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Volatility and Correlation: The Perfect Hedger and the Fox (Wiley Finance)
Riccardo Rebonato Manufacturer: Wiley ProductGroup: Book Binding: Hardcover Similar Items:
ASIN: 0470091398 |
Book Description
In Volatility and Correlation 2 nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation – with over 80ew or fully reworked material and is a must have both for practitioners and for students.The new and updated material includes a critical examination of the ‘perfect-replication’ approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options.
The book is split into four parts. Part I deals with a Black world without smiles, sets out the author’s ‘philosophical’ approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface.
Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes.
Praise for the First Edition:
“In this book, Dr Rebonato brings his penetrating eye to bear on option pricing and hedging.… The book is a must-read for those who already know the basics of options and are looking for an edge in applying the more sophisticated approaches that have recently been developed.”
—Professor Ian Cooper, London Business School
“Volatility and correlation are at the very core of all option pricing and hedging. In this book, Riccardo Rebonato presents the subject in his characteristically elegant and simple fashion…A rare combination of intellectual insight and practical common sense.”
—Anthony Neuberger, London Business School
Download Description
In Volatility and Correlation 2nd edition: The Perfect Hedger and the Fox, Rebonato looks at derivatives pricing from the angle of volatility and correlation. With both practical and theoretical applications, this is a thorough update of the highly successful Volatility & Correlation with over 80% new or fully reworked material and is a must have both for practitioners and for students. The new and updated material includes a critical examination of the perfect-replication approach to derivatives pricing, with special attention given to exotic options; a thorough analysis of the role of quadratic variation in derivatives pricing and hedging; a discussion of the informational efficiency of markets in commonly-used calibration and hedging practices. Treatment of new models including Variance Gamma, displaced diffusion, stochastic volatility for interest-rate smiles and equity/FX options. The book is split into four parts. Part I deals with a Black world without smiles, sets out the author's philosophical approach and covers deterministic volatility. Part II looks at smiles in equity and FX worlds. It begins with a review of relevant empirical information about smiles, and provides coverage of local-stochastic-volatility, general-stochastic-volatility, jump-diffusion and Variance-Gamma processes. Part II concludes with an important chapter that discusses if and to what extent one can dispense with an explicit specification of a model, and can directly prescribe the dynamics of the smile surface. Part III focusses on interest rates when the volatility is deterministic. Part IV extends this setting in order to account for smiles in a financially motivated and computationally tractable manner. In this final part the author deals with CEV processes, with diffusive stochastic volatility and with Markov-chain processes.Customer Reviews:
Very good but missing little things here and there.......2007-02-08
very informative and reader friendly.......2007-01-09
Average customer rating:
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Changes That Heal: How to Understand the Past to Ensure a Healthier Future
Dr. Henry Cloud Manufacturer: Zondervan ProductGroup: Book Binding: Mass Market Paperback Similar Items:
ASIN: 0310214637 |
Book Description
This book focuses on four developmental tasks -- bonding to others, separating from others, integrating good and bad in our lives, and taking charge of our lives -- that all of us must accomplish to heal our inner pain and to enable us to function and grow emotionally and spiritually.Customer Reviews:
Changes that Heal.......2007-09-10
let's get real.......2007-04-01
Changes that Heal.......2007-03-12
Changes That Heal more than you'll believe.......2007-01-21
Excellent.......2007-01-17
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Live with Passion! : Stategies for Creating a Compelling Future
Anthony Robbins Manufacturer: Nightingale-Conant ProductGroup: Book Binding: Audio CD Similar Items:
Accessories:
ASIN: 0743525213 |
Book Description
Are you tired of settling for less than you can be, less than you can achieve, less than you deserve? Would you like to learn to live with passion so that you can turn your everyday experiences into extraordinary, life-changing events? It's time to stop wishing and start living, because you are about to acquire the vital life tools that will help you tap into the power of your own passion.
Let's face it, you want certain things out of life -- financial rewards, personal fulfillment, and satisfying relationships. And now, with Anthony Robbins' groundbreaking program Live with Passion!, you can master your behavior, your emotions, your finances, your business, and your career.
In Live with Passion!, you'll learn how to:
Anthony Robbins will be there to help push you past your obstacles, achieve your goals, take consistent action on your ideas, and ultimately help you redefine and improve the quality of your entire life. So get started now and learn how to start living your life with more passion, more happiness, and more fulfillment than ever before!
