Volatility and Correlation - The Perfect Hedger and the Fox

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Volatility and Correlation-The Perfect Hedger and the Fox
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书籍名称：Volatility and Correlation - The Perfect Hedger and the Fox

作者：Riccardo Rebonato

出版年份：2004，2nd Edition  共866p，文字版（非扫描版）PDF

ISBN 0-470-09139-8

目录：

Preface

Acknowledgements

I. Foundations

2. Option Replication

3. The Building Blocks

4. Variance and Mean Reversion in the Real and the Risk-Adjusted Worlds

5. Instantaneous and Terminal Correlation

II. Smiles – Equity and FX

6. Pricing Options in the Presence of Smiles

7. Empirical Facts About Smiles

8 .General Features of Smile-Modelling Approaches

9. The Input Data: Fitting an Exogenous Smile Surface

10. Quadratic Variation and Smiles

11. Local-Volatility Models: the Derman-and-Kani Approach

12. Extracting the Local Volatility from Option Prices

13. Stochastic-Volatility Processes

14. Jump–Diffusion Processes

15. Variance–Gamma

16. Displaced Diffusions and Generalizations

17 No-Arbitrage Restrictions on the Dynamics of Smile Surfaces

III. Interest Rates – Deterministic Volatilities

18. Mean Reversion in Interest-Rate Models

19. Volatility and Correlation in the LIBOR Market Model

20. Calibration Strategies for the LIBOR Market Model

21. Specifying the Instantaneous Volatility of Forward Rates

22 Specifying the Instantaneous Correlation Among Forward Rates

IV Interest Rates – Smiles

23. How to Model Interest-Rate Smiles

24 (CEV) Processes in the Context of the LMM

25 Stochastic-Volatility Extensions of the LMM

26 The Dynamics of the Swaption Matrix

27. Stochastic-Volatility Extension of the LMM: Two-Regime Instantaneous Volatility

Bibliography

Index

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