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Model Calibration for Financial Derivatives

From Hedging to Pricing

Produktform: Buch / Einband - fest (Hardcover)

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.weiterlesen

Dieser Artikel gehört zu den folgenden Serien

Sprache(n): Englisch

ISBN: 978-1-119-95224-4 / 978-1119952244 / 9781119952244

Verlag: John Wiley & Sons

Erscheinungsdatum: 30.11.2029

Seiten: 384

Autor(en): Frédéric Abergel

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