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Frontiers in quantitative finance : volatility and credit risk modeling

Autore: Rama Cont
Editore: Hoboken, N.J. : John Wiley & Sons, ©2009.
Serie: Wiley finance series.
Edizione/Formato:   book_printbook : EnglishVedi tutte le edizioni e i formati
Banca dati:WorldCat
Sommario:
The Petit Déjeuner de la Finance - which Rama Cont has been co-organizing in Paris since 1998 - is a well-known quantitative finance seminar that has progressively become a platform for the exchange of ideas between the academic and practitioner communities in quantitative finance. This seminar has included a prestigious list of international speakers who are considered major contributors to recent developments in  Per saperne di più…
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Genere/forma: Aufsatzsammlung
Tipo materiale: Risorsa internet
Tipo documento: Book, Internet Resource
Tutti gli autori / Collaboratori: Rama Cont
ISBN: 047029292X 9780470292921
Numero OCLC: 230181884
Descrizione: xvii, 299 p. : ill. ; 24 cm.
Contenuti: I. Option Pricing And Volatility Modeling. 1. A Moment Approach To Static Arbitrage (Alexandre d' Aspremont).1.1 Introduction. 1.2 No Arbitrage Conditions. 1.3 Example. 1.4 Conclusion. 2. On Black-Scholes Implied Volatility At Extreme Strikes (Shalom Benaim, Peter Friz and Roger Lee).2.1 Introduction. 2.2 The Moment Formula. 2.3 Regular Variation and the Tail-Wing Formula. 2.4 Related Results. 2.5 Applications. 2.6 CEV and SABR. 3. Dynamic Properties Of Smile Models (Lorenzo Bergomi).3.1 Introduction. 3.2 Some standard smile models. 3.3 A new class of models for smile dynamics. 3.4 Pricing examples. 3.5 Conclusion. 4. A Geometric Approach To The Asymptotics Of Implied Volatility (Pierre Henry-Labord'Ere).4.1 Volatility Asymptotics in Stochastic Volatility Models. 4.2 Heat Kernel Expansion. 4.3 Geometry of Complex Curves and Asymptotic Volatility. 4.4 --SABR model and hyperbolic geometry. 4.5 SABR model with --
= 0, 1.4.6 Conclusions and future work. 4.7 Appendix A: Notions in differential geometry. 4.8 Appendix B: Laplace integrals in many dimensions. 5. Pricing, Hedging And Calibration In Jump-Diffusion Models (Peter Tankov And Ekaterina Voltchkova).5.1 Overview of jump-diffusion models. 5.2 Pricing European options via Fourier transform. 5.3 Integro-differential equations. 5.4 Hedging the jump risk. 5.5 Model calibration. II. Credit Risk. 6. Modelling Credit Risk (L.C.G. Rogers).6.1 What is the problem?6.2 Hazard rate models. 6.3 Structural models. 6.4 Some nice ideas. 6.5 Summary. 6.6 Epilogue. 7. An Overview Of Factor Modeling For CDO Pricing (Jean-Paul Laurent And Areski Cousin).7.1 Pricing of portfolio credit derivatives. 7.2 Factor models for pricing of CDO tranches. 7.3 A review of factor approaches to the pricing of CDOs. 7.4 Conclusion. 8. Factor Distributions Implied by Quoted CDO Spreads (Erik Schl ogl and Lutz Schl ogl).8.1 Introduction. 8.2 Modelling. 8.3 Examples. 8.4 Conclusion. 9. Pricing Cdos With A Smile: The Local Correlation Model (Julien Turc And Philippe Very).9.1 The local correlation model. 9.2 Simplification under the large pool assumption. 9.3 Building the local correlation function without the large pool Assumption. 9.4 Pricing and hedging with local correlation. 10. Portfolio Credit Risk: Top Down Vs Bottom Up Approaches (Kay Giesecke).10.1 Introduction. 10.2 Portfolio credit models. 10.3 Information and specification. 10.4 Default distribution. 10.5 Calibration. 10.6 Conclusion. 11. Forward Equations For Portfolio Credit Derivatives (Rama Cont And Ioana Savescu).11.1 Portfolio credit derivatives. 11.2 Top-down models for CDO pricing. 11.3 Effective default intensity. 11.4 A forward equation for CDO pricing. 11.5 Recovering forward default intensities from tranche spreads. 11.6 Conclusion.
Titolo della serie: Wiley finance series.
Responsabilità: Rama Cont, editor.
Maggiori informazioni:

Abstract:

The Petit D'euner de la Finance-which author Rama Cont has been co-organizing in Paris since 1998-is a well-known quantitative finance seminar that has progressively become a platform for the  Per saperne di più…

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