(Wiley Finance) 1st Edition
by Sebastien Bossu (Author), Peter Carr (Foreword)
In Advanced Equity Derivatives: Volatility and Correlation,
Sébastien Bossu reviews and explains the advanced concepts used for
pricing and hedging equity exotic derivatives. Designed for financial
modelers, option traders and sophisticated investors, the content covers
the most important theoretical and practical extensions of the
Black-Scholes model.
Each chapter includes numerous illustrations
and a short selection of problems, covering key topics such as implied
volatility surface models, pricing with implied distributions, local
volatility models, volatility derivatives, correlation measures,
correlation trading, local correlation models and stochastic
correlation.
The author has a dual professional and academic background, making Advanced Equity Derivatives: Volatility and Correlation
the perfect reference for quantitative researchers and mathematically
savvy finance professionals looking to acquire an in-depth understanding
of equity exotic derivatives pricing and hedging.
