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Smile Pricing Explained

  • Peter Austing

Part of the Financial Engineering Explained book series (FEX)

Table of contents

  1. Front Matter
    Pages i-xiv
  2. Peter Austing
    Pages 1-9
  3. Peter Austing
    Pages 10-20
  4. Peter Austing
    Pages 21-39
  5. Peter Austing
    Pages 40-46
  6. Peter Austing
    Pages 47-57
  7. Peter Austing
    Pages 58-70
  8. Peter Austing
    Pages 71-95
  9. Peter Austing
    Pages 96-120
  10. Peter Austing
    Pages 121-148
  11. Peter Austing
    Pages 149-171
  12. Peter Austing
    Pages 172-197
  13. Peter Austing
    Pages 198-199
  14. Back Matter
    Pages 200-221

About this book

Introduction

Smile Pricing Explained provides a clear and thorough explanation of the concepts of smile modelling that are at the forefront of modern derivatives pricing. The key models used in practice are covered, together with numerical techniques and calibration.

Keywords

Volatility smile Implied volatility local volatility model Stochastic volatility model Derivatives pricing Black-Scholes Stochastic calculus Brownian motion Martingale Girsanov theorem Dynamic hedging Exotic options Heston model SABR model Regime switching Monte Carlo PDE approach Local stochastic volatility model Arbitrage Variance swap derivatives modeling Options Volatility

Authors and affiliations

  • Peter Austing
    • 1
  1. 1.Imperial CollegeLondonUK

Bibliographic information