Frontiers in Quantitative Finance: Volatility and Credit Risk Modeling / Edition 1

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Quantitative research in finance has spurred innovation in derivatives markets during the last decade - especially when it comes to volatility modeling and credit risk. Frontiers in Quantitative Finance develops these ideas through the contributions of numerous experts in this field. Divided into two informative parts, this comprehensive guide deals with advances in volatility modeling in the context of equity and index derivatives, and covers recent advances in pricing models for CDOs and portfolio credit derivatives. Topics covered include: behavior of implied volatility for large strikes and small maturities; top-down models for portfolio credit derivatives; factor models for CDO pricing; Bergomi's model for variance swap dynamics; and much more.
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Product Details

  • ISBN-13: 9780470292921
  • Publisher: Wiley
  • Publication date: 11/10/2008
  • Series: Wiley Finance Series , #463
  • Edition description: New
  • Edition number: 1
  • Pages: 300
  • Product dimensions: 6.20 (w) x 9.10 (h) x 1.20 (d)

Table of Contents

Pt. 1 Option Pricing and Volatility Modeling

Ch. 1 A Moment Approach to Static Arbitrage Alexandre d'Aspremont d'Aspremont, Alexandre

Ch. 2 On Black-Scholes Implied Volatility at Extreme Strikes Shalom Benaim Benaim, Shalom Peter Friz Friz, Peter Roger Lee Lee, Roger

Ch. 3 Dynamic Properties of Smile Models Lorenzo Bergomi Bergomi, Lorenzo

Ch. 4 A Geometric Approach to the Asymptotics of Implied Volatility Pierre Henry-Labordere Henry-Labordere, Pierre

Ch. 5 Pricing, Hedging, and Calibration in Jump-Diffusion Models Peter Tankov Tankov, Peter Ekaterina Voltchkova Voltchkova, Ekaterina

Pt. 2 Credit Risk

Ch. 6 Modeling Credit Risk L. C. G. Rogers Rogers, L. C. G.

Ch. 7 An Overview of Factor Modeling for CDO Pricing Jean-Paul Laurent Laurent, Jean-Paul Areski Cousin Cousin, Areski

Ch. 8 Factor Distributions Implied by Quoted CDO Spreads Erik Schlogl Schlogl, Erik Lutz Schlogl Schlogl, Lutz

Ch. 9 Pricing CDOs with a Smile: The Local Correlation Model Julien Turc Turc, Julien Philippe Very Very, Philippe

Ch. 10 Portfolio Credit Risk: Top-Down versus Bottom-Up Approaches Kay Giesecke Giesecke, Kay

Ch. 11 Forward Equations for Portfolio Credit Derivatives Rama Cont Cont, Rama Ioana Savescu Savescu, Ioana


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