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Volatility and correlation : the perfect hedger and the fox 2nd ed

Volatility and correlation : the perfect hedger and the fox 2nd ed (15회 대출)

자료유형
단행본
개인저자
Rebonato, Riccardo. Rebonato, Riccardo
서명 / 저자사항
Volatility and correlation : the perfect hedger and the fox / Riccardo Rebonato.
판사항
2nd ed.
발행사항
Chichester, West Sussex, England :   J. Wiley ,   c2004.  
형태사항
xxv, 836 p. : ill. ; 25 cm.
ISBN
0470091398 (cloth : alk. paper)
일반주기
Rev. ed. of: Volatility and correlation in the pricing of equity. 1999.  
서지주기
Includes bibliographical references (p. 805-812) and index.
일반주제명
Options (Finance) -- Mathematical models. Interest rate futures -- Mathematical models. Securities -- Prices -- Mathematical models.
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008 040223s2004 enka b 001 0 eng
010 ▼a 2004004223
020 ▼a 0470091398 (cloth : alk. paper)
035 ▼a (KERIS)REF000010082224
040 ▼a DLC ▼c DLC ▼d DLC ▼d 211009
042 ▼a pcc
050 0 0 ▼a HG6024.A3 ▼b R43 2004
082 0 0 ▼a 332.64/53 ▼2 22
090 ▼a 332.6453 ▼b R292v2
100 1 ▼a Rebonato, Riccardo.
245 1 0 ▼a Volatility and correlation : ▼b the perfect hedger and the fox / ▼c Riccardo Rebonato.
250 ▼a 2nd ed.
260 ▼a Chichester, West Sussex, England : ▼b J. Wiley , ▼c c2004.
300 ▼a xxv, 836 p. : ▼b ill. ; ▼c 25 cm.
500 ▼a Rev. ed. of: Volatility and correlation in the pricing of equity. 1999.
504 ▼a Includes bibliographical references (p. 805-812) and index.
650 0 ▼a Options (Finance) ▼x Mathematical models.
650 0 ▼a Interest rate futures ▼x Mathematical models.
650 0 ▼a Securities ▼x Prices ▼x Mathematical models.
700 1 ▼a Rebonato, Riccardo ▼t Volatility and correlation in the pricing of equity.
945 ▼a KINS

소장정보

No. 소장처 청구기호 등록번호 도서상태 반납예정일 예약 서비스
No. 1 소장처 중앙도서관/서고6층/ 청구기호 332.6453 R292v2 등록번호 111366802 도서상태 대출가능 반납예정일 예약 서비스 B M

컨텐츠정보

목차

Preface xxi

0.1 Why a Second Edition? xxi

0.2 What This Book Is Not About xxiii

0.3 Structure of the Book xxiv

0.4 The New Subtitle xxiv

Acknowledgements xxvii

I Foundations 1

1 Theory and Practice of Option Modelling 3

2 Option Replication 31

3 The Building Blocks 75

4 Variance and Mean Reversion in the Real and the Risk-Adjusted Worlds 101

5 Instantaneous and Terminal Correlation 141

II Smiles – Equity and FX 165

6 Pricing Options in the Presence of Smiles 167

7 Empirical Facts About Smiles 201

8 General Features of Smile-Modelling Approaches 237

9 The Input Data: Fitting an Exogenous Smile Surface 249

10 Quadratic Variation and Smiles 293

11 Local-Volatility Models: the Derman-and-Kani Approach 319

12 Extracting the Local Volatility from Option Prices 345

13 Stochastic-Volatility Processes 389

14 Jump–Diffusion Processes 439

15 Variance–Gamma 511

16 Displaced Diffusions and Generalizations 529

17 No-Arbitrage Restrictions on the Dynamics of Smile Surfaces 563

III Interest Rates – Deterministic Volatilities 601

18 Mean Reversion in Interest-Rate Models 603

19 Volatility and Correlation in the LIBOR Market Model 625

20 Calibration Strategies for the LIBOR Market Model 639

21 Specifying the Instantaneous Volatility of Forward Rates 667

22 Specifying the Instantaneous Correlation Among Forward Rates 687

IV Interest Rates – Smiles 701

23 How to Model Interest-Rate Smiles 703

24 (CEV) Processes in the Context of the LMM 729

25 Stochastic-Volatility Extensions of the LMM 751

26 The Dynamics of the Swaption Matrix 765

27 Stochastic-Volatility Extension of the LMM: Two-Regime Instantaneous Volatility 783

Bibliography 805

Index 813


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