Advanced Equity Derivatives
Volatility and Correlation
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In Advanced Equity Derivatives, author Sebastian Bossu explains the principles that govern exotic equity derivatives, and the factors that play into increasing returns. With a dual background in academia and high finance, Bossu describes the formulas and modeling techniques that can help mitigate risk, regardless of market position. Using a mathematically-based, quantitative approach, Bossu provides a deeper understanding of the modern equity marketplace. The book contains illustrations and problem sets that clarify advanced concepts in the pricing and hedging of exotic derivatives, such as:
* A thorough exploration and discussion of exotic options
* Theoretical and practical applications of the Black-Scholes model
* The proxy formula that connects volatility and correlation
* Equity price risk and cost-effective portfolio management
A portfolio must be diverse to perform to its full potential, and Advanced Equity Derivatives provides the information that empowers the savvy investor.
* A thorough exploration and discussion of exotic options
* Theoretical and practical applications of the Black-Scholes model
* The proxy formula that connects volatility and correlation
* Equity price risk and cost-effective portfolio management
A portfolio must be diverse to perform to its full potential, and Advanced Equity Derivatives provides the information that empowers the savvy investor.
In Advanced Equity Derivatives: Volatility and Correlation, Sébastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives. Designed for financial modelers, option traders and sophisticated investors, the content covers the most important theoretical and practical extensions of the Black-Scholes model.
Each chapter includes numerous illustrations and a short selection of problems, covering key topics such as implied volatility surface models, pricing with implied distributions, local volatility models, volatility derivatives, correlation measures, correlation trading, local correlation models and stochastic correlation.
The author has a dual professional and academic background, making Advanced Equity Derivatives: Volatility and Correlation the perfect reference for quantitative researchers and mathematically savvy finance professionals looking to acquire an in-depth understanding of equity exotic derivatives pricing and hedging.
Each chapter includes numerous illustrations and a short selection of problems, covering key topics such as implied volatility surface models, pricing with implied distributions, local volatility models, volatility derivatives, correlation measures, correlation trading, local correlation models and stochastic correlation.
The author has a dual professional and academic background, making Advanced Equity Derivatives: Volatility and Correlation the perfect reference for quantitative researchers and mathematically savvy finance professionals looking to acquire an in-depth understanding of equity exotic derivatives pricing and hedging.
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