Advanced Equity Derivatives Volatility and Correlation

In Advanced Equity Derivatives: Volatility and Correlation, Sébastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives.  Designed for financial modelers, option traders and sophisticated investors, the content covers the most important theoretical and practical extensions of the Black-Scholes model.

Each chapter includes numerous illustrations and a short selection of problems, covering key topics such as implied volatility surface models, pricing with implied distributions, local volatility models, volatility derivatives, correlation measures, correlation trading, local correlation models and stochastic correlation.

The author has a dual professional and academic background, making Advanced Equity Derivatives: Volatility and Correlation the perfect reference for quantitative researchers and mathematically savvy finance professionals looking to acquire an in-depth understanding of equity exotic derivatives pricing and hedging.

SÉBASTIEN BOSSU is Principal at Ogee Group LLC, an investment management and software development business based in New York. His past experience includes positions as director of Equity Derivatives Structuring for a London bank and exotics structurer at J.P. Morgan. Bossu is currently an adjunct professor at Pace University and also recently taught at Fordham University.

Preface

Acknowledgments

Chapter 1: Exotic Derivatives

Chapter 2: The Implied Volatility Surface

Chapter 3: Implied Distributions

Chapter 4: Local Volatility and Beyond

Chapter 5: Volatility Derivatives

Chapter 6: Introducing Correlation

Chapter 7: Correlation Trading

Chapter 8: Local Correlation

Chapter 9: Stochastic Correlation

Appendix A: Probability Review

Appendix B: Linear Algebra Review

Solutions Manual

Author’s Note

About the Author

Index

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