The Volatility Surface : A Practitioner's Guide
Jim. Gatheral
Bok Engelsk 2006 · Electronic books.
| Annen tittel | |
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| Utgitt | Chichester : : Wiley, , 2006.
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| Omfang | 1 online resource (209 p.)
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| Opplysninger | Description based upon print version of record.. - The Volatility Surface: A Practitioner's Guide; Contents; Figures; Tables; Foreword; Preface; Acknowledgments; Chapter 1: Stochastic Volatility and Local Volatility; Chapter 2: The Heston Model; Chapter 3: The Implied Volatility Surface; Chapter 4: The Heston-Nandi Model; Chapter 5: Adding Jumps; Chapter 6: Modeling Default Risk; Chapter 7: Volatility Surface Asymptotics; Chapter 8: Dynamics of the Volatility Surface; Chapter 9: Barrier Options; Chapter 10: Exotic Cliquets; Chapter 11: Volatility Derivatives; Postscript; Bibliography; Index. - Praise for The Volatility Surface""I'm thrilled by the appearance of Jim Gatheral's new book The Volatility Surface. The literature on stochastic volatility is vast, but difficult to penetrate and use. Gatheral's book, by contrast, is accessible and practical. It successfully charts a middle ground between specific examples and general models--achieving remarkable clarity without giving up sophistication, depth, or breadth.""--Robert V. Kohn, Professor of Mathematics and Chair, Mathematical Finance Committee, Courant Institute of Mathematical Sciences, New York University<b
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| Emner | Options (Finance) - Prices Mathematical models
Stocks - Prices Mathematical models Mathematical models. Prices. Vis mer... Aksjer
Business & Economics Finance Investment & Speculation Opsjoner investeringer volatilitet opsjoner priser |
| Sjanger | |
| Dewey | |
| ISBN | 0471792519. - 9780471792512
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