Volatility and correlation in the pricing of equity, FX and interest-rate options
著者
書誌事項
Volatility and correlation in the pricing of equity, FX and interest-rate options
（Wiley series in financial engineering）
John Wiley, 1999
- タイトル別名
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Volatility and correlation
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注記
Includes bibliographical references (p. [329]-332) and index
内容説明・目次
内容説明
In his new book, Riccardo Rebonato introduces financial professionals to the practical and subtle use of the concepts of volatility (the degree of randomness in a price movement) and correlation (the relationship between the changes in value of two financial assets) in the pricing of complex options. By explaining this approach in clear and accessible terms, the author provides traders, risk managers, financial professionals and students with the tools to undertake an effective investigation of option pricing models both at the qualitative and quantitative level. Dr Riccardo Rebonato is Head of Group Market Risk for the NatWest Group, London, UK. He holds Doctorates in Nuclear Engineering and Science of Materials/Solid State Physics. He has recently been appointed Lecturer in Mathematical Finance at Oxford University. Prior to joining NatWest, he was, at the same time, Head of the Complex Derivatives Trading desk and of the Complex Derivatives Research Group at Barclays Capital, where he worked for nine years.
Before that he was a Research Fellow in Physics at Corpus Christi College, Oxford He is the author of the highly successful book Interest-Rate Option Models (Wiley, second edition 1998) and has published several papers on finance in academic journals. He is a regular speaker at conferences world-wide.
目次
FOUNDATIONS. Volatility: Fundamental Concepts and Definitions. Variance and Mean Reversion in the Real and the Risk-Adjusted Worlds. Instantaneous and Terminal Correlations. DEALING WITH SMILES. Pricing Options in the Presence of Smiles. Tree Methodologies for Smiley Option Prices. Efficient Extraction of the Future Local Volatility from Plain-Vanilla Option Prices. Closed-Form Solutions for Smiley Option Prices via Direct Modelling of the Density. Explaining Smiles by Means of Mixed Jump-Diffusion Processes. INTEREST RATES. The Role of Mean Reversion in Interest-Rate Models. Optimal Calibration of the Brace-Gatarek-Musiela Model. Specifying the Instantaneous Volatility of Forward Rates. References. Index.
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