Pricing models of volatility products and exotic variance derivatives. (2022)

• Record Type: Book
• Further Information: Note: Yue Kuen Kwok, Wendong Zheng.
• Authors: Kwok, Y. K (Yue-Kuen), 1957-; (Financial analyst), Zheng, Wendong
• Contents: 1. Volatility Trading and Variance Derivatives. 1.1. Implied Volatility and Local Volatility. 1.2. Volatility Trading using Options. 1.3. Derivatives on Discrete Realized Variance. 1.4. Replication of Variance Swaps. 1.5. Practical Implementation of Replication: Finite Strikes and Discrete Monitoring. Appendix. 2. Lévy Processes and Stochastic Volatility Models. 2.1. Compound Poisson process. 2.2. Jump-diffusion Models. 2.3. Lévy Processes. 2.4. Time-changed Lévy Processes. 2.5. Stochastic Volatility Models with Jumps. 2.6. Affine Jump-diffusion Stochastic Volatility Models. 2.7. 3/2 Stochastic Volatility Model. Appendix. 3. VIX Derivatives Under Consistent Models and direct Models. 3.1. VIX, Variance Swap Rate and VIX Derivatives. 3.2. Pricing VIX Derivatives Under Consistent Models. 3.3. Direct Modeling of VIX. Appendix. 4. Swap products on discrete Variance and Volatility. 4.1. Direct Expectation of Square of Log Return. 4.2. Nested Expectation via Partial Integro-differential Equation. 4.3. Moment Generating Function Methods. 4.4. Variance Swaps Under Time-changed Lévy Processes. Appendix. 5. Options on discrete realized Variance. 5.1. Adjustment for Discretization Effect via Lognormal Approximation. 5.2. Normal Approximation to Conditional Distribution of Discrete Realized Variance. 5.3. Partially Exact and Bounded Approximation for Options on Discrete Realized Variance. 5.4. Small Time Asymptotic Approximation. 6 Timer options. 6.1. Model Formulation. 6.2. Pricing Perpetual Timer Options. 6.3. Finite Maturity Discrete Timer Options. Appendix. Bibliography. Index.
• Edition: 1st
• Publisher Details: Boca Raton : Chapman & Hall/CRC
• Publication Date: 2022
• Extent: 1 online resource, illustrations (black and white)
• Subjects: 332.632; Derivative securities -- Mathematical models; Investment analysis -- Mathematical models; Business mathematics
• Languages: English
• ISBNs: 9781000584271; 9781000584257; 9781003263524
• Related ISBNs: 9781032199023
• Notes: Note: Includes bibliographical references and index.; Note: Description based on CIP data; resource not viewed.
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