Pricing Models of Volatility Products and Exotic Variance Derivatives (Chapman and Hall/CRC Financial Mathematics Series)
Language: English
Published by Chapman and Hall/CRC, 2024
Series: Book 54 of 71 - Chapman and Hall/CRC Financial Mathematics
- Softcover
- New
Seller: Ria Christie Collections, Uxbridge, United KingdomRia Christie Collections
AbeBooks seller since March 25, 2015
Condition: New
US$ 95.25
Quantity: Over 20 available
Add to basketItem description from seller
In English.
Seller Inventory # ria9781032204321_new
- Title
- Pricing Models of Volatility Products and Exotic Variance Derivatives (Chapman and Hall/CRC Financial Mathematics Series)
- Author
- Kwok, Yue Kuen; Zheng, Wendong
- Publisher
- Chapman and Hall/CRC
- Publication year
- 2024
- Condition
- New
- Binding
- Soft cover
- Language
- English
- ISBN 10
- 103220432X
- ISBN 13
- 9781032204321
- Item weight
- 556 grams
- Series
- Book 54 of 71: Chapman and Hall/CRC Financial Mathematics
Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods.
Features
- Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives
- Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products
- Can be used as a university textbook in a topic course on pricing variance derivatives
"Synopsis" may belong to another edition of this title.
About the Author
Yue Kuen Kwok is a professor in the Department of Mathematics and Financial Technology Thrust, the Hong Kong University of Science and Technology. Professor Kwok’s research interests concentrate on pricing and risk management of financial derivatives and structured insurance products. He has published more than 80 research articles in major research journals in quantitative finance and actuarial sciences. In addition, he is the author of two books on quantitative finance: Mathematical Models of Financial Derivatives and Saddlepoint Approximation Methods in Financial Engineering. He has provided consulting services to financial institutions on various aspects of trading structured products and credit risk management. Professor Kwok has served on the editorial boards of Journal of Economic and Dynamics Control, Asian-Pacific Financial Markets and International Journal of Financial Engineering. He earned his PhD in applied mathematics from Brown University in 1985.
Wendong Zheng joined Credit Suisse in Hong Kong in 2018. He is currently a vice president in the Quantitative Strategies Group, covering equity and hybrid derivatives modeling and trading. Before joining Credit Suisse, he held positions at Bank of China International and Barclays Investment Bank. He has performed both academic and industrial works on pricing and trading volatility derivatives. Also, he has co-authored the book Saddlepoint Approximation Methods in Financial Engineering. Dr. Zheng holds a PhD in mathematics from the Hong Kong University of Science and Technology.
"About the title" may belong to another edition of this title.
Ria Christie Collections
Uxbridge, United Kingdom
AbeBooks seller since March 25, 2015
Shipping rates from United Kingdom to U.S.A.
| Item | 6 to 12 business days | 6 to 12 business days |
|---|---|---|
| First item | US$ 14.94 | US$ 17.18 |
Payment methods
Store description
Hello! Ria Christie Collections is an online venture that was initially set up in 2012 to sell books. We do not have a physical high street store. We are professional online booksellers. We only sell brand new books in perfect condition that we source from various suppliers and the publishers. Primarily, our aim is to provide an excellent service to all our customers. We always work as a team to achieve this. Our other objectives are to: 1. Ensure that all our products reach their destination quickly in a safe and secure manner 2. Answer to all our customer queries within 24 hours 3. Ensure that our customers are happy with their purchases 4. Provide all the items at a competitive price 5. Always listen to our customers Ria Christie Collections is not a registered company. It is a Sole Trader venture. Other key information is shown below: Contact Person Name: Rakesh Luchmun (Mr) Storefront Name: Ria Christie Collections Place of Establishment Address: Suite B; ARUN House; ARUN Building Arundel Road Uxbridge UB8 2RR United Kingdom E-Mail Address: riachristie@hotmail.co.uk VAT Number: GB 160 5650 25 We always work hard and aim to comply with all of Abebooks Policies. If you have any issues, please do not hesitate to write to us whether before or after a purchase. We promise to reply to you promptly and, in any case, within 24 hours. Thank you kindly! Yours sincerely Mr Rakesh Luchmun (Founder) and the Ria Christie Collections Team…
Specialty
Educational books, Textbooks, Fiction, Non- fictionSeller's business information
Ryefield Investments Limited
175 Pield Heath Road
Uxbridge, United Kingdom UB8 3NL
Terms of sale
All Returns and Refund are as per Abebooks policies.
Shipping terms
Orders usually ship within 2 business days. If your book order is heavy or oversized, we may contact you to let you know extra shipping is required. Thank you!