+Chapter 1-Exotic Derivatives            420.0 KB
| A CONTINUITY CORRECTION FOR DISCRETE BARRIER OPTIONS(1).pdf             210.0 KB
| A CONTINUITY CORRECTION FOR DISCRETE BARRIER OPTIONS.pdf             210.0 KB
+Chapter 2-The Implied Volatility Surface            46.6 MB
| Arbitrage Bounds on the Implied Volatility Strike and Term Structures of European-Style Options(1).pdf             477.0 KB
| Arbitrage Bounds on the Implied Volatility Strike and Term Structures of European-Style Options.pdf             477.0 KB
| Carr, Peter, and Liuren Wu---A New Simple Approach for Constructing Implied Volatility Surfaces(1).pdf             314.0 KB
| Carr, Peter, and Liuren Wu---A New Simple Approach for Constructing Implied Volatility Surfaces.pdf             314.0 KB
| Derman, Emanuel---Introduction to the Volatility Smile(1).pdf             459.0 KB
| Derman, Emanuel---Introduction to the Volatility Smile.pdf             459.0 KB
| Gatheral, Jim---A parsimonious arbitrage-free implied volatility parameterization with application to the valuation of volatility derivatives(1).pdf             1.2 MB
| Gatheral, Jim---A parsimonious arbitrage-free implied volatility parameterization with application to the valuation of volatility derivatives.pdf             1.2 MB
| Gatheral, Jim---Convergence of Heston to SVI(1).pdf             120.0 KB
| Gatheral, Jim---Convergence of Heston to SVI.pdf             120.0 KB
| Gatheral, Jim---The Volatility Surface, A Practitioner's Guide(1).pdf             101.0 KB
| Gatheral, Jim---The Volatility Surface, A Practitioner's Guide.pdf             101.0 KB
| Gurrieri, Sébastien---A Class of Term Structures for SVI Implied Volatility(1).pdf             175.0 KB
| Gurrieri, Sébastien---A Class of Term Structures for SVI Implied Volatility.pdf             175.0 KB
| Hagan, Patrick S., Deep Kumar, Andrew L. Lesniewski, and Diana E. Woodward.---Managing smile risk(1).pdf             403.0 KB
| Hagan, Patrick S., Deep Kumar, Andrew L. Lesniewski, and Diana E. Woodward.---Managing smile risk.pdf             403.0 KB
| Heston, Stephen L---A closed-form solution for options with stochastic volatility with applications to bond and currency options(1).pdf             415.0 KB
| Heston, Stephen L---A closed-form solution for options with stochastic volatility with applications to bond and currency options.pdf             415.0 KB
| Homescu, Cristian.---Implied Volatility Surface Construction Methodologies(1).pdf             454.0 KB
| Homescu, Cristian.---Implied Volatility Surface Construction Methodologies.pdf             454.0 KB
| Karlin, Samuel, and Howard M. Taylor.---Diffusion Processes-A Second Course in Stochastic Processes - Karlin & Taylor(1981).pdf             35.2 MB
| Lee, Roger.---The Moment Formula for Implied Volatility at Extreme Strikes(1).pdf             103.0 KB
| Lee, Roger.---The Moment Formula for Implied Volatility at Extreme Strikes.pdf             103.0 KB
| Roper, Michael.---Arbitrage Free Implied Volatility Surfaces(1).pdf             204.0 KB
| Roper, Michael.---Arbitrage Free Implied Volatility Surfaces.pdf             204.0 KB
| Zeliade Systems.---Quasi-Explicit Calibration of Gatheral's SVI model.pdf             2.6 MB
+Chapter 3-Implied Distributions            1.4 MB
| Breeden, Douglas T., and Robert H. Litzenberger.---Prices of State-Contingent Claims Implicit in Option Prices(1).pdf             530.0 KB
