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.
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.
Imprint | Standards Information Network |
Country of origin | United States |
Series | The Wiley Finance Series |
Release date | 29 April 2025 |
Availability | To be released on 29 April 2025. We are not yet accepting orders for this product. If you add this item to your wish list we will let you know when it becomes available. |
First published | 2013 |
Authors | Frederic Abergel |
Format | Electronic book text |
Pages | 224 |
ISBN-13 | 978-1-119-95299-2 |
Barcode | 9781119952992 |
Categories | |
LSN | 1-119-95299-9 |