Customer Reviews:
Solid Principles to Live By.......2007-07-17
Do you feel depressed, frustrated and uninspired? It's time to Live Your Live With Passion! .......2007-07-16
Thanks Tony.......2006-12-02
not really my kind of speaker.......2006-08-24
I would have giving it a 10 stars !!.......2006-08-13
Average customer rating:
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Wills, Trusts, and Estates (Casebook)
Manufacturer: Aspen Publishers ProductGroup: Book Binding: Hardcover Similar Items:
ASIN: 0735536953 |
Book Description
Regarded as one of the best casebooks available for any course, this comprehensive text combines interesting cases, well-tailored notes, and a clear organization into an excellent teaching tool.The new Seventh Edition retains the late Jesse Dukeminier's unique blend of wit, erudition, insight, and playfulness and covers all the key topics in a logical, clear organization. Included are interesting cases that are not only fun to read, but fun for professors to teach as well. Cases are enhanced and connected to broader legal principles by well-written notes, questions, and problems and cartoons, illustrations, and photographs provide humorous interruptions and visual commentary at appropriate places within the text. New authors James Lindgren and Robert Sitkoff updated the book to reflect legal change while remaining careful to retain the same interesting mix of cases, engaging notes and flexible organization that makes this a highly successful casebook. Additions and improvements to the previous edition include due attention to new developments in law reform by the ALI and NCCUSL such as: Restatement Third, Trusts (2003, Uniform Trust Code (2000) including proposed 2004 amendments, Restatement (Third) of Property: Wills and Other Donative Transfers (2001, 2003)and Uniform Disclaimer of Property Interests Act (2002. Attention is given to ongoing developments in the law such as inheritance rights of posthumously conceived children, standing of donors in suits against the trustees of charitable trusts, the rise of domestic offshore self-settled spendthrift trusts, the erosion of the rule against perpetuities and the rise of the perpetual, generation-skipping trust. There is enhanced coverage of increasingly important topics such as fiduciary administration and trust investment law (including modern portfolio theory, diversification, the principal and income problem, and measuring damages; and inheritance rights of same-sex partners, inheritance rights of children, with comparison to the other common law countries (which are far more generous to children). Also included is a more logical presentation of nonprobate transfers and their role in estate planning, fully updated tax chapter with attention to new developments such as the Economic Growth and Tax Relief Reconciliation Act of 2001. Notes, questions, and problems have been revised throughout where appropriate in light of the foregoing and other developments.
Customer Reviews:
Very Effective and Illustrative of the Necessary Elements.......2007-09-12
Excellent purchase.......2007-09-08
Easy reading.......2007-01-13
Thoughtfully written and thought provoking.......2007-01-11
Don't Settle for Imitations.......2005-07-09
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Estates In Land And Future Interests: A Step-by-step Guide (Coursebook)
Linda Holdeman Edwards Manufacturer: Aspen Publishers ProductGroup: Book Binding: Paperback Similar Items:
ASIN: 0735549524 |
Customer Reviews:
A Reader is Right..........2006-11-28
Excellent Book.......2004-10-27
Somewhat helpful.......2004-05-05
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Understanding Interest Rate Swaps
Mary S. Ludwig Manufacturer: McGraw-Hill ProductGroup: Book Binding: Hardcover Similar Items:
ASIN: 0070390207 |
Book Description
Interest rate swaps--used globally by both corporate finance departments and investment firms to control interest payments, manage debt, and enhance investment portfolios--constitute a growing 1.9 trillion market. Now, financial personnel, swap traders, corporate treasurers, and professional cash managers can turn to this clear, authoritative guide to master all the methodologies used in the international swap market. Written for anyone whose work is touched by swap market activity, the guide uses diagramming techniques to first explain what swaps are, and how and why they are traded. It then addresses more sophisticated financial transactions, such as rate setting, analysis of swap desks, market-to-market, speculating, and financial statements. Readers will find detailed coverage of more than two dozen derivative products, including spreadlocks, swaptions, caps, and flows, and learn how swap trading works in foreign currencies and interest rates. Critical light is also shed on questions regulators are currently raising about the security and future of the swaps markets.Customer Reviews:
Me thinks some reviewers protest too much.......2004-07-11
Outdated and Shallow.......1999-09-02
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The LIBOR Market Model in Practice (The Wiley Finance Series)
Dariusz Gatarek , Przemyslaw Bachert , and Robert Maksymiuk Manufacturer: Wiley ProductGroup: Book Binding: Hardcover Similar Items:
ASIN: 0470014431 |
Book Description
The LIBOR Market Model (LMM) is the first model of interest rates dynamics consistent with the market practice of pricing interest rate derivatives and therefore it is widely used by financial institution for valuation of interest rate derivatives.This book provides a full practitioner's approach to the LIBOR Market Model. It adopts the specific language of a quantitative analyst to the largest possible level and is one of first books on the subject written entirely by quants. The book is divided into three parts - theory, calibration and simulation. New and important issues are covered, such as various drift approximations, various parametric and nonparametric calibrations, and the uncertain volatility approach to smile modelling; a version of the HJM model based on market observables and the duality between BGM and HJM models. Co-authored by Dariusz Gatarek, the 'G' in the BGM model who is internationally known for his work on LIBOR market models, this book offers an essential perspective on the global benchmark for short-term interest rates.
