{"product_id":"advanced-equity-derivatives-9781118750964","title":"Advanced Equity Derivatives","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eIn Advanced Equity Derivatives: Volatility and Correlation, Sebastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003eForeword xi\u003c\/p\u003e \u003cp\u003ePreface xiii\u003c\/p\u003e \u003cp\u003eAcknowledgments xv\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 1 Exotic Derivatives 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1-1 Single-Asset Exotics 1\u003c\/p\u003e \u003cp\u003e1-2 Multi-Asset Exotics 4\u003c\/p\u003e \u003cp\u003e1-3 Structured Products 9\u003c\/p\u003e \u003cp\u003eReferences 11\u003c\/p\u003e \u003cp\u003eProblems 11\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 2 The Implied Volatility Surface 15\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2-1 The Implied Volatility Smile and Its Consequences 15\u003c\/p\u003e \u003cp\u003e2-2 Interpolation and Extrapolation 20\u003c\/p\u003e \u003cp\u003e2-3 Implied Volatility Surface Properties 22\u003c\/p\u003e \u003cp\u003e2-4 Implied Volatility Surface Models 22\u003c\/p\u003e \u003cp\u003eReferences 29\u003c\/p\u003e \u003cp\u003eProblems 30\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 3 Implied Distributions 33\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3-1 Butterfly Spreads and the Implied Distribution 33\u003c\/p\u003e \u003cp\u003e3-2 European Payoff Pricing and Replication 36\u003c\/p\u003e \u003cp\u003e3-3 Pricing Methods for European Payoffs 39\u003c\/p\u003e \u003cp\u003e3-4 Greeks 41\u003c\/p\u003e \u003cp\u003eReferences 42\u003c\/p\u003e \u003cp\u003eProblems 42\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 4 Local Volatility and Beyond 45\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4-1 Local Volatility Trees 45\u003c\/p\u003e \u003cp\u003e4-2 Local Volatility in Continuous Time 46\u003c\/p\u003e \u003cp\u003e4-3 Calculating Local Volatilities 48\u003c\/p\u003e \u003cp\u003e4-4 Stochastic Volatility 50\u003c\/p\u003e \u003cp\u003eReferences 55\u003c\/p\u003e \u003cp\u003eProblems 55\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 5 Volatility Derivatives 59\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5-1 Volatility Trading 59\u003c\/p\u003e \u003cp\u003e5-2 Variance Swaps 61\u003c\/p\u003e \u003cp\u003e5-3 Realized Volatility Derivatives 65\u003c\/p\u003e \u003cp\u003e5-4 Implied Volatility Derivatives 67\u003c\/p\u003e \u003cp\u003eReferences 70\u003c\/p\u003e \u003cp\u003eProblems 70\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 6 Introducing Correlation 73\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6-1 Measuring Correlation 73\u003c\/p\u003e \u003cp\u003e6-2 Correlation Matrices 75\u003c\/p\u003e \u003cp\u003e6-3 Correlation Average 77\u003c\/p\u003e \u003cp\u003e6-4 Black-Scholes with Constant Correlation 82\u003c\/p\u003e \u003cp\u003e6-5 Local Volatility with Constant Correlation 84\u003c\/p\u003e \u003cp\u003eReferences 84\u003c\/p\u003e \u003cp\u003eProblems 85\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 7 Correlation Trading 87\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7-1 Dispersion Trading 87\u003c\/p\u003e \u003cp\u003e7-2 Correlation Swaps 91\u003c\/p\u003e \u003cp\u003eProblems 93\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 8 Local Correlation 95\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8-1 The Implied Correlation Smile and Its Consequences 95\u003c\/p\u003e \u003cp\u003e8-2 Local Volatility with Local Correlation 97\u003c\/p\u003e \u003cp\u003e8-3 Dynamic Local Correlation Models 99\u003c\/p\u003e \u003cp\u003e8-4 Limitations 99\u003c\/p\u003e \u003cp\u003eReferences 100\u003c\/p\u003e \u003cp\u003eProblems 100\u003c\/p\u003e \u003cp\u003e\u003cb\u003eChapter 9 Stochastic Correlation 103\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9-1 Stochastic Single Correlation 103\u003c\/p\u003e \u003cp\u003e9-2 Stochastic Average Correlation 104\u003c\/p\u003e \u003cp\u003e9-3 Stochastic Correlation Matrix 108\u003c\/p\u003e \u003cp\u003eReferences 111\u003c\/p\u003e \u003cp\u003eProblems 111\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix A Probability Review 115\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eA-1 Standard Probability Theory 115\u003c\/p\u003e \u003cp\u003eA-2 Random Variables, Distribution, and Independence 116\u003c\/p\u003e \u003cp\u003eA-3 Conditioning 117\u003c\/p\u003e \u003cp\u003eA-4 Random Processes and Stochastic Calculus 118\u003c\/p\u003e \u003cp\u003e\u003cb\u003eAppendix B Linear Algebra Review 119\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003eB-1 Euclidean Spaces 119\u003c\/p\u003e \u003cp\u003eB-2 Square Matrix Decompositions 120\u003c\/p\u003e \u003cp\u003eSolutions Manual 123\u003c\/p\u003e \u003cp\u003eAuthor’s Note 143\u003c\/p\u003e \u003cp\u003eAbout the Author 145\u003c\/p\u003e \u003cp\u003eIndex 147\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49406915739991,"sku":"9781118750964","price":103.5,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9781118750964.jpg?v=1730497548","url":"https:\/\/bookcurl.com\/products\/advanced-equity-derivatives-9781118750964","provider":"Book Curl","version":"1.0","type":"link"}