Model calibration strategies and techniques for derivative products
The 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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