Volatility and Correlation pdf epub mobi txt 電子書 下載 2024


Volatility and Correlation

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Riccardo Rebonato
Wiley
2004-9-3
864
USD 155.00
Hardcover
9780470091395

圖書標籤: 金融  finance  quant  數學  Volatility  trading  統計學  經濟學   


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发表于2024-12-23

Volatility and Correlation epub 下載 mobi 下載 pdf 下載 txt 電子書 下載 2024

Volatility and Correlation epub 下載 mobi 下載 pdf 下載 txt 電子書 下載 2024

Volatility and Correlation pdf epub mobi txt 電子書 下載 2024



圖書描述

In Volatility and Correlation 2 nd edition: The Perfect Hedger and the Fox , Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes. Praise for the First Edition: “In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.… The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.”

—Professor Ian Cooper, London Business School “Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion…A rare combination of intellectual insight and practical common sense.”

—Anthony Neuberger, London Business School

Volatility and Correlation 下載 mobi epub pdf txt 電子書

著者簡介


圖書目錄


Volatility and Correlation pdf epub mobi txt 電子書 下載
想要找書就要到 小哈圖書下載中心
立刻按 ctrl+D收藏本頁
你會得到大驚喜!!

用戶評價

評分

神作!!不錯的引導,不再是空對空的扯談

評分

什麼,你沒看過?那你也敢交易?

評分

神作!!不錯的引導,不再是空對空的扯談

評分

老實說,有些too practical瞭

評分

什麼,你沒看過?那你也敢交易?

讀後感

評分

虽然目前只看到100页,但是已经完全被作者折服了。 由一个二叉树就能推到change of numeraire, 讲透 risk neutral 的本质,并且将现代金融理论的两块基石BSM和CAPM联系在一起。 有一种豁然开朗,拍案叫绝的冲动。 强烈推荐。 如果说John hull的书是敲门砖,那么这本应该真的...

評分

虽然目前只看到100页,但是已经完全被作者折服了。 由一个二叉树就能推到change of numeraire, 讲透 risk neutral 的本质,并且将现代金融理论的两块基石BSM和CAPM联系在一起。 有一种豁然开朗,拍案叫绝的冲动。 强烈推荐。 如果说John hull的书是敲门砖,那么这本应该真的...

評分

虽然目前只看到100页,但是已经完全被作者折服了。 由一个二叉树就能推到change of numeraire, 讲透 risk neutral 的本质,并且将现代金融理论的两块基石BSM和CAPM联系在一起。 有一种豁然开朗,拍案叫绝的冲动。 强烈推荐。 如果说John hull的书是敲门砖,那么这本应该真的...

評分

讲了很多“为什么”,而不是象一般的书那样一上来就是一堆式子和假设却不说为什么要这么做。 BTW,谁有这本书的电子版的其中的表格和插图...... 我的表格和插图都没有,有点不爽啊......  

評分

讲了很多“为什么”,而不是象一般的书那样一上来就是一堆式子和假设却不说为什么要这么做。 BTW,谁有这本书的电子版的其中的表格和插图...... 我的表格和插图都没有,有点不爽啊......  

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Volatility and Correlation pdf epub mobi txt 電子書 下載 2024


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