INDICE: I. Option Pricing And Volatility Modeling. 1. A Moment Approach To Static Arbitrage (Alexandre d' Aspremont). 1.1 Introduction. 1.2 No Arbitrage Conditions. 1.3 Example. 1.4 Conclusion. 2. On Black-Scholes Implied Volatility At Extreme Strikes (Shalom Benaim, Peter Friz and Roger Lee). 2.1 Introduction. 2.2 The Moment Formula. 2.3 Regular Variation and the Tail-Wing Formula. 2.4 Related Results. 2.5 Applications. 2.6 CEV and SABR. 3. Dynamic Properties Of Smile Models (Lorenzo Bergomi). 3.1 Introduction. 3.2 Some standard smile models. 3.3 A new class of models for smile dynamics. 3.4 Pricing examples. 3.5Conclusion. 4. A Geometric Approach To The Asymptotics Of Implied Volatility (Pierre Henry-Labord'Ere). 4.1 Volatility Asymptotics in Stochastic VolatilityModels. 4.2 Heat Kernel Expansion. 4.3 Geometry of Complex Curves and Asymptotic Volatility. 4.4 _-SABR model and hyperbolic geometry. 4.5 SABR model with _ = 0, 1. 4.6 Conclusions and future work. 4.7 Appendix A: Notions in differential geometry. 4.8 Appendix B: Laplace integrals in many dimensions. 5. Pricing, Hedging And Calibration In Jump-Diffusion Models (Peter Tankov And Ekaterina Voltchkova). 5.1 Overview of jump-diffusion models. 5.2 Pricing European options via Fourier transform. 5.3 Integro-differential equations. 5.4 Hedging the jump risk. 5.5 Model calibration. II. Credit Risk. 6. Modelling Credit Risk (L.C.G. Rogers). 6.1 What is the problem? 6.2 Hazard rate models. 6.3 Structural models. 6.4 Some nice ideas. 6.5 Summary. 6.6 Epilogue. 7. An Overview Of Factor Modeling For CDO Pricing (Jean-Paul Laurent And Areski Cousin). 7.1 Pricing of portfolio credit derivatives. 7.2 Factor models for pricing of CDO tranches. 7.3 A review of factor approaches to the pricing of CDOs. 7.4 Conclusion. 8. Factor Distributions Implied by Quoted CDO Spreads (Erik Schl¨ogl and Lutz Schl¨ogl). 8.1 Introduction. 8.2 Modelling. 8.3 Examples. 8.4 Conclusion. 9.Pricing Cdos With A Smile: The Local Correlation Model (Julien Turc And Philippe Very). 9.1 The local correlation model. 9.2 Simplification under the largepool assumption. 9.3 Building the local correlation function without the large pool Assumption. 9.4 Pricing and hedging with local correlation. 10. Portfolio Credit Risk: Top Down Vs Bottom Up Approaches (Kay Giesecke). 10.1 Introduction. 10.2 Portfolio credit models. 10.3 Information and specification. 10.4 Default distribution. 10.5 Calibration. 10.6 Conclusion. 11. Forward Equations For Portfolio Credit Derivatives (Rama Cont And Ioana Savescu). 11.1 Portfoliocredit derivatives. 11.2 Top-down models for CDO pricing. 11.3 Effective default intensity. 11.4 A forward equation for CDO pricing. 11.5 Recovering forward default intensities from tranche spreads. 11.6 Conclusion.
- ISBN: 978-0-470-29292-1
- Editorial: John Wiley & Sons
- Encuadernacion: Cartoné
- Páginas: 320
- Fecha Publicación: 21/11/2008
- Nº Volúmenes: 1
- Idioma: Inglés