Buch, Englisch, 384 Seiten, Format (B × H): 220 mm x 244 mm
Reihe: Wiley Finance Series
From Hedging to Pricing
Buch, Englisch, 384 Seiten, Format (B × H): 220 mm x 244 mm
Reihe: Wiley Finance Series
ISBN: 978-1-119-95224-4
Verlag: John Wiley & Sons Inc
Model calibration strategies and techniques for derivative products
The calibration of derivatives has evolved significantly, covering new ground like implied volatility surface static and dynamics, first and higher-generation exotics calibration, local and stochastic volatility models, interest rates or multi-asset correlation modeling, default time modeling, credit derivatives, and more. This book introduces the fundamentals of model calibration by taking an intuitive approach to the Black, Scholes, and Merton and revisiting it in an incomplete markets setting, applying to a range of hedging strategies.
