Cantitate/Preț
Produs
Total produse
Vezi coșul
Pricing Models of Volatility Products and Exotic Variance Derivatives de Yue Kuen Kwok

Pricing Models of Volatility Products and Exotic Variance Derivatives: Chapman and Hall/CRC Financial Mathematics Series

Autor Yue Kuen Kwok, Wendong Zheng
en Limba Engleză Hardback – 14 mai 2022
Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods.
Features
  • Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives
  • Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products
  • Can be used as a university textbook in a topic course on pricing variance derivatives
Citește tot Restrânge

Toate formatele și edițiile

Toate formatele și edițiile Preț Express
Paperback (1) 35663 lei  6-8 săpt.
  CRC Press – 27 mai 2024 35663 lei  6-8 săpt.
Hardback (1) 73100 lei  3-5 săpt. +2717 lei  7-13 zile
  CRC Press – 14 mai 2022 73100 lei  3-5 săpt. +2717 lei  7-13 zile

Din seria Chapman and Hall/CRC Financial Mathematics Series

  • 9% Quantitative Finance with Python: A Practical Guide to Investment Management, Trading, and Financial Engineering
    Preț: 70411 lei
  • 20% Introduction to Financial Derivatives with Python
    Preț: 50840 lei
  • 9% Financial Modelling with Jump Processes
    Preț: 76641 lei
  • Introduction to Stochastic Calculus Applied to Finance
    Preț: 34173 lei
  • A Technical Guide to Mathematical Finance
    Preț: 40185 lei
  • 9% Nonlinear Option Pricing
    Preț: 121355 lei
  • 8% Introducing Financial Mathematics: Theory, Binomial Models, and Applications
    Preț: 54853 lei
  • 8% Stochastic Modelling of Big Data in Finance
    Preț: 54738 lei
  • 8% Foundations of Quantitative Finance, Book VI: Densities, Transformed Distributions, and Limit Theorems
    Preț: 53205 lei
  • 8% Financial Mathematics: A Comprehensive Treatment in Discrete Time
    Preț: 41054 lei
  • 8% Machine Learning for Factor Investing: Python Version
    Preț: 48958 lei
  • 9% Sustainable Life Insurance: Managing Risk Appetite for Insurance Savings and Retirement Products
    Preț: 66119 lei
  • 9% Introduction to Credit Risk Modeling
    Preț: 121209 lei
  • 9% Risk Measures and Insurance Solvency Benchmarks: Fixed-Probability Levels in Renewal Risk Models
    Preț: 83351 lei
  • 8% Foundations of Quantitative Finance: Book V General Measure and Integration Theory
    Preț: 43895 lei
  • 9% Stochastic Volatility Modeling
    Preț: 60638 lei
  • 9% Introduction to Stochastic Finance with Market Examples
    Preț: 64109 lei
  • Malliavin Calculus in Finance: Theory and Practice
    Preț: 35663 lei
  • 9% Financial Mathematics: From Discrete to Continuous Time
    Preț: 59534 lei
  • Modeling Fixed Income Securities and Interest Rate Options
    Preț: 34236 lei
  • 8% Computational Methods in Finance
    Preț: 46952 lei
  • 9% Quantitative Equity Portfolio Management: Modern Techniques and Applications
    Preț: 73464 lei
  • 8% Handbook of Price Impact Modeling
    Preț: 54680 lei
  • Derivative Pricing: A Problem-Based Primer
    Preț: 39860 lei
  • 12% Portfolio Rebalancing
    Preț: 31319 lei
  • 26% Unravelling the Credit Crunch
    Preț: 101474 lei
  • 12% An Introduction to Computational Risk Management of Equity-Linked Insurance
    Preț: 31243 lei
  • 26% Understanding Risk: The Theory and Practice of Financial Risk Management
    Preț: 101474 lei
  • Counterparty Risk and Funding: A Tale of Two Puzzles
    Preț: 42883 lei
  • Metamodeling for Variable Annuities
    Preț: 42883 lei
  • C++ for Financial Mathematics
    Preț: 35663 lei
  • 15% Data Science and Risk Analytics in Finance and Insurance
    Preț: 58985 lei
  • 18% An Introduction to Financial Mathematics: Option Valuation
    Preț: 77048 lei
  • 15% Foundations of Quantitative Finance, Book I: Measure Spaces and Measurable Functions
    Preț: 56111 lei
  • 18% Analysis, Geometry, and Modeling in Finance: Advanced Methods in Option Pricing
    Preț: 125880 lei
  • 9% The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making
    Preț: 59456 lei
  • 21% American-Style Derivatives: Valuation and Computation
    Preț: 38228 lei
  • 24% Commodities: Fundamental Theory of Futures, Forwards, and Derivatives Pricing
    Preț: 90085 lei
  • 26% Financial Modelling in Commodity Markets
    Preț: 76378 lei
  • 20% High-Performance Computing in Finance: Problems, Methods, and Solutions
    Preț: 126655 lei
  • 25% Handbook of Financial Risk Management
    Preț: 143838 lei

