Volatility and Correlation: The Perfect Hedger and the Fox, Second Edition - Rebonato. In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation - with over 8.
Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest- rate smiles and equity/FX options. Part I deals with a Black world without smiles, sets out the author's 'philosophical' approach and covers deterministic volatility. It begins with a review of relevant empirical information about smiles, and provides coverage of local- stochastic- volatility, general- stochastic- volatility, jump- diffusion and Variance- Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov- chain processes.
In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion.
Volatility and correlation Articles tagged with 'Riccardo Rebonato – Volatility and Correlation; In the Pricing of Equity FX and Interest-Rate Options Pdf' at Forex Profit - Best. Riccardo Rebonato is Professor of Finance at EDHEC Business School. Volatility and Correlation: The Perfect Hedger and the Fox.
Rebonato Volatility Correlation Pdf Converter. The New Subtitle xxiv. Acknowledgements xxvii. 1 Theory and Practice of Option Modelling 3. Define the input maturity and tenor for a LIBOR Market Model (LMM) specified by the cell array of volatility function handles, and a correlation matrix for the LMM. Riccardo Rebonato - Volatility and Correlation - The Perfect Hedger and the Fox - 2. Auflage - Buchhandel.de - B
Rebonato - Volatility and Correlation in the Pricing of Equity, FX, and Interest-rate Options (Wiley,2005)2.pdf