Volatility and Correlation: The Perfect Hedger and the Fox, 2.0  Riccardo Rebonato

Wiley List Price  ]US $155.00

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Why a Second Edition.What This Book Is Not About.
The New Sub-Title. I Foundations.
1 Theory and Practice of Option Modelling.
2 Option Replication.
3 The Building Blocks.
4 Variance and Mean Reversion in the Real and the Risk-Adjusted Worlds.
5 Instantaneous and Terminal Correlation.
II Smiles - Equity and FX.
6 Pricing Options in the Presence of Smiles.
7 Empirical Facts about Smiles.
8 General Features of Smile-Modelling Approaches.
9 The Input Data: Fitting an Exogenous Smile Surface.
10 Quadratic Variation and Smiles.
11 Local-Volatility Models: the Derman-and-Kani Approach.
12 Extracting the Local Volatility from Option Prices.
13 Stochastic-Volatility Processes.
14 Jump-Diffusion Processes.
15 Variance-Gamma.
16 Displaced Diffusions and Generalizations.
17 No-Arbitrage Restrictions on the Dynamics of Smile Surfaces.
III Interest Rates - Deterministic Volatilities.
18 Mean Reversion in Interest-Rate Models.
19 Volatility and Correlation in the LIBOR Market Model.
20 Calibration Strategies for the LIBOR Market Model.
21 Specifying the Instantaneous Volatility of Forward Rates.
22 Specifying the Instantaneous Correlation Among Forward Rates.
IV Interest Rates - Smiles.
23 How To Model Interest-Rate Smiles.
24 Constant-Elasticity-of-Variance (CEV) Processes in the Context of the LMM.
25 Stochastic-Volatility Extensions of the LIBOR Market Model.
26 The Dynamics of the Swaption Matrix.
27 Stochastic-Volatility Extension of the LMM: Two-Regime Instantaneous Volatility.
Bibliography.
Index.

Riccardo Rebonato is Head of Group Market Risk for the Royal Bank of Scotland Group, and Head of The Royal Bank of Scotland Group Quantitative Research Centre. He is also a Visiting Lecturer at Oxford University for the Mathematical Finance Diploma and MSc. He holds Doctorates in Nuclear Engineering and Science of Materials/Solid State Physics. He sits on the Board of Directors of ISDA and on the Board of Trustees of GARP.
Prior to joining the Royal Bank of Scotland, he was Head of Complex Derivatives Trading Europe and Head of Derivatives Research at Barclays Capital (BZW), where he worked for nine years.
Before that he was a Research Fellow in Physics at Corpus Christi College, Oxford, UK. He is the author of three books, Modern Pricing of Interest-Rate Derivatives, Volatility and Correlation in Option Pricing and Interest-Rate Option Models. He has published several papers on finance in academic journals, and is on the editorial board of several journals. He is a regular speaker at conferences worldwide.



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