Screen LibraryPricing models of volatility products and exotic variance derivatives /
"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. It begins with the presentation of Volatility trading and uses of Variance Derivatives, and then moves on...
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| Main Authors: | |
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| Group Author: | |
| Published: |
CRC Press, Taylor & Francis Group,
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| Publisher Address: | Boca Raton, FL : |
| Publication Dates: | 2022. |
| Literature type: | Book |
| Language: | English |
| Edition: | First edition. |
| Series: |
Chapman & Hall/CRC financial mathematics series
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| Subjects: | |
| Summary: |
"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. It begins with the presentation of Volatility trading and uses of Variance Derivatives, and then moves on to discuss the robust replication stRategy of continuously monitored 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. Features Useful for practitioners and quants in the financial industry who need to make choices between pricing Models of Variance Derivatives. Fabulous resource for researchers interested in pricing and hedging issues of Variance Derivatives and VIX products. Could be used as a textbook in a topic course on pricing Variance Derivatives at universities"-- |
| Carrier Form: | xiii, 268 pages : illustrations ; 25 cm. |
| Bibliography: | Includes bibliographical references (pages 249-264) and index. |
| ISBN: |
9781032199023 1032199024 9781032204321 103220432X |
| Index Number: | HG6024 |
| CLC: | F830.59 |
| Call Number: | F830.59/K988 |
| Contents: | Volatility trading and variance derivatives -- Lévy processes and stochastic volatility models -- VIX derivatives under consistent models and direct models -- Swap products on discrete variance and volatility -- Options on discrete realized variance -- Timer options. |