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| A CONTINUITY CORRECTION FOR DISCRETE BARRIER OPTIONS(1).pdf 210.0 KB
| A CONTINUITY CORRECTION FOR DISCRETE BARRIER OPTIONS.pdf 210.0 KB
+Chapter 2-The Implied Volatility Surface 46.6 MB
| Arbitrage Bounds on the Implied Volatility Strike and Term Structures of European-Style Options(1).pdf 477.0 KB
| Arbitrage Bounds on the Implied Volatility Strike and Term Structures of European-Style Options.pdf 477.0 KB
| Carr, Peter, and Liuren Wu---A New Simple Approach for Constructing Implied Volatility Surfaces(1).pdf 314.0 KB
| Carr, Peter, and Liuren Wu---A New Simple Approach for Constructing Implied Volatility Surfaces.pdf 314.0 KB
| Derman, Emanuel---Introduction to the Volatility Smile(1).pdf 459.0 KB
| Derman, Emanuel---Introduction to the Volatility Smile.pdf 459.0 KB
| Gatheral, Jim---A parsimonious arbitrage-free implied volatility parameterization with application to the valuation of volatility derivatives(1).pdf 1.2 MB
| Gatheral, Jim---A parsimonious arbitrage-free implied volatility parameterization with application to the valuation of volatility derivatives.pdf 1.2 MB
| Gatheral, Jim---Convergence of Heston to SVI(1).pdf 120.0 KB
| Gatheral, Jim---Convergence of Heston to SVI.pdf 120.0 KB
| Gatheral, Jim---The Volatility Surface, A Practitioner's Guide(1).pdf 101.0 KB
| Gatheral, Jim---The Volatility Surface, A Practitioner's Guide.pdf 101.0 KB
| Gurrieri, Sébastien---A Class of Term Structures for SVI Implied Volatility(1).pdf 175.0 KB
| Gurrieri, Sébastien---A Class of Term Structures for SVI Implied Volatility.pdf 175.0 KB
| Hagan, Patrick S., Deep Kumar, Andrew L. Lesniewski, and Diana E. Woodward.---Managing smile risk(1).pdf 403.0 KB
| Hagan, Patrick S., Deep Kumar, Andrew L. Lesniewski, and Diana E. Woodward.---Managing smile risk.pdf 403.0 KB
| Heston, Stephen L---A closed-form solution for options with stochastic volatility with applications to bond and currency options(1).pdf 415.0 KB
| Heston, Stephen L---A closed-form solution for options with stochastic volatility with applications to bond and currency options.pdf 415.0 KB
| Homescu, Cristian.---Implied Volatility Surface Construction Methodologies(1).pdf 454.0 KB
| Homescu, Cristian.---Implied Volatility Surface Construction Methodologies.pdf 454.0 KB
| Karlin, Samuel, and Howard M. Taylor.---Diffusion Processes-A Second Course in Stochastic Processes - Karlin & Taylor(1981).pdf 35.2 MB
| Lee, Roger.---The Moment Formula for Implied Volatility at Extreme Strikes(1).pdf 103.0 KB
| Lee, Roger.---The Moment Formula for Implied Volatility at Extreme Strikes.pdf 103.0 KB
| Roper, Michael.---Arbitrage Free Implied Volatility Surfaces(1).pdf 204.0 KB
| Roper, Michael.---Arbitrage Free Implied Volatility Surfaces.pdf 204.0 KB
| Zeliade Systems.---Quasi-Explicit Calibration of Gatheral's SVI model.pdf 2.6 MB
+Chapter 3-Implied Distributions 1.4 MB
| Breeden, Douglas T., and Robert H. Litzenberger.---Prices of State-Contingent Claims Implicit in Option Prices(1).pdf 530.0 KB
| Breeden, Douglas T., and Robert H. Litzenberger.---Prices of State-Contingent Claims Implicit in Option Prices.pdf 530.0 KB
