Volatility and Correlation: The Perfect Hedger and the Fox (The Wiley Finance Series)

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9780470091395: Volatility and Correlation: The Perfect Hedger and the Fox (The Wiley Finance Series)
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Book by Rebonato Riccardo

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"In this book Dr Rebonato brings his penetrating eye to bear on option pricing and hedging. In his usual intuitive style he critically examine a variety of approaches to equity, currency and interest-rate options. This book is full of practical insights that reflect a wealth of experience in applying these models. The book is a 'must read' for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed." --Professor Ian Cooper, London Business School"This book is a blend of the theoretical, the practical, and the abstract, but always staying in contact with reality. I don't agree with everything in it, but it taught me a thing or two. Read it carefully and thoroughly." --Paul Wilmott, Derivatives"Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion. He rightly emphasises the financial and economic assumptions which underpin the models, and gives salutary warnings against models which overfit the current structure of prices but which perform poorly in predicting future behaviour. A rare combination of intellectual insight and practical common sense."Selected 3D graphs from the book are reproduced in colour at ftp.wiley.co.uk/pub/books/rebonato" --Anthony Neuberger, Associate Professor, Institute of Finance and Accounting, London Business School

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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 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the perfect-replication approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author s philosophical approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. 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 III focusses on interest rates when the volatility is deterministic. 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. Praise for the First Edition: In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging. The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed. Professor Ian Cooper, London Business School Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion A rare combination of intellectual insight and practical common sense. Anthony Neuberger, London Business School

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Riccardo Rebonato
Publicado por John Wiley and Sons Ltd, United Kingdom (2004)
ISBN 10: 0470091398 ISBN 13: 9780470091395
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Descripción John Wiley and Sons Ltd, United Kingdom, 2004. Hardback. Condición: New. 2nd Edition. Language: English . Brand New Book. 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 80 new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the perfect-replication approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author s philosophical approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. 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 III focusses on interest rates when the volatility is deterministic. 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. Praise for the First Edition: In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging. The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed. Professor Ian Cooper, London Business School Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion A rare combination of intellectual insight and practical common sense. Anthony Neuberger, London Business School. Nº de ref. del artículo: AAH9780470091395

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Riccardo Rebonato
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ISBN 10: 0470091398 ISBN 13: 9780470091395
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Descripción John Wiley 2004-08-03, Chichester, 2004. hardback. Condición: New. Nº de ref. del artículo: 9780470091395

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Riccardo Rebonato
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Descripción John Wiley and Sons Ltd, United Kingdom, 2004. Hardback. Condición: New. 2nd Edition. Language: English . Brand New Book. 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 80 new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the perfect-replication approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author s philosophical approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. 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 III focusses on interest rates when the volatility is deterministic. 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. Praise for the First Edition: In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging. The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed. Professor Ian Cooper, London Business School Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion A rare combination of intellectual insight and practical common sense. Anthony Neuberger, London Business School. Nº de ref. del artículo: AAH9780470091395

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Rebonato, Riccardo
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Descripción Wiley, 2004. Hardcover. Condición: New. Never used!. Nº de ref. del artículo: P110470091398

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Riccardo Rebonato
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ISBN 10: 0470091398 ISBN 13: 9780470091395
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Descripción Wiley John & Sons Aug 2004, 2004. Buch. Condición: Neu. Neuware - In den letzten 10 Jahren sind Mathematikmodelle für Händler zum Alltag geworden. Seit der Einführung der Black & Scholes Formel haben anerkannte Akademiker und Fachleute in der Praxis eine Reihe von Modellen entwickelt, die der Schnellebigkeit in der internationalen Finanzwelt Rechnung tragen sollen. Sie haben versucht, das Modellverfahren soweit zu verfeinern, daß man es auf eine größere Anzahl von Optionsszenarios anwenden kann. Dieser Band erläutert den nächsten bedeutenden Schritt bei der Entwicklung eines Optionspreis-Modells: die Einbeziehung von Volatilität und Korrelation. Gemessen an den Neuentwicklungen bewertet der Autor bestehende Modelle, wobei er immer wieder auf seinen 10-jährigen Erfahrungsschatz zurückgreift. Darüber hinaus stellt er auch einige neue Originalansätze vor und erläutert anhand von Fallstudien die praktische Seite dieser äußerst komplexen Theorien. (10/99) In Volatility and Correlation 2 nd 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 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the perfect replication approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author s philosophical approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. 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 III focusses on interest rates when the volatility is deterministic. 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. Praise for the First Edition: In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging. The book is a must read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed. Professor Ian Cooper, London Business School Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion A rare combination of intellectual insight and practical common sense. Anthony Neuberger, London Business School 864 pp. Englisch. Nº de ref. del artículo: 9780470091395