Customer Reviews:
Helpful addition to comprehension and discussion, but with frustrating errors....not for amatures.......2007-04-02
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What Teens Need to Succeed: Proven, Practical Ways to Shape Your Own Future
Peter L. Benson , Pamela Espeland , and Judy Galbraith Manufacturer: Free Spirit Publishing ProductGroup: Book Binding: Paperback Similar Items:
ASIN: 1575420279 |
Customer Reviews:
Outstanding book for both parent & child to read........1999-06-14
A wonderful book for teens and their parents!.......1999-05-19
As the Red Ribbon Chair for the Red Ribbon Coalition, I will urge volunteer coordinators to put at least one copy in their school library!
Irvine Unified School District's Guidance Resources will include the list of 40 Developmental Assets (from the book) in our 1999/2000 parent handbook.
This is an excellent resource for anyone who cares about helping youth succeed!
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Managing Risk in the Foreign Exchange, Money and Derivative Markets
Heinz Riehl Manufacturer: McGraw-Hill ProductGroup: Book Binding: Hardcover ASIN: 0070526737 |
Book Description
A professional's guide to controlling risk when investing in the foreign exchange and money markets. Particular emphasis on the use of derivatives. The book offers a unique perspective combining coverage of all three areas.
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Modern Pricing of Interest-Rate Derivatives: The LIBOR Market Model and Beyond
Riccardo Rebonato Manufacturer: Princeton University Press ProductGroup: Book Binding: Hardcover Similar Items:
ASIN: 0691089736 |
Book Description
In recent years, interest-rate modeling has developed rapidly in terms of both practice and theory. The academic and practitioners' communities, however, have not always communicated as productively as would have been desirable. As a result, their research programs have often developed with little constructive interference. In this book, Riccardo Rebonato draws on his academic and professional experience, straddling both sides of the divide to bring together and build on what theory and trading have to offer.
Rebonato begins by presenting the conceptual foundations for the application of the LIBOR market model to the pricing of interest-rate derivatives. Next he treats in great detail the calibration of this model to market prices, asking how possible and advisable it is to enforce a simultaneous fitting to several market observables. He does so with an eye not only to mathematical feasibility but also to financial justification, while devoting special scrutiny to the implications of market incompleteness.
Much of the book concerns an original extension of the LIBOR market model, devised to account for implied volatility smiles. This is done by introducing a stochastic-volatility, displaced-diffusion version of the model. The emphasis again is on the financial justification and on the computational feasibility of the proposed solution to the smile problem. This book is must reading for quantitative researchers in financial houses, sophisticated practitioners in the derivatives area, and students of finance.
Customer Reviews:
why bother.......2003-02-14
Anyway, while Derivatives Pricing achieves little for the welfare of mankind, the recent need for assets based on ever complex market scenarios calls for a more refined pricing methodology. There no supply and demand here, only customers who want hedge/trade/tradge assets /liabilities and traders who need to make sure their firms don't go burst when market move.
The author answers that demand by formatting and publishing his papers.
rebonato does it again.......2003-01-18
If you are working on the pricing of exotic interest rate derivatives, this book is a must buy.
Such pearls of wisdom.......2003-01-09
In fact, I submit, that said reviewer knows nothing of finance whatsoever.
(Since this book happens to be well regarded, I'll give it a five)
A theoretical substitute for supply and demand.......2002-12-20
But why exactly does the question need answering? After all, the price of X, like that of its underlying, is determined by the point at which the demand for X is equal to the supply of X. One doesn't need a computer for that, one just needs a liquid marketplace. I can look up the price of a share of Microsoft's equity in my daily newspaper. I'm not tempted to develop a body of theory to figure it out, when I can flip through a few pages and find it.
Nowadays, I can also look up the price of a standardized option to buy Microsoft in the newspaper. In 1973, when people like Fischer Black began developing this body of theory, that was not yet the case.
This brings us to the point of my little sermon. The purpose of this body of theory is to produce a price figure in cases where there is not a liquid market for X. The theories answer the question a portfolio manager must often ask himself: if I were able to find a buyer for X, how much could I charge for it?
This book has its moments, but in general I believe this body of theory accomplishes less than its adepts believe. The imagery of a God-like Newton on the dust jacket indicates, I submit, some of the pretentiousness that gets into their ivory towers.
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