Pricing models of volatility products and exotic variance derivatives /

Pricing models of volatility products and exotic variance derivatives /

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Bibliographic Details
Author / Creator:	Kwok, Y. K. (Yue-Kuen), 1957- author.
Edition:	First edition.
Imprint:	[Place of publication not identified] : Chapman and Hall/CRC, 2022.
Description:	1 online resource ( xiv, 268 pages)
Language:	English
Series:	Chapman & Hall/CRC financial mathematics series
Subject:	Derivative securities -- Mathematical models. Investment analysis -- Mathematical models. Business mathematics. Business mathematics. Derivative securities -- Mathematical models. Investment analysis -- Mathematical models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12775890

Hidden Bibliographic Details
Other authors / contributors:	Zheng, Wendong (Financial analyst), author.
ISBN:	9781003263524 1003263526 9781000584271 1000584275 9781000584257 1000584259 9781032199023 9781032204321
Notes:	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 tofinancial 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. Heis currently avice presidentin 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 aPhD in mathematicsfrom theHong Kong University of Science and Technology. Vendor-supplied metadata.
Standard no.:	10.1201/9781003263524

Description
Summary:	<p>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.</p> <p> Features </p> 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
Physical Description:	1 online resource ( xiv, 268 pages)
ISBN:	9781003263524 1003263526 9781000584271 1000584275 9781000584257 1000584259 9781032199023 9781032204321