This title presents model calibration strategies and techniques for derivative products. The calibration of derivatives has evolved significantly, covering new ground like implied volatility surface static and dynamics, first and higher-generation exotics calibration, local and stochastic volatility models, interest rates or multi-asset correlation modeling, default time modeling, credit derivatives, and more. This book introduces the fundamentals of model calibration by taking an intuitive approach to the Black, Scholes, and Merton and revisiting it in an incomplete markets setting, applying to a range of hedging strategies.
- ISBN10 1119952247
- ISBN13 9781119952244
- Publish Date 23 May 2014
- Publish Status Cancelled
- Out of Print 22 September 2016
- Publish Country US
- Imprint John Wiley & Sons Inc
- Format Hardcover
- Pages 384
- Language English