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Pricing Models of Volatility Products and Exotic Variance Derivatives
Engelsk
Bogcover for Pricing Models of Volatility Products and Exotic Variance Derivatives af Yue Kuen Kwok, Wendong Zheng, 9781032204321
Specifikationer
Sprog:
Engelsk
Sider:
268
ISBN-13:
9781032204321
Indbinding:
Paperback
ISBN-10:
103220432X
Udg. Dato:
27 maj 2024
Størrelse i cm:
23,4 x 15,7 x 2,1
Oplagsdato:
27 maj 2024
Forfatter(e):

Pricing Models of Volatility Products and Exotic Variance Derivatives

Engelsk
Paperback 2024
Format:

Bog beskrivelse

Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods.

Features

  • Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives

  • Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products
  • Can be used as a university textbook in a topic course on pricing variance derivatives
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Specifikationer
Sprog:
Engelsk
Sider:
268
ISBN-13:
9781032204321
Indbinding:
Paperback
ISBN-10:
103220432X
Udg. Dato:
27 maj 2024
Størrelse i cm:
23,4 x 15,7 x 2,1
Oplagsdato:
27 maj 2024
Forfatter(e):
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