Pricing Models of Volatility Products and Exotic Variance Derivatives e-bog
436,85 DKK
(inkl. moms 546,06 DKK)
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...
E-bog
436,85 DKK
Forlag
Chapman and Hall/CRC
Udgivet
8 maj 2022
Længde
268 sider
Genrer
Investment and securities
Sprog
English
Format
epub
Beskyttelse
LCP
ISBN
9781000584271
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 productsCan be used as a university textbook in a topic course on pricing variance derivatives