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Riccardo Rebonato
Publicado por Wiley John & Sons Aug 2004 (2004)
ISBN 10: 0470091398 ISBN 13: 9780470091395
Nuevo Cantidad disponible: 1
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Rheinberg-Buch
(Bergisch Gladbach, Alemania)
Valoración
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Descripción Wiley John & Sons Aug 2004, 2004. Buch. Condición: Neu. Neuware - In den letzten 10 Jahren sind Mathematikmodelle für Händler zum Alltag geworden. Seit der Einführung der Black & Scholes Formel haben anerkannte Akademiker und Fachleute in der Praxis eine Reihe von Modellen entwickelt, die der Schnellebigkeit in der internationalen Finanzwelt Rechnung tragen sollen. Sie haben versucht, das Modellverfahren soweit zu verfeinern, daß man es auf eine größere Anzahl von Optionsszenarios anwenden kann. Dieser Band erläutert den nächsten bedeutenden Schritt bei der Entwicklung eines Optionspreis-Modells: die Einbeziehung von Volatilität und Korrelation. Gemessen an den Neuentwicklungen bewertet der Autor bestehende Modelle, wobei er immer wieder auf seinen 10-jährigen Erfahrungsschatz zurückgreift. Darüber hinaus stellt er auch einige neue Originalansätze vor und erläutert anhand von Fallstudien die praktische Seite dieser äußerst komplexen Theorien. (10/99) In Volatility and Correlation 2 nd 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 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the perfect replication approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author s philosophical approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. 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 III focusses on interest rates when the volatility is deterministic. 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. Praise for the First Edition: In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging. The book is a must read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed. Professor Ian Cooper, London Business School Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion A rare combination of intellectual insight and practical common sense. Anthony Neuberger, London Business School 864 pp. Englisch. Nº de ref. del artículo: 9780470091395

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10.

Riccardo Rebonato
Publicado por Wiley John & Sons Aug 2004 (2004)
ISBN 10: 0470091398 ISBN 13: 9780470091395
Nuevo Original o primera edición Cantidad disponible: 1
Librería
BuchWeltWeit Inh. Ludwig Meier e.K.
(Bergisch Gladbach, Alemania)
Valoración
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Descripción Wiley John & Sons Aug 2004, 2004. Buch. Condición: Neu. Neuware - In den letzten 10 Jahren sind Mathematikmodelle für Händler zum Alltag geworden. Seit der Einführung der Black & Scholes Formel haben anerkannte Akademiker und Fachleute in der Praxis eine Reihe von Modellen entwickelt, die der Schnellebigkeit in der internationalen Finanzwelt Rechnung tragen sollen. Sie haben versucht, das Modellverfahren soweit zu verfeinern, daß man es auf eine größere Anzahl von Optionsszenarios anwenden kann. Dieser Band erläutert den nächsten bedeutenden Schritt bei der Entwicklung eines Optionspreis-Modells: die Einbeziehung von Volatilität und Korrelation. Gemessen an den Neuentwicklungen bewertet der Autor bestehende Modelle, wobei er immer wieder auf seinen 10-jährigen Erfahrungsschatz zurückgreift. Darüber hinaus stellt er auch einige neue Originalansätze vor und erläutert anhand von Fallstudien die praktische Seite dieser äußerst komplexen Theorien. (10/99) In Volatility and Correlation 2 nd 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 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the perfect replication approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author s philosophical approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. 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 III focusses on interest rates when the volatility is deterministic. 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. Praise for the First Edition: In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging. The book is a must read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed. Professor Ian Cooper, London Business School Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion A rare combination of intellectual insight and practical common sense. Anthony Neuberger, London Business School 864 pp. Englisch. Nº de ref. del artículo: 9780470091395

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