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 Consistent Modeling, Hedging, and Practical Implementation of Variance Swap Market Models Volatility Markets.
Наименование:

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

автор Hans B. издательство Книга по Требованию Математический анализ. Кратные и криволинейные интегралы. Задачи, решения
Cтраниц 188        мягкая обложка       
Аннотация:This book is a revised version of my PhD thesis "Volatility Markets: Consistent modeling, hedging and practical implementation", which has been written parallel to my work in Deutsche Bank' s Quantitative Products Analytics team in London. This book presents a comprehensive overview of the subject of "Consistent Variance Curve Models", a concept for variance swap markets which is very closely related to that of consistent Heath-Jarrow-Merton models for interest rate markets. In the course of the discussion, we address questions of existence, market completeness and integrability as well as efficient simulation and evaluation techniques. Comparison with other models and implementation considerations are provided. Moroever, the book also has an additional chapter on "fitted" variance curve models, most notably "Fitted Heston", which has proven to be a very valuable tool for risk-managing positions of options on variance. As the title suggests, the book provides both a sound theoretical background on such models as well as guidance on how to implement them.
Автор: Hans B.
Издательство: Книга по Требованию
Год:2009
Цена:
2783 руб
Нет в наличии
Поиск: Consistent Modeling, Hedging, and Practical Implementation of Variance Swap Market Models Volatility Markets.
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