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05389nam a2200685 4500 |
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ocn907931369 |
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OCoLC |
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20170124065934.9 |
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150421s2015 nju ob 001 0 eng |
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|a 2015016140
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|a DLC
|b eng
|e rda
|c DLC
|d N$T
|d UIU
|d EBLCP
|d IDEBK
|d YDXCP
|d OCLCF
|d UMI
|d CDX
|d OCLCO
|d DEBSZ
|d OCLCO
|d OCLCQ
|d DEBBG
|d YDX
|d KSU
|d GrThAP
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|a 918556870
|a 920814722
|a 928712394
|a 959873576
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|a 9781118943984 (epub)
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|a 1118943988 (epub)
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|a 9781118943991 (pdf)
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|a 1118943996 (pdf)
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|z 9781118943977 (cloth)
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|a 9781118949092
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|a 1118949099
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|z 111894397X
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|a DEBSZ
|b 449499766
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|a DEBBG
|b BV043397733
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|a (OCoLC)907931369
|z (OCoLC)918556870
|z (OCoLC)920814722
|z (OCoLC)928712394
|z (OCoLC)959873576
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|a 819700
|b MIL
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|a pcc
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|a HG4636
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|a BUS
|x 027000
|2 bisacsh
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|a 332.63/2220151922
|2 23
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|a MAIN
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1 |
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|a Javaheri, Alireza.
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1 |
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|a Inside volatility arbitrage
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1 |
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|a Inside volatility filtering :
|b the secrets of skewness /
|c Alireza Javaheri.
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| 250 |
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|a Second edition.
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| 264 |
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1 |
|a Hoboken, New Jersey :
|b John Wiley & Sons, Inc.,
|c [2015]
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| 300 |
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|a 1 online resource.
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| 336 |
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|a text
|2 rdacontent
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| 337 |
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|a computer
|2 rdamedia
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| 338 |
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|a online resource
|2 rdacarrier
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| 490 |
1 |
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|a The Wiley finance series
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| 500 |
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|a Earlier edition published as: Inside volatility arbitrage : the secrets of skewness.
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| 504 |
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|a Includes bibliographical references and index.
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| 588 |
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|a Description based on print version record and CIP data provided by publisher.
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0 |
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|a Cover; Title Page; Copyright; Contents; Foreword; Acknowledgments (Second Edition); Acknowledgments (First Edition); Introduction (Second Edition); Introduction (First Edition); Summary; Contributions and Further Research; Data and Programs; Chapter 1 The Volatility Problem; Introduction; The Stock Market; The Stock Price Process; Historic Volatility; The Derivatives Market; The Black-Scholes Approach; The Cox Ross Rubinstein Approach; Jump Diffusion and Level-Dependent Volatility; Jump Diffusion; Level-Dependent Volatility; Local Volatility; The Dupire Approach; The Derman Kani Approach
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8 |
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|a Stability IssuesCalibration Frequency; Stochastic Volatility; Stochastic Volatility Processes; GARCH and Diffusion Limits; The Pricing PDE under Stochastic Volatility; The Market Price of Volatility Risk; The Two-Factor PDE; The Generalized Fourier Transform; The Transform Technique; Special Cases; The Mixing Solution; The Romano Touzi Approach; A One-Factor Monte-Carlo Technique; The Long-Term Asymptotic Case; The Deterministic Case; The Stochastic Case; A Series Expansion on Volatility-of-Volatility; Local Volatility Stochastic Volatility Models; Stochastic Implied Volatility
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| 505 |
8 |
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|a Joint SPX and VIX DynamicsPure-Jump Models; Variance Gamma; Variance Gamma with Stochastic Arrival; Variance Gamma with Gamma Arrival Rate; Chapter 2 The Inference Problem; Introduction; Using Option Prices; Conjugate Gradient (Fletcher-Reeves-Polak-Ribiere) Method; Levenberg-Marquardt (LM) Method; Direction Set (Powell) Method; Numeric Tests; The Distribution of the Errors; Using Stock Prices; The Likelihood Function; Filtering; The Simple and Extended Kalman Filters; The Unscented Kalman Filter; Kushner's Nonlinear Filter; Parameter Learning; Parameter Estimation via MLE; Diagnostics
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| 505 |
8 |
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|a Particle FilteringComparing Heston with Other Models; The Performance of the Inference Tools; The Bayesian Approach; Using the Characteristic Function; Introducing Jumps; Pure-Jump Models; Recapitulation; Model Identification; Convergence Issues and Solutions; Chapter 3 The Consistency Problem; Introduction; The Consistency Test; The Setting; The Cross-Sectional Results; Time-Series Results; Financial Interpretation; The ""Peso'' Theory; Background; Numeric Results; Trading Strategies; Skewness Trades; Kurtosis Trades; Directional Risks; An Exact Replication; The Mirror Trades
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|a An Example of the Skewness TradeMultiple Trades; High Volatility-of-Volatility and High Correlation; Non-Gaussian Case; VGSA; A Word of Caution; Foreign Exchange, Fixed Income, and Other Markets; Foreign Exchange; Fixed Income; Chapter 4 The Quality Problem; Introduction; An Exact Solution?; Nonlinear Filtering; Stochastic PDE; Wiener Chaos Expansion; First-Order WCE; Simulations; Second-Order WCE; Quality of Observations; Historic Spot Prices; Historic Option Prices; Conclusion; Bibliography; Index; EULA
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| 650 |
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|a Stocks
|x Prices
|x Mathematical models.
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| 650 |
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0 |
|a Stochastic processes.
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| 650 |
|
7 |
|a BUSINESS & ECONOMICS / Finance
|2 bisacsh
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| 650 |
|
7 |
|a Stochastic processes.
|2 fast
|0 (OCoLC)fst01133519
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| 650 |
|
7 |
|a Stocks
|x Prices
|x Mathematical models.
|2 fast
|0 (OCoLC)fst01133728
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| 655 |
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4 |
|a Electronic books.
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| 655 |
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0 |
|a Electronic books.
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| 776 |
0 |
8 |
|i Print version:
|a Javaheri, Alireza.
|t Inside volatility filtering
|b Second edition.
|d Hoboken, New Jersey : John Wiley & Sons, Inc., [2015]
|z 9781118943977
|w (DLC) 2015013868
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| 830 |
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0 |
|a Wiley finance series.
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| 856 |
4 |
0 |
|u https://doi.org/10.1002/9781118949092
|z Full Text via HEAL-Link
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| 994 |
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|a 92
|b DG1
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