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"Volatility and Correlation in the Pricing of Equity, FX and Interest-Rate Options is split into three sections." "In the first, an introduction is presented to the complex concepts of correlation and volatility encountered in equity/FX and interest-rate option pricing, aimed at providing practitioners with a better informed choice when deciding which models to utilise." "The author then moves on to the problem of smiles, with considerable emphasis placed on option pricing when markets are incomplete.".
"The analysis of the third part deals with the role of volatility and correlation in the context of interest-rate models."--BOOK JACKET.
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Previews available in: English
Showing 2 featured editions. View all 2 editions?
Edition | Availability |
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1
Volatility and Correlation: The Perfect Hedger and the Fox (Wiley Finance)
September 20, 2004, Wiley, J. Wiley
in English
0470091398 9780470091395
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2
Volatility and Correlation: In the Pricing of Equity, FX and Interest-Rate Options (Wiley Series in Financial Engineering)
December 27, 1999, John Wiley & Sons
in English
0471899984 9780471899983
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Book Details
First Sentence
"The purpose of this chapter is threefold: first, I intend to explain the fundamental difference between the treatment of volatilities and correlations in the case of equities and FX on the one hand, and of interest rates on the other."
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- Created April 29, 2008
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July 20, 2024 | Edited by MARC Bot | import existing book |
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