[BOOK][B] Stochastic calculus for finance II: Continuous-time models
SE Shreve - 2004 - Springer
Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon
Professional Master's program in Computational Finance. The content of this book has been …
Professional Master's program in Computational Finance. The content of this book has been …
Option implied risk-neutral distributions and implied binomial trees: A literature review
JC Jackwerth - Journal of derivatives, 1999 - papers.ssrn.com
In this partial and selective literature review of option implied risk-neutral distributions and of
implied binomial trees, we start by observing that in efficient markets, there is information …
implied binomial trees, we start by observing that in efficient markets, there is information …
[BOOK][B] Stochastic modelling and applied probability
A Board - 2005 - Springer
During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …
book, considerable progress was achieved in the area of financial modelling and pricing of …
The model-free implied volatility and its information content
Abstract Britten-Jones and Neuberger (2000) derived a model-free implied volatility under
the diffusion assumption. In this article, we extend their model-free implied volatility to asset …
the diffusion assumption. In this article, we extend their model-free implied volatility to asset …
[BOOK][B] The risk management process: Business strategy and tactics
CL Culp - 2002 - books.google.com
Integrates essential risk management practices with practical corporate business strategies
Focusing on educating readers on how to integrate risk management with corporate …
Focusing on educating readers on how to integrate risk management with corporate …
The practice of portfolio replication. A practical overview of forward and inverse problems
R Dembo, D Rosen - Annals of Operations Research, 1999 - Springer
Portfolio replication is a powerful tool that has proven in practice its applicability toenterprise‐
wide risk problems such as static hedging in complete and incomplete marketsand markets …
wide risk problems such as static hedging in complete and incomplete marketsand markets …
Pricing and hedging with smiles
B Dupire - Mathematics of derivative securities, 1997 - books.google.com
Black-Scholes volatilities implied from market prices exhibit a strike pattern, commonly
termed a'smile', as well as a term structure. This non-constancy of volatility contradicts the …
termed a'smile', as well as a term structure. This non-constancy of volatility contradicts the …
[BOOK][B] Modern pricing of interest-rate derivatives: The LIBOR market model and beyond
R Rebonato - 2012 - degruyter.com
In recent years, interest-rate modeling has developed rapidly in terms of both practice and
theory. The academic and practitioners' communities, however, have not always …
theory. The academic and practitioners' communities, however, have not always …
A general valuation framework for SABR and stochastic local volatility models
In this paper, we propose a general framework for the valuation of options in stochastic local
volatility (SLV) models with a general correlation structure, which includes the stochastic …
volatility (SLV) models with a general correlation structure, which includes the stochastic …
Stochastic implied trees: Arbitrage pricing with stochastic term and strike structure of volatility
E Derman, I Kani - International journal of theoretical and applied …, 1998 - World Scientific
In this paper we present an arbitrage pricing framework for valuing and hedging contingent
equity index claims in the presence of a stochastic term and strike structure of volatility. Our …
equity index claims in the presence of a stochastic term and strike structure of volatility. Our …