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Smile pricing explained

Author: Peter Austing
Publisher: [Basingstoke] : Palgrave Macmillan, 2014.
Series: Financial engineering explained.
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
Summary:
In modern derivatives trading, Black-Scholes theory is only a starting point. Asset volatilities are not constant, but change with market conditions. Large price moves are associated with periods of market turbulence and this leads to a smile shaped curve of the volatility implied from market prices. Smile Pricing Explained provides a clear and thorough explanation of the concepts of smile modelling that are at the  Read more...
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Document Type: Book
All Authors / Contributors: Peter Austing
ISBN: 9781137335715 1137335718
OCLC Number: 882184556
Description: xiv, 221 pages : illustrations ; 24 cm.
Contents: 1. Introduction to Derivatives --
2. Stochastic Calculus --
3. Martingale Pricing --
4. Dynamic Hedging and Replication --
5. Exotic Options in Black-Scholes --
6. Smile Models --
7. Stochastic Volatility --
8. Numerical Techniques --
9. Local Stochastic Volatility --
10. Volatility Products --
11. Multi-Asset.
Series Title: Financial engineering explained.
Responsibility: Peter Austing.
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Abstract:

Smile Pricing Explained provides a clear and thorough explanation of the concepts of smile modelling that are at the forefront of modern derivatives pricing. The key models used in practice are  Read more...

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'This appealing little book is skillfully written by Dr. Peter Austing, a well-known authority on options pricing. It is easy to understand and covers a lot of ground on theory and practice of smile Read more...

 
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