| Demeterfi, Kresimir, Emanuel Derman, Michael Kamal, and Joseph Zhou.---More than You Ever Wanted to Know about Volatility Swaps.pdf 373.0 KB
+Chapter 4-Local Volatility and Beyond 19.8 MB
| Andersen, Leif B. G.---Efficient Simulation of the Heston Stochastic Volatility Model(1).pdf 307.0 KB
| Andersen, Leif B. G.---Efficient Simulation of the Heston Stochastic Volatility Model.pdf 307.0 KB
| Bossu, Sébastien, and Philippe Henrotte.---An Introduction to Equity Derivatives-Theory and Practice.pdf 3.5 MB
| Bossu, Sébastien.---Arbitrage pricing of equity correlation swaps.pdf 480.0 KB
| Derman, Emanuel, and Iraj Kani.---Stochastic Implied Trees-Arbitrage Pricing With Stochastic Term and Strike Structure of Volatility.pdf 11.9 MB
| Derman, Emanuel, and Iraj Kani.---The Volatility Smileand Its Implied Tree.pdf 355.0 KB
| Dupire, Bruno.---Pricing with a Smile.pdf 95.0 KB
| Gatheral, Jim.---The Volatility Surface.pdf 2.8 MB
+Chapter 5-Advanced Equity Dericatives 2.5 MB
| Bossu, Sébastien, Eva Strasser, and Régis Guichard.---Just What You Need to Know about Variance Swaps.pdf 1.3 MB
| Carr, Peter, and Dilip Madan.---Towards a Theory of Volatility Trading.pdf 267.0 KB
| Carr, Peter, and Roger Lee.---Volatility Derivatives.pdf 566.0 KB
| Demeterfi, Kresimir, Emanuel Derman, Michael Kamal, and Joseph Zhou.---More than You Ever Wanted to Know about Volatility Swaps.pdf 373.0 KB
+Chapter 6-Introducing Correlation 19.3 MB
| Blumenthal, Leonard M---On the four-point property.pdf 285.0 KB
| Dattorro, Jon.---Convex Optimization and Euclidean Distance Geometry.pdf 17.8 MB
| De Finetti, Bruno.---A proposito di correlazione.pdf 182.0 KB
| Higham, Nicholas J.---Computing the Nearest Correlation Matrix-A Problem From Finance.pdf 273.0 KB
| Laurence, Peter, Tai-Ho Hwang, and Luca Barone.---Geometric Properties of Multivariate Correlation in de Finetti’s Approach to Insurance Theory.pdf 470.0 KB
| Potters, Marc, Jean-Philippe Bouchaud, and Laurent Laloux.---Financial Applications of Random Matrix Theory Old Laces and New Pieces.pdf 292.0 KB
+Chapter 8-Local Correlation 1.5 MB
| Langnau, Alex.---A dynamic model for correlation.pdf 1.5 MB
+Chapter 9-Stochastic Correlation 3.6 MB
| Ahdida, Abdelkoddousse, and Aurélien Alfonsi.---A Mean-Reverting SDE on Correlation matrices.pdf 591.0 KB
| Engle, Robert.---Anticipating Correlations - A New Paradigm for Risk Management.pdf 1.8 MB
| van Emmerich, Cathrin.---Modelling Correlation as a Stochastic Process.pdf 515.0 KB
| Wishart, John.---THE GENERALISED PRODUCT MOMENT DISTRIBUTION IN SAMPLES FROM A NORMAL MULTIVARIATE POPULATION.pdf 676.0 KB
说明.txt 414 Byte
缺项：
1、
Chapter 5：
“The CBOE Volatility Index—VIX.” 2009. CBOE White Paper.
2、
Chapter 6：
Tierens, Ingrid, and Margaret Anadu. 2004. “Does It Matter Which Methodology
You Use to Measure Average Correlation across Stocks?” Goldman Sachs Equity
Derivatives Strategy report, April 2004.
3、
Chapter 8：
Reghai, Adil. 2010. “Breaking Correlation Breaks.” Risk Magazine (October):
90–95.
Advanced Equity Derivatives(参考文献).zip
(83.25 MB, 需要: RMB 29 元)
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