Pricing Models of Volatility Products and Exotic Variance Derivatives Paperback / softback
by Yue Kuen Kwok, Wendong Zheng
Part of the Chapman and Hall/CRC Financial Mathematics Series series
Paperback / softback
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Description
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 products Can be used as a university textbook in a topic course on pricing variance derivatives
Information
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Pre-OrderFree UK DeliveryThis title is available for pre-order
- Format:Paperback / softback
- Pages:268 pages, 6 Tables, black and white; 9 Line drawings, black and white; 9 Illustrations, black and w
- Publisher:Taylor & Francis Ltd
- Publication Date:27/05/2024
- Category:
- ISBN:9781032204321
Other Formats
- Hardback from £85.14
- PDF from £44.99
- EPUB from £44.99
£45.99
£40.12
Information
-
Pre-OrderFree UK DeliveryThis title is available for pre-order
- Format:Paperback / softback
- Pages:268 pages, 6 Tables, black and white; 9 Line drawings, black and white; 9 Illustrations, black and w
- Publisher:Taylor & Francis Ltd
- Publication Date:27/05/2024
- Category:
- ISBN:9781032204321