Volatility Surface: A Practitioner's Guide / Edition 1

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Written by a practitioner for practitioners, The Volatility Surface examines why options are priced as they are and - starting from a powerful representation of implied volatility in terms of a weighted average of realized volatilities - explores the implications of various popular models for pricing.
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Product Details

  • ISBN-13: 9780471792512
  • Publisher: Wiley
  • Publication date: 9/11/2006
  • Series: Wiley Finance Series , #357
  • Edition number: 1
  • Pages: 208
  • Sales rank: 505,221
  • Product dimensions: 6.42 (w) x 9.11 (h) x 0.83 (d)

Table of Contents

Ch. 1 Stochastic volatility and local volatility 1
Ch. 2 The Heston model 15
Ch. 3 The implied volatility surface 25
Ch. 4 The Heston-Nandi model 43
Ch. 5 Adding jumps 50
Ch. 6 Modeling default risk 74
Ch. 7 Volatility surface asymptotics 87
Ch. 8 Dynamics of the volatility surface 101
Ch. 9 Barrier options 107
Ch. 10 Exotic cliquets 122
Ch. 11 Volatility derivatives 133
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