The volatility smile : an introduction for students and practitioners

The volatility smile : an introduction for students and practitioners / Emanuel Derman, Michael B. Miller.

"The Volatility Smile: An Introduction for Students and Practitioners The Black-Scholes-Merton options model was the greatest innovation of 20th Century finance, and remains the most widely applied theory in all of finance. Despite this success, the model is fundamentally at odds with the obser...

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Bibliographic Details
Main Authors: Derman, Emanuel (Author), Miller, Michael B. (Michael Bernard), 1973- (Author)
Format: eBook
Language:English
Published: Hoboken, New Jersey : Wiley, 2016.
Subjects:
Finance > Mathematical models.
Securities > Valuation.
BUSINESS & ECONOMICS > Finance.
Finance > Mathematical models
Securities > Valuation
Online Access:Click for online access
Table of Contents:
  • Preface About the Authors Chapter 1: Overview Chapter 2: The Principle of Replication Chapter 3: Static and Dynamic Replication Chapter 4: Variance Swaps: A Lesson in Replication Chapter 5: The P & L of Hedged Option Strategies in a Black-Scholes-Merton World Chapter 6: The Effect of Discrete Hedging on P & L Chapter 7: The Effect of Transactions Costs on P & L Chapter 8: The Smile: Stylized Facts and Their Interpretation Chapter 9: No-Arbitrage Bounds on the Smile Chapter 10: A Survey of Smile Models Chapter 11: Implied Distributions and Static Replication Chapter 12: Weak Static Replication Chapter 13: The Binomial Model and Its Extensions Chapter 14: Local Volatility Models Chapter 15: Consequences of Local Volatility Models Chapter 16: Local Volatility Models: Hedge Ratios and Exotic Option Values Chapter 17: Some Final Remarks on Local Volatility Models Chapter 18: Patterns of Volatility Change Chapter 19: Introducing Stochastic Volatility Models Chapter 20: Approximate Solutions to Some Stochastic Volatility Models Chapter 21: Stochastic Volatility Models: The Smile for Zero Correlation Chapter 22: Stochastic Volatility Models: The Smile with Mean Reversion and Correlation Chapter 23: Jump-Diffusion Models of the Smile: Introduction Chapter 24: The Full Jump-Diffusion Model Appendix A: Some Useful Derivatives of the Black-Scholes-Merton Model Appendix B: Backward It & ocirc; Integrals References Answers to End-of-Chapter Problems Index.

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