Analysis, geometry, and modeling in finance : advanced methods in option pricing /

Bibliographic Details
Main Author:	Henry-Labordere, Pierre (Author)
Corporate Author:	Taylor & Francis
Format:	eBook
Language:	English
Published:	Boca Raton : CRC Press, 2009.
Series:	Chapman & Hall/CRC financial mathematics series.
Subjects:	Options (Finance) > Mathematical models. Electronic books.
Online Access:	Connect to the full text of this electronic book

Table of Contents:

chapter 1 Introduction
chapter 2 A Brief Course in Financial
chapter 3 Chapter 3
chapter 4 Chapter 4
chapter 5 Chapter 5
chapter IV versus LV 60.00 50.00 00 30.00 20.00 10.00 Strike -30% 50% 70% 90% 110% 130% 150% 170% 190%
Market IV
chapter 6 Chapter 6
chapter Lambda=-10%, lambdabar=0%, f0=5.37%, tau=5 y, nu=27.48%, rho=11.48%, beta=30%
Asymptotic Hagan
chapter Implied Vol 1Year 0.80 0.70 60 50 0.40 0.30 0.20 0.10 0.20.40.60.811.21.41.61.82
Hagan-al
chapter Implied Vol 5Year 0.70 0.60 50 0.40 0.30 0.20 0.10 0.20.40.60.81 21.41.61.82
Hagan-al
chapter Implied Vol 10Year 0.60 0 50. 40 0.30 0.20 0.10 0.00 0.20.40.60.81 21.41.61.82
Hagan-al
chapter f0=1, alpha=1.23%, nu=27.48%, rho=11.48%, beta=0%, tau=10 y
Exact
chapter 7 Multi-Asset European Option and Flat Geometry
chapter Zero correlation, Cst vol=20%, 3 Assets(FTSE, STO50XXE, SPX) 1 year / 90.0% 80.0% 70.0% 60.0%
chapter Historical correlation, Cst vol=20%, 3 Assets, 1 year / 90.0% 80.0% 70.0% 60.0%
chapter 8 Chapter 8
chapter 2F- Correlation
chapter Calibrated SABR vol (EUR 20x30 swaption) (alpha=0.53%,beta=0.13,rho=-13%, nu=24%
chapter 9 Chapter 9
chapter 10 Schro¨dinger Semigroups Estimates and Implied Volatility
chapter 11 Chapter 11
chapter 12 Portfolio Optimization and Bellman-Hamilton-Jacobi Equa- tion
chapter A
chapter B
chapter References
Books, monographs
chapter Index
chapter Analysis, Geometry, and
Modeling in Finance Advanced Methods in Option Pricing.