This book presents a factor-based model of the stochastic evolution of the implied volatility surface. The model allows for the integrated and consistent pricing and hedging, risk management, and trading of equity index derivatives as well as volatility derivatives. In the first part, the book develops a unifying theory for the analysis of contingent claims under both the real-world measure and the risk-neutral measure in an environment of stochastic implied volatility. On the basis of transaction data, the second part of the book provides extensive statistical analyses on the dynamics of the implied volatility surface of German DAX options and proposes a four-factor model to describe its evolution. The model is validated and tested on market data. The final part deals with potential applications of the model in the fields of exotic option pricing, value at risk, and volatility trading.
Stochastic Implied Volatility: A Factor-Based Model
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4.0 out of 5 stars
volatility,
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This review is from: Stochastic Implied Volatility: A Factor-Based Model (Lecture Notes in Economics and Mathematical Systems) (Paperback)
Very good book if you're mathematically inclined. A bit too quant but good to understand the concept of volatility.
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Inside This Book
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First Sentence:
Financial derivatives or contingent claims are specialized contracts whose intention is to transfer risk from those who are exposed to risk to those who are willing to bear risk for a price. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
volatility risk factors, dax implied volatilities, abstract risk factors, volatility trading strategies, arbitrage price process, volatility trading strategy, implied volatility models, call price function, volatility surface, variance swap, volatility smile, volatility term structure, same implied volatility, implied volatility function, volatility swap, market option prices, equivalent martingale measure, smile pattern, financial market model, skew pattern, difference dividend, stock price process, stochastic volatility models, instantaneous volatility, volatility derivatives Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Model Applications, Deutsche Börse, Risk Metrics New!
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Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Financial derivatives or contingent claims are specialized contracts whose intention is to transfer risk from those who are exposed to risk to those who are willing to bear risk for a price. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
volatility risk factors, dax implied volatilities, abstract risk factors, volatility trading strategies, arbitrage price process, volatility trading strategy, implied volatility models, call price function, volatility surface, variance swap, volatility smile, volatility term structure, same implied volatility, implied volatility function, volatility swap, market option prices, equivalent martingale measure, smile pattern, financial market model, skew pattern, difference dividend, stock price process, stochastic volatility models, instantaneous volatility, volatility derivatives Key Phrases - Capitalized Phrases (CAPs): (learn more)
Monte Carlo, Model Applications, Deutsche Börse, Risk Metrics New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Table of Contents | First Pages | Index | Back Cover | Surprise Me!
Citations (learn more)
This book cites 71
books:
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- A Theory of Supply Chains (Lecture Notes in Economics and Mathematical Systems) by Carlos F. Daganzo in Back Matter
- Time Series Analysis: Forecasting & Control (3rd Edition) by George Box in Back Matter
- Information Dissemination in Currency Crises (Lecture Notes in Economics and Mathematical Systems) by Christina Evelies Metz in Back Matter
- The Econometric Modelling of Financial Time Series by Terence C. Mills in Back Matter
- The Core of Economies with Asymmetric Information (Lecture Notes in Economics and Mathematical Systems) by Ulrich Schwalbe in Back Matter
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