr

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