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- catalog abstract ""Volatility and Correlation in the Pricing of Equity, FX and Interest-Rate Options is split into three sections." "In the first, an introduction is presented to the complex concepts of correlation and volatility encountered in equity/FX and interest-rate option pricing, aimed at providing practitioners with a better informed choice when deciding which models to utilise." "The author then moves on to the problem of smiles, with considerable emphasis placed on option pricing when markets are incomplete." "The analysis of the third part deals with the role of volatility and correlation in the context of interest-rate models."--Jacket.".
- catalog alternative "Volatility and correlation".
- catalog contributor b11512425.
- catalog created "1999.".
- catalog date "1999".
- catalog date "1999.".
- catalog dateCopyrighted "1999.".
- catalog description ""Volatility and Correlation in the Pricing of Equity, FX and Interest-Rate Options is split into three sections." "In the first, an introduction is presented to the complex concepts of correlation and volatility encountered in equity/FX and interest-rate option pricing, aimed at providing practitioners with a better informed choice when deciding which models to utilise." "The author then moves on to the problem of smiles, with considerable emphasis placed on option pricing when markets are incomplete." "The analysis of the third part deals with the role of volatility and correlation in the context of interest-rate models."--Jacket.".
- catalog description "Includes bibliographical references and index.".
- catalog description "pt. 1. Foundations. 1. Volatility: Fundamental Concepts and Definitions. 2. Variance and Mean Reversion in the Real and the Risk-Adjusted Worlds. 3. Instantaneous and Terminal Correlations -- pt. 2. Dealing with Smiles. 4. Pricing Options in the Presence of Smiles. 5. Tree Methodologies for Smiley Option Prices. 6. Efficient Extraction of the Future Local Volatility from Plain-Vanilla Option Prices. 7. Closed-Form Solutions for Smiley Option Prices via Direct Modelling of the Density. 8. Explaining Smiles by Means of Mixed Jump -- Diffusion Processes -- pt. 3. Interest Rates. 9. The Role of Mean Reversion in Interest-Rate Models. 10. Optimal Calibration of the Brace-Gatarek-Musiela Model.".
- catalog extent "xvii, 338 p. :".
- catalog identifier "0471899984 (alk. paper)".
- catalog issued "1999".
- catalog issued "1999.".
- catalog language "eng".
- catalog publisher "New York : John Wiley,".
- catalog subject "332.63/23 21".
- catalog subject "HG6024.A3 R43 1999".
- catalog subject "Interest rate futures Mathematical models.".
- catalog subject "Options (Finance) Mathematical models.".
- catalog subject "Securities Prices Mathematical models.".
- catalog tableOfContents "pt. 1. Foundations. 1. Volatility: Fundamental Concepts and Definitions. 2. Variance and Mean Reversion in the Real and the Risk-Adjusted Worlds. 3. Instantaneous and Terminal Correlations -- pt. 2. Dealing with Smiles. 4. Pricing Options in the Presence of Smiles. 5. Tree Methodologies for Smiley Option Prices. 6. Efficient Extraction of the Future Local Volatility from Plain-Vanilla Option Prices. 7. Closed-Form Solutions for Smiley Option Prices via Direct Modelling of the Density. 8. Explaining Smiles by Means of Mixed Jump -- Diffusion Processes -- pt. 3. Interest Rates. 9. The Role of Mean Reversion in Interest-Rate Models. 10. Optimal Calibration of the Brace-Gatarek-Musiela Model.".
- catalog title "Volatility and correlation : in the pricing of equity, FX and interest-rate options / Riccardo Rebonato.".
- catalog title "Volatility and correlation".
- catalog type "text".