Inside volatility filtering : the secrets of skewness /

• Κύριος συγγραφέας: Javaheri, Alireza
• Μορφή: Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Hoboken, New Jersey : John Wiley & Sons, Inc., [2015]
• Έκδοση: Second edition.
• Σειρά: Wiley finance series.
• Θέματα: Stocks > Prices > Mathematical models.; Stochastic processes.; BUSINESS & ECONOMICS / Finance; Electronic books.

Πίνακας περιεχομένων:

• 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
• 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
• 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
• 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
• 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