| Breeden, Douglas T., and Robert H. Litzenberger.---Prices of State-Contingent Claims Implicit in Option Prices.pdf             530.0 KB
| Demeterfi, Kresimir, Emanuel Derman, Michael Kamal, and Joseph Zhou.---More than You Ever Wanted to Know about Volatility Swaps.pdf             373.0 KB
+Chapter 4-Local Volatility and Beyond            19.8 MB
| Andersen, Leif B. G.---Efficient Simulation of the Heston Stochastic Volatility Model(1).pdf             307.0 KB
| Andersen, Leif B. G.---Efficient Simulation of the Heston Stochastic Volatility Model.pdf             307.0 KB
| Bossu, Sébastien, and Philippe Henrotte.---An Introduction to Equity Derivatives-Theory and Practice.pdf             3.5 MB
| Bossu, Sébastien.---Arbitrage pricing of equity correlation swaps.pdf             480.0 KB
| Derman, Emanuel, and Iraj Kani.---Stochastic Implied Trees-Arbitrage Pricing With Stochastic Term and Strike Structure of Volatility.pdf             11.9 MB
| Derman, Emanuel, and Iraj Kani.---The Volatility Smileand Its Implied Tree.pdf             355.0 KB
| Dupire, Bruno.---Pricing with a Smile.pdf             95.0 KB
| Gatheral, Jim.---The Volatility Surface.pdf             2.8 MB
+Chapter 5-Advanced Equity Dericatives            2.5 MB
| Bossu, Sébastien, Eva Strasser, and Régis Guichard.---Just What You Need to Know about Variance Swaps.pdf             1.3 MB
| Carr, Peter, and Dilip Madan.---Towards a Theory of Volatility Trading.pdf             267.0 KB
| Carr, Peter, and Roger Lee.---Volatility Derivatives.pdf             566.0 KB
| Demeterfi, Kresimir, Emanuel Derman, Michael Kamal, and Joseph Zhou.---More than You Ever Wanted to Know about Volatility Swaps.pdf             373.0 KB
+Chapter 6-Introducing Correlation            19.3 MB
| Blumenthal, Leonard M---On the four-point property.pdf             285.0 KB
| Dattorro, Jon.---Convex Optimization and Euclidean Distance Geometry.pdf             17.8 MB
| De Finetti, Bruno.---A proposito di correlazione.pdf             182.0 KB
| Higham, Nicholas J.---Computing the Nearest Correlation Matrix-A Problem From Finance.pdf             273.0 KB
| Laurence, Peter, Tai-Ho Hwang, and Luca Barone.---Geometric Properties of Multivariate Correlation in de Finetti’s Approach to Insurance Theory.pdf             470.0 KB
| Potters, Marc, Jean-Philippe Bouchaud, and Laurent Laloux.---Financial Applications of Random Matrix Theory Old Laces and New Pieces.pdf             292.0 KB
+Chapter 8-Local Correlation            1.5 MB
| Langnau, Alex.---A dynamic model for correlation.pdf             1.5 MB
+Chapter 9-Stochastic Correlation            3.6 MB
| Ahdida, Abdelkoddousse, and Aurélien Alfonsi.---A Mean-Reverting SDE on Correlation matrices.pdf             591.0 KB
| Engle, Robert.---Anticipating Correlations - A New Paradigm for Risk Management.pdf             1.8 MB
| van Emmerich, Cathrin.---Modelling Correlation as a Stochastic Process.pdf             515.0 KB
| Wishart, John.---THE GENERALISED PRODUCT MOMENT DISTRIBUTION IN SAMPLES FROM A NORMAL MULTIVARIATE POPULATION.pdf             676.0 KB
说明.txt            414 Byte



缺项：
1、
Chapter 5：
“The CBOE Volatility Index—VIX.” 2009. CBOE White Paper.
2、
Chapter 6：
Tierens, Ingrid, and Margaret Anadu. 2004. “Does It Matter Which Methodology
You Use to Measure Average Correlation across Stocks?” Goldman Sachs Equity
Derivatives Strategy report, April 2004.
3、
Chapter 8：
Reghai, Adil. 2010. “Breaking Correlation Breaks.” Risk Magazine (October):
90–95.