Volatility And Correlation: The Perfect Hedger And The Fox Paperback English by Riccardo Rebonato - 20 Sep 2004

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Riccardo Rebonato

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. 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

9780470091395

English

John Wiley And Sons Inc

20 Sep 2004

864

Riccardo Rebonato is Head of Group Market Risk For The Royal Bank of Scotland Group, And Head of The Royal Bank of Scotland Group Quantitative Research Centre. He is Also a Visiting Lecturer at Oxford University For The Mathematical Finance Diploma And MSc. He Holds Doctorates in Nuclear Engineering And Science of Materials/Solid State Physics. He Sits on The Board of Directors of Isda And on The Board of Trustees of GARP. Prior to Joining The Royal Bank of Scotland, he Was Head of Complex Derivatives Trading Europe And Head of Derivatives Research at Barclays Capital (Bzw), Where he Worked For Nine years. Before That he Was a Research Fellow in Physics at Corpus Christi College, Oxford, UK. He is The Author of Three Books, Modern Pricing of Interest--Rate Derivatives, Volatility And Correlation in Option Pricing And Interest--Rate Option Models. He Has Published Several Papers on Finance in Academic Journals, And is on The Editorial Board of Several journals. He is a Regular Speaker at Conferences worldwide.

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In This Book Dr Rebonato Brings His Penetrating Eye to Bear on Option Pricing And hedging. In His Usual Intuitive Style he Critically Examine a Variety of Approaches to Equity, Currency And Interest-Rate options. This Book is Full of Practical Insights That Reflect a Wealth of Experience in Applying These models. 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"This Book is a Blend of The Theoretical, The Practical, And The Abstract, But Always Staying in Contact With reality. I Don't Agree With Everything in it, But it Taught me a Thing or two. Read it Carefully And thoroughly." --Paul Wilmott, Derivatives"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. He Rightly Emphasises The Financial And Economic Assumptions Which Underpin The Models, And Gives Salutary Warnings Against Models Which Overfit The Current Structure of Prices But Which Perform Poorly in Predicting Future behaviour. A Rare Combination of Intellectual Insight And Practical Common sense."Selected 3D Graphs From The Book Are Reproduced in Colour at FTP " --Anthony Neuberger, Associate Professor, Institute of Finance And Accounting, London Business School