Preț: 73100 lei

Preț vechi: 80329 lei
-9% Nou

Puncte Express: 1097
Preț estimativ în valută:
13994€ • 14392$ • 11610£

Carte disponibilă

Livrare economică 29 ianuarie-12 februarie
Livrare express 15-21 ianuarie pentru 3716 lei

 Adaugă în coș

Wish list
Gift list
Am citit!
Adaugă în listă
Preluare comenzi: 021 569.72.76

Specificații

ISBN-13: 9781032199023
ISBN-10: 1032199024
Pagini: 282
Ilustrații: 6 Tables, black and white; 9 Line drawings, black and white; 9 Illustrations, black and white
Dimensiuni: 156 x 234 x 23 mm
Greutate: 0.64 kg
Ediția:1
Editura: CRC Press
Colecția Chapman and Hall/CRC
Seria Chapman and Hall/CRC Financial Mathematics Series

Cuprins

1. Volatility Trading and Variance Derivatives. 1.1. Implied Volatility and Local Volatility. 1.2. Volatility Trading using Options. 1.3. Derivatives on Discrete Realized Variance. 1.4. Replication of Variance Swaps. 1.5. Practical Implementation of Replication: Finite Strikes and Discrete Monitoring. Appendix. 2. Lévy Processes and Stochastic Volatility Models. 2.1. Compound Poisson process. 2.2. Jump-diffusion Models. 2.3. Lévy Processes. 2.4. Time-changed Lévy Processes. 2.5. Stochastic Volatility Models with Jumps. 2.6. Affine Jump-diffusion Stochastic Volatility Models. 2.7. 3/2 Stochastic Volatility Model. Appendix. 3. VIX Derivatives Under Consistent Models and direct Models. 3.1. VIX, Variance Swap Rate and VIX Derivatives. 3.2. Pricing VIX Derivatives Under Consistent Models. 3.3. Direct Modeling of VIX. Appendix. 4. Swap products on discrete Variance and Volatility. 4.1. Direct Expectation of Square of Log Return. 4.2. Nested Expectation via Partial Integro-differential Equation. 4.3. Moment Generating Function Methods. 4.4. Variance Swaps Under Time-changed Lévy Processes. Appendix. 5. Options on discrete realized Variance. 5.1. Adjustment for Discretization Effect via Lognormal Approximation. 5.2. Normal Approximation to Conditional Distribution of Discrete Realized Variance. 5.3. Partially Exact and Bounded Approximation for Options on Discrete Realized Variance. 5.4. Small Time Asymptotic Approximation. 6 Timer options. 6.1. Model Formulation. 6.2. Pricing Perpetual Timer Options. 6.3. Finite Maturity Discrete Timer Options. Appendix. Bibliography. Index.

Notă biografică

Yue Kuen Kwok is a professor in the Department of Mathematics and Financial Technology Thrust, the Hong Kong University of Science and Technology. Professor Kwok’s research interests concentrate on pricing and risk management of financial derivatives and structured insurance products. He has published more than 80 research articles in major research journals in quantitative finance and actuarial sciences. In addition, he is the author of two books on quantitative finance: Mathematical Models of Financial Derivatives and Saddlepoint Approximation Methods in Financial Engineering. He has provided consulting services to financial institutions on various aspects of trading structured products and credit risk management. Professor Kwok has served on the editorial boards of Journal of Economic and Dynamics Control, Asian-Pacific Financial Markets and International Journal of Financial Engineering. He earned his PhD in applied mathematics from Brown University in 1985.
Wendong Zheng joined Credit Suisse in Hong Kong in 2018. He is currently a vice president in the Quantitative Strategies Group, covering equity and hybrid derivatives modeling and trading. Before joining Credit Suisse, he held positions at Bank of China International and Barclays Investment Bank. He has performed both academic and industrial works on pricing and trading volatility derivatives. Also, he has co-authored the book Saddlepoint Approximation Methods in Financial Engineering. Dr. Zheng holds a PhD in mathematics from the Hong Kong University of Science and Technology.

Descriere

This book summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. .