<P>This book presents a factor-based model of the stochastic evolution of the implied volatility surface. The model allows for the integrated and consistent pricing and hedging, risk management, and trading of equity index derivatives as well as volatility derivatives. In the first part, the book de
Indifference Pricing in a Basis Risk Model with Stochastic Volatility
โ Scribed by Kwok-Chung Ivan, Lam
- Publisher
- Oxford University
- Year
- 2011
- Tongue
- English
- Leaves
- 34
- Series
- Mathematical Finance Group
- Edition
- 1
- Category
- Library
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
<P>This book presents a factor-based model of the stochastic evolution of the implied volatility surface. The model allows for the integrated and consistent pricing and hedging, risk management, and trading of equity index derivatives as well as volatility derivatives. In the first part, the book de
<i>Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities is devoted to the modeling and pricing of various kinds of swaps, such as those for variance, volatility, covariance, correlation, for financial and energy markets with different stochastic volatilities, w
<p><span>This treatise delves into the latest advancements in stochastic volatility models, highlighting the utilization of Markov chain Monte Carlo simulations for estimating model parameters and forecasting the volatility and quantiles of financial asset returns. The modeling of financial time ser
This treatise delves into the latest advancements in stochastic volatility models, highlighting the utilization of Markov chain Monte Carlo simulations for estimating model parameters and forecasting the volatility and quantiles of financial asset returns. The modeling of financial time series volat