Volatility Markets
Hans Buehler
Broschiertes Buch

Volatility Markets

Consistent Modeling, Hedging, and Practical Implementation of Variance Swap Market Models

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This book presents a comprehensive overviewof the subject of "Consistent Variance Curve Models", a concept for variance swap markets which is very closely related to thatof consistent Heath-Jarrow-Merton models for interest rate markets. As the title suggests, the book provides both a sound theoretical background on such models as well as guidance on how toimplement them. In the course of the discussion, we address questions of existence, market completeness and integrability as well as efficient simulation and evaluation techniques.Moroever, the book also has an additional chapter on "fitted"...