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基本説明
Edited collection of 42 articles compiled from Risk magazine.
Full Description
This title is a collection of cutting-edge chapters that outline developments in options since 1998 to 2003. The book encompasses modelling, pricing and hedging techniques for various exotic (eg, Barrier) options as well as generic "American style" options. The title comprises the following useful sections: volatility, which describes quantitative and qualitative elements; volatility and swaps; exotic options, which describes products and methods; and finally a useful section on exotic underlyers. This volume should be of interest to practitioners working at investment banks, financial consultancy companies, asset managers and hedge funds, as well as academics and post-graduate students in finance, mathematical finance, applied economics, and applied mathematics and finally to MBA students.
Contents
CONTENTS Volatility I: Quantitative and Qualitative Description Correcting Black-Scholes Michael Kamal and Emanuel Derman Regimes of Volatility Emanuel Derman If the skew fits Gregory Brown and Curt Randall Uncertain volatility Terry Lyons and Adam T Smith Jumping smiles Leif Andersen and Jesper Andreasen Calibrating Random Volatility Jean-Pierre Fouque, George Papanicolaou and Ronnie Sircar A mixed up smile Damiano Brigo and Fabio Mercurio A fair value for the skew Joe Zou and Emmanuel Derman Principles of the skew Carol Alexander Crises and Volatility Allan Malz The vol smile problem Alexander Lipton Trees from history Nusrat Cakici and Kevin Foster Reconstructing volatility M.Avellaneda, Dash Boyer-Olson, Peter Friz and Jerome Busca Volatile volatilities Leif Andersen and Jesper Andreasen Volatility II: Vol Swaps Introducing the covariance swap Peter Carr and Dilip Madan A guide to variance swaps Kresimir Demeterfi, Emanuel Derman, Michael Kamal and Joseph Zou Market risk of variance swaps Neil Chriss and William Morokoff Volatility Swaps Made Simple Oliver Brockhaus and Douglas Long Exotic Options: Products and Methods Similarities via self-similarities Alexander Lipton Pricing exotics under the smile Klaus Said Upgrading your passport Jan Vecer and Steven Shreve Going with the flow Peter Carr, Alexander Lipton and Dilip Madan Static barriers Leif Andersen and Jesper Andreasen Jumping in line Claudio Albanese, Sebastian Jaimungal and Dmitri Rubisov Hedge your Monte Carlo Marc Potters, Jean-Philippe Bouchaud and Dragan Sestovic Behind the Mirror Jesper Andreasen Black-Scholes goes hypergeometric Claudio Albanese, Guiseppe Campolieti, Peter Carr and Alexander Lipton New products, new risks Richard Quessette Himalaya Options Marcus Overhaus Exotic Spectra Vadim Linetsky Universal barriers Alexander Lipton and William McGhee Unified Asian pricing Jan Vecer Assets with jumps Alexander Lipton Why Be Backward? Peter Carr and Ali Hirsa Exotic Underlyers Hedging under asymmetry Angelo Arvanitis and Jean-Michel Lasry Insurance Optional Claudio Giraldi, Gabriele Susinno, Giacomo Berti, John Brunello, Silvia Buttarazzi, Gianluca Cenciarelli, Carlo Daroda and Giuseppe Stamegna Pricing the Weather Melanie Cao and Jason Wei Hedging electoral risk Steve Kou and Michel Sobel Plugging into electricity Helyette Geman and Oldrich Vasicek Mean-reverting Smiles Alain Chebanier and David Beaglehole Substitute Hedging Vicky Henderson and David Hobson A Two-factor mean-reverting model David Beaglehole and Alain Chebanier
