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by Sébastien Bossu, Peter Carr
Advanced Equity Derivatives: Volatility and Correlation
Cover
Series Page
Title Page
Copyright
Dedication
Foreword
Preface
Acknowledgments
Chapter 1: Exotic Derivatives
1.1 Single-Asset Exotics
1.2 Multi-Asset Exotics
1.3 Structured Products
References
Problems
Chapter 2: The Implied Volatility Surface
2.1 The Implied Volatility Smile and Its Consequences
2.2 Interpolation and Extrapolation
2.3 Implied Volatility Surface Properties
2.4 Implied Volatility Surface Models
References and Bibliography
Problems
Chapter 3: Implied Distributions
3.1 Butterfly Spreads and the Implied Distribution
3.2 European Payoff Pricing and Replication
3.3 Pricing Methods for European Payoffs
3.4 Greeks
References
Problems
Chapter 4: Local Volatility and Beyond
4.1 Local Volatility Trees
4.2 Local Volatility in Continuous Time
4.3 Calculating Local Volatilities
4.4 Stochastic Volatility
References
Problems
Chapter 5: Volatility Derivatives
5.1 Volatility Trading
5.2 Variance Swaps
5.3 Realized Volatility Derivatives
5.4 Implied Volatility Derivatives
Problems
Chapter 6: Introducing Correlation
6.1 Measuring Correlation
6.2 Correlation Matrices
6.3 Correlation Average
6.4 Black-Scholes with Constant Correlation
6.5 Local Volatility with Constant Correlation
References
Problems
Chapter 7: Correlation Trading
7.1 Dispersion Trading
7.2 Correlation Swaps
Problems
Chapter 8: Local Correlation
8.1 The Implied Correlation Smile and Its Consequences
8.2 Local Volatility with Local Correlation
8.3 Dynamic Local Correlation Models
8.4 Limitations
References
Problems
Chapter 9: Stochastic Correlation
9.1 Stochastic Single Correlation
9.2 Stochastic Average Correlation
9.3 Stochastic Correlation Matrix
References
Problems
Appendix 9.A: Sufficient Condition for Lower Bound Unattainability
Appendix 9.B: Necessary Condition for Upper Bound Unattainability
Appendix A: Probability Review
A.1 Standard Probability Theory
A.2 Random Variables, Distribution, and Independence
A.3 Conditioning
A.4 Random Processes and Stochastic Calculus
Appendix B: Linear Algebra Review
B.1 Euclidean Spaces
B.2 Square Matrix Decompositions
Solutions Manual
Chapter 1: Exotic Derivatives
Chapter 2: The Implied Volatility Surface
Chapter 3: Implied Distributions
Chapter 4: Local Volatility and Beyond
Chapter 5: Volatility Derivatives
Chapter 6: Introducing Correlation
Chapter 8: Local Correlation
Chapter 9: Stochastic Correlation
Author's Note
About the Author
Index
End User License Agreement
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Copyright
Advanced Equity Derivatives
Volatility and Correlation
SÉBASTIEN BOSSU
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