Austing Smile Pricing Explained

1. Auflage 2014
ISBN: 978-1-137-33572-2
Verlag: Palgrave Macmillan UK
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, 221 Seiten

Reihe: Economics and Finance (R0)

Smile Pricing Explained provides a clear and thorough explanation of the concepts of smile modelling that are at the forefront of modern derivatives pricing. The key models used in practice are covered, together with numerical techniques and calibration.

Zielgruppe

Research

Autoren/Hrsg.

Austing, P.

Inhaltsverzeichnis

1. Introduction to Derivatives 2. Stochastic Calculus 3. Martingale Pricing 4. Dynamic Hedging and Replication 5. Exotic Options in Black-Scholes 6. Smile Models 7. Stochastic Volatility 8. Numerical Techniques 9. Local Stochastic Volatility 10. Volatility Products 11. Multi-Asset

Über Autor(innen)

In Smile Pricing Explained, Peter Austing draws on a decade of experience building the mathematical models for derivatives trading at major investment banks, most recently Barclays Capital where he was a Director in Quantitative Analytics.

Before moving to finance, Dr Austing held research positions in theoretical physics studying candidate theories of quantum gravity. It was at Oxford University, while teaching mathematics at St John's College, that he developed his love for teaching and accessible style.

A seasoned quantitative practitioner, and regular conference speaker, Peter Austing is best known for his work on multi-asset derivative pricing with correlation smile. He is currently engaged in research at Imperial College, London.