Title
Copyright
Dedication
Preface
Chapter 1: Mathematical Preliminaries
Introduction
Complex Numbers
Finding Roots of Functions
OLS and WLS
Nelder-Mead Algorithm
Maximum Likelihood Estimation
Cubic Spline Interpolation
Summary
Exercises
Solutions to Exercises
Chapter 2: Numerical Integration
Introduction
Newton-Coates Formulas
Implementing Newton-Cotes Formulas in VBA
Gaussian Quadratures
Summary
Exercises
Solution to Exercises
Appendix
Chapter 3: Tree-Based Methods
Introduction
CRR Binomial Tree
Leisen-Reimer Binomial Tree
Edgeworth Binomial Tree. Flexible Binomial TreeTrinomial Tree
Adaptive Mesh Method
Comparing Trees
Implied Volatility Trees
Allowing for Dividends and The Cost-of-Carry
Summary
Exercises
Solutions to Exercises
Chapter 4: The Black-Scholes, Practitioner Black-Scholes, and Gram-Charlier Models
Introduction
The Black-Scholes Model
Implied Volatility and The DVF
The Practitioner Black-Scholes Model
The Gram-Charlier Model
Summary
Exercises
Solutions to Exercises
Chapter 5: The Heston (1993) Stochastic Volatility Model
Introduction
The Heston (1993) Model
Increasing Integration Accuracy. The Fundamental TransformSensitivity Analysis
Summary
Exercises
Solutions to Exercises
Appendix
Chapter 6: The Heston and Nandi (2000) GARCH Model
Introduction
Persistent Volatility in Asset Returns
Garch Variance Modeling
The Heston and Nandi (2000) Model
Summary
Exercises
Solutions to Exercises
Chapter 7: The Greeks
Introduction
Black-Scholes Greeks
Greeks From The Trees
Greeks From The Gram-Charlier Model
Greeks From The Heston (1993) Model
Greeks From The Heston and Nandi (2000) Model
Greeks By Finite Differences
Summary
Exercises
Solutions to Exercises
Appendix. Chapter 8: Exotic OptionsIntroduction
Single-Barrier Options
Digital Options
Asian Options
Floating-Strike Lookback Options
Summary
Exercises
Solutions to Exercises
Chapter 9: Parameter Estimation
Introduction
Unconditional Moments
Maximum Likelihood for Garch Models
Estimation by Loss Functions
Other Estimation Methods
Summary
Exercises
Solutions to Exercises
Chapter 10: Implied Volatility
Introduction
Obtaining Implied Volatility
Explaining Smiles and Smirks
Summary
Exercises
Solutions to Exercises
Chapter 11: Model-Free Implied Volatility
Introduction. Theoretical FoundationImplementation
Interpolation-Extrapolation Method
Model-Free Implied Forward Volatility
The Vix Index
Summary
Exercises
Chapter 12: Model-Free Higher Moments
Introduction
Theoretical Foundation
Implementation
Verifying Implied Moments
Gram-Charlier Implied Moments
Summary
Exercises
Solutions to Exercises
Chapter 13: Volatility Returns
Introduction
Straddle Returns
Delta-Hedged Gains
Volatility Exposure
Variance Swaps
Summary
Exercises
Solutions to Exercises
Appendix A: A VBA Primer
References
About the CD-ROM
About the Authors
Index.