Volatility and Correlation: The Perfect Hedger and the Fox

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9780470091395: Volatility and Correlation: The Perfect Hedger and the Fox

In Volatility and Correlation 2nd 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

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Riccardo Rebonato
Editore: John Wiley and Sons Ltd, United Kingdom (2004)
ISBN 10: 0470091398 ISBN 13: 9780470091395
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2004. Hardback. Condizione libro: New. 2nd New edition. 248 x 174 mm. Language: English . Brand New Book. In Volatility and Correlation 2nd 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. Codice libro della libreria AAH9780470091395

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Rebonato, Riccardo
Editore: John Wiley & Sons 2004-08-03 (2004)
ISBN 10: 0470091398 ISBN 13: 9780470091395
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Descrizione libro John Wiley & Sons 2004-08-03, 2004. Condizione libro: New. This item is printed on demand. Brand new book, sourced directly from publisher. Dispatch time is 24-48 hours from our warehouse. Book will be sent in robust, secure packaging to ensure it reaches you securely. Codice libro della libreria NU-LBR-00433120

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Riccardo Rebonato
Editore: John Wiley and Sons Ltd, United Kingdom (2004)
ISBN 10: 0470091398 ISBN 13: 9780470091395
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Descrizione libro John Wiley and Sons Ltd, United Kingdom, 2004. Hardback. Condizione libro: New. 2nd New edition. 248 x 174 mm. Language: English . Brand New Book. In Volatility and Correlation 2nd 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. Codice libro della libreria AAH9780470091395

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Riccardo Rebonato
Editore: John Wiley and Sons Ltd 2004-08-03, Chichester (2004)
ISBN 10: 0470091398 ISBN 13: 9780470091395
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Descrizione libro John Wiley and Sons Ltd 2004-08-03, Chichester, 2004. hardback. Condizione libro: New. Codice libro della libreria 9780470091395

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Riccardo Rebonato
Editore: Wiley John & Sons Aug 2004 (2004)
ISBN 10: 0470091398 ISBN 13: 9780470091395
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Descrizione libro Wiley John & Sons Aug 2004, 2004. Buch. Condizione libro: Neu. 252x179x55 mm. Neuware - In den letzten 10 Jahren sind Mathematikmodelle für Händler zum Alltag geworden. Seit der Einführung der Black & Scholes Formel haben anerkannte Akademiker und Fachleute in der Praxis eine Reihe von Modellen entwickelt, die der Schnellebigkeit in der internationalen Finanzwelt Rechnung tragen sollen. Sie haben versucht, das Modellverfahren soweit zu verfeinern, daß man es auf eine größere Anzahl von Optionsszenarios anwenden kann. Dieser Band erläutert den nächsten bedeutenden Schritt bei der Entwicklung eines Optionspreis-Modells: die Einbeziehung von Volatilität und Korrelation. Gemessen an den Neuentwicklungen bewertet der Autor bestehende Modelle, wobei er immer wieder auf seinen 10-jährigen Erfahrungsschatz zurückgreift. Darüber hinaus stellt er auch einige neue Originalansätze vor und erläutert anhand von Fallstudien die praktische Seite dieser äußerst komplexen Theorien. (10/99) 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 864 pp. Englisch. Codice libro della libreria 9780470091395

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Riccardo Rebonato
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ISBN 10: 0470091398 ISBN 13: 9780470091395
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Descrizione libro Wiley, 2004. Hardcover. Condizione libro: New. 2. Codice libro della libreria DADAX0470091398

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Riccardo Rebonato
Editore: Wiley (2004)
ISBN 10: 0470091398 ISBN 13: 9780470091395
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Descrizione libro Wiley, 2004. Condizione libro: New. Codice libro della libreria L9780470091395

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Riccardo Rebonato
Editore: Wiley John & Sons Aug 2004 (2004)
ISBN 10: 0470091398 ISBN 13: 9780470091395
Nuovi Quantità: 1
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Rheinberg-Buch
(Bergisch Gladbach, Germania)
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Descrizione libro Wiley John & Sons Aug 2004, 2004. Buch. Condizione libro: Neu. 252x179x55 mm. Neuware - In den letzten 10 Jahren sind Mathematikmodelle für Händler zum Alltag geworden. Seit der Einführung der Black & Scholes Formel haben anerkannte Akademiker und Fachleute in der Praxis eine Reihe von Modellen entwickelt, die der Schnellebigkeit in der internationalen Finanzwelt Rechnung tragen sollen. Sie haben versucht, das Modellverfahren soweit zu verfeinern, daß man es auf eine größere Anzahl von Optionsszenarios anwenden kann. Dieser Band erläutert den nächsten bedeutenden Schritt bei der Entwicklung eines Optionspreis-Modells: die Einbeziehung von Volatilität und Korrelation. Gemessen an den Neuentwicklungen bewertet der Autor bestehende Modelle, wobei er immer wieder auf seinen 10-jährigen Erfahrungsschatz zurückgreift. Darüber hinaus stellt er auch einige neue Originalansätze vor und erläutert anhand von Fallstudien die praktische Seite dieser äußerst komplexen Theorien. (10/99) 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 864 pp. Englisch. Codice libro della libreria 9780470091395

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Riccardo Rebonato
Editore: Wiley John & Sons Aug 2004 (2004)
ISBN 10: 0470091398 ISBN 13: 9780470091395
Nuovi Prima edizione Quantità: 1
Da
Agrios-Buch
(Bergisch Gladbach, Germania)
Valutazione libreria
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Descrizione libro Wiley John & Sons Aug 2004, 2004. Buch. Condizione libro: Neu. 252x179x55 mm. Neuware - In den letzten 10 Jahren sind Mathematikmodelle für Händler zum Alltag geworden. Seit der Einführung der Black & Scholes Formel haben anerkannte Akademiker und Fachleute in der Praxis eine Reihe von Modellen entwickelt, die der Schnellebigkeit in der internationalen Finanzwelt Rechnung tragen sollen. Sie haben versucht, das Modellverfahren soweit zu verfeinern, daß man es auf eine größere Anzahl von Optionsszenarios anwenden kann. Dieser Band erläutert den nächsten bedeutenden Schritt bei der Entwicklung eines Optionspreis-Modells: die Einbeziehung von Volatilität und Korrelation. Gemessen an den Neuentwicklungen bewertet der Autor bestehende Modelle, wobei er immer wieder auf seinen 10-jährigen Erfahrungsschatz zurückgreift. Darüber hinaus stellt er auch einige neue Originalansätze vor und erläutert anhand von Fallstudien die praktische Seite dieser äußerst komplexen Theorien. (10/99) 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 864 pp. Englisch. Codice libro della libreria 9780470091395

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Riccardo Rebonato
Editore: Wiley (2004)
ISBN 10: 0470091398 ISBN 13: 9780470091395
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Irish Booksellers
(Rumford, ME, U.S.A.)
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Descrizione libro Wiley, 2004. Hardcover. Condizione libro: New. book. Codice libro della libreria 0470091398

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