Model Calibration for Financial Derivatives: From Hedging to Pricing Frédéric Abergel

ISBN: 9781119952992

Published: October 8th 2013

ebook

224 pages


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Model Calibration for Financial Derivatives: From Hedging to Pricing  by  Frédéric Abergel

Model Calibration for Financial Derivatives: From Hedging to Pricing by Frédéric Abergel
October 8th 2013 | ebook | PDF, EPUB, FB2, DjVu, audiobook, mp3, RTF | 224 pages | ISBN: 9781119952992 | 10.52 Mb

Model calibration strategies and techniques for derivative productsThe calibration of derivatives has evolved significantly, covering new ground like implied volatility surface static and dynamics, first and higher-generation exotics calibration,MoreModel calibration strategies and techniques for derivative productsThe calibration of derivatives has evolved significantly, covering new ground like implied volatility surface static and dynamics, first and higher-generation exotics calibration, local and stochastic volatility models, interest rates or multi-asset correlation modeling, default time modeling, credit derivatives, and more.

This book introduces the fundamentals of model calibration by taking an intuitive approach to the Black, Scholes, and Merton and revisiting it in an incomplete markets setting, applying to a range of hedging strategies.



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