Volatility correlation, rebonato

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.. .Volatility and Correlation 2nd Edition The Perfect Hedger and the Fox Riccardo Rebonato Volatility and Correlation 2nd Edition Volatility and Correlation 2nd Edition... Congress Cataloging-in-Publication Data Rebonato, Riccardo Volatility and correlation: the perfect hedger and the fox/Riccardo Rebonato – 2nd ed p cm Rev ed of: Volatility and correlation in the pricing... Constant Volatility 4.3.1 Trading the Gamma: One Step and Constant Volatility 4.3.2 Trading the Gamma: Several Steps and Constant Volatility 4.4 Hedging Plain-Vanilla Options: Time-Dependent Volatility
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Xem thêm: Volatility correlation, rebonato , Volatility correlation, rebonato , 6 Switching Between the PDE, the Expectation and the Binomial Replication Approaches, 4 Hedging Options: Volatility of Spot and Forward Processes, 9 Hedging Plain-Vanilla Options: Finite Re-Hedging Intervals Again, 1 Correlation, Co-Integration and Multi-Factor Models, 3 Hedging with a Compensated Process: Plain-Vanilla and Binary Options, 6 Conclusions (or, Limitations of Quadratic Variation), 4 Green’s Functions (Arrow–Debreu Prices) in the DK Construction, 2 The Financial Model: Smile Tale 2 Revisited, 10 Jump–Diffusion Processes and Market Completeness Revisited, 1 A Worked-Out Example: Pricing Continuous Double Barriers, 5 The Unconditional Variance of the Short Rate in BDT – the Discrete Case, 7 Mean Reversion in Short-Rate Lattices: Recombining vs Bushy Trees, 9 Appendix I: Evaluation of the Variance of the Logarithm of the Instantaneous Short Rate, 4 Worked-Out Example 1: Caplets and a Two-Period Swaption, 5 Fitting the Instantaneous Volatility Function: Imposing Time Homogeneity of the Term Structure of Volatilities, 7 Fitting the Instantaneous Volatility Function: The Information from the Swaption Market, 1 What Do We Want to Capture? A Hierarchy of Smile-Producing Mechanisms, 4 Empirical Study I: Transforming the Log-Normal Co-ordinates, 6 Problems with the Predictor–Corrector Approximation for the LMM, 5 Discussion, Conclusions and Suggestions for Future Work, 3 An Aside: Some Simple Properties of Markov Chains

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