In Advanced Equity Derivatives: Volatility and
Correlation, Sébastien Bossu reviews and explains the
advanced concepts used for pricing and hedging equity exotic
derivatives. Designed for financial modelers, option traders
and sophisticated investors, the content covers the most important
theoretical and practical extensions of the Black-Scholes
model.
Each chapter includes numerous illustrations and a short
selection of problems, covering key topics such as implied
volatility surface models, pricing with implied distributions,
local volatility models, volatility derivatives, correlation
measures, correlation trading, local correlation models and
stochastic correlation.
The author has a dual professional and academic background,
making Advanced Equity Derivatives: Volatility and
Correlation the perfect reference for quantitative researchers
and mathematically savvy finance professionals looking to acquire
an in-depth understanding of equity exotic derivatives pricing and
hedging.
