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Volatility and Correlation : The Perfect Hedger and the Fox

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Volatility and Correlation : The Perfect Hedger and the Fox by Rebonato, Riccardo, 9780470091395
Note: Supplemental materials are not guaranteed with Rental or Used book purchases.
  • ISBN: 9780470091395 | 0470091398
  • Cover: Hardcover
  • Copyright: 9/3/2004
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    Print on Demand: 2-4 Weeks. This item cannot be cancelled or returned.

The new edition of Volatility and Correlation has been thoroughly updated and expanded with over 80% new or reworked material, reflecting the changes and developments that have taken place in the field. The new and updated material includes: empirical and theoretical analysis of the smile dynamics; examination of the perfect-replication model in relation to exotic options; treatment of additional important models, namely, Variance Gamma, displaced diffusion, CEV, stochastic volatility for interest-rate smiles and equity/FX options; questioning of the informational efficiency of markets in commonly-used calibration and hedging practices.

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