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by Alireza Javaheri
Inside Volatility Filtering: Secrets of the Skew, 2nd Edition
Title Page
Copyright
Foreword
Acknowledgments (Second Edition)
Acknowledgments (First Edition)
Introduction (Second Edition)
Introduction (First Edition)
Summary
Contributions and Further Research
Data and Programs
Chapter 1: The Volatility Problem
Introduction
The Stock Market
The Derivatives Market
Jump Diffusion and Level-Dependent Volatility
Local Volatility
Stochastic Volatility
The Pricing PDE under Stochastic Volatility
The Generalized Fourier Transform
The Mixing Solution
The Long-Term Asymptotic Case
Local Volatility Stochastic Volatility Models
Stochastic Implied Volatility
Joint SPX and VIX Dynamics
Pure-Jump Models
Chapter 2: The Inference Problem
Introduction
Using Option Prices
Using Stock Prices
Recapitulation
Chapter 3: The Consistency Problem
Introduction
The Consistency Test
The “Peso” Theory
Trading Strategies
Non-Gaussian Case
A Word of Caution
Foreign Exchange, Fixed Income, and Other Markets
Chapter 4: The Quality Problem
Introduction
An Exact Solution?
Quality of Observations
Conclusion
Bibliography
Index
End User License Agreement
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