Frontiers in quantitative finance : volatility and credit risk modeling /

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Bibliographic Details
Imprint:	Hoboken, N.J. : John Wiley & Sons, c2009.
Description:	xvii, 299 p. : ill. ; 24 cm.
Language:	English
Series:	Wiley finance series
Subject:	Finance -- Mathematical models. Derivative securities -- Mathematical models. Derivative securities -- Mathematical models. Finance -- Mathematical models.
Format:	Print Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/7472923

Hidden Bibliographic Details
Other authors / contributors:	Cont, Rama.
ISBN:	9780470292921 (cloth) 047029292X (cloth)
Notes:	Includes bibliographical references and index.

Table of Contents:

Preface
About the Editor
About the Contributors
Part 1. Option Pricing and Volatility Modeling
Chapter 1. A Moment Approach to Static Arbitrage
1.1. Introduction
1.2. No-Arbitrage Conditions
1.3. Example
1.4. Conclusion
Chapter 2. On Black-Scholes Implied Volatility at Extreme Strikes
2.1. Introduction
2.2. The Moment Formula
2.3. Regular Variation and the Tail-Wing Formula
2.4. Related Results
2.5. Applications
2.6. CEV and SABR
Chapter 3. Dynamic Properties of Smile Models
3.1. Introduction
3.2. Some Standard Smile Models
3.3. A New Class of Models for Smile Dynamics
3.4. Pricing Examples
3.5. Conclusion
Chapter 4. A Geometric Approach to the Asymptotics of Implied Volatility
4.1. Volatility Asymptotics in Stochastic Volatility Models
4.2. Heat Kernel Expansion
4.3. Geometry of Complex Curves and Asymptotic Volatility
4.4. [lambda]-SABR Model and Hyperbolic Geometry
4.5. SABR Model with [beta] = 0, 1
4.6. Conclusions and Future Work
4.7. Appendix A: Notions in Differential Geometry
4.8. Appendix B: Laplace Integrals in Many Dimensions
Chapter 5. Pricing, Hedging, and Calibration in Jump-Diffusion Models
5.1. Overview of Jump-Diffusion Models
5.2. Pricing European Options via Fourier Transform
5.3. Integro-differential Equations for Barrier and American Options
5.4. Hedging Jump Risk
5.5. Model Calibration
Part 2. Credit Risk
Chapter 6. Modeling Credit Risk
6.1. What Is the Problem?
6.2. Hazard Rate Models
6.3. Structural Models
6.4. Some Nice Ideas
6.5. Conclusion
Chapter 7. An Overview of Factor Modeling for CDO Pricing
7.1. Pricing of Portfolio Credit Derivatives
7.2. Factor Models for the Pricing of CDO Tranches
7.3. A Review of Factor Approaches to the Pricing of CDOs
7.4. Conclusion
Chapter 8. Factor Distributions Implied by Quoted CDO Spreads
8.1. Introduction
8.2. Modeling
8.3. Examples
8.4. Conclusion
8.5. Appendix: Some Useful Results on Hermite Polynomials under Linear Coordinate Transforms
Chapter 9. Pricing CDOs with a Smile: The Local Correlation Model
9.1. The Local Correlation Model
9.2. Simplification under the Large Pool Assumption
9.3. Building the Local Correlation Function without the Large Pool Assumption
9.4. Pricing and Hedging with Local Correlation
Chapter 10. Portfolio Credit Risk: Top-Down versus Bottom-Up Approaches
10.1. Introduction
10.2. Portfolio Credit Models
10.3. Information and Specification
10.4. Default Distribution
10.5. Calibration
10.6. Conclusion
Chapter 11. Forward Equations for Portfolio Credit Derivatives
11.1. Portfolio Credit Derivatives
11.2. Top-Down Models for CDO Pricing
11.3. Effective Default Intensity
11.4. A Forward Equation for CDO Pricing
11.5. Recovering Forward Default Intensities from Tranche Spreads
11.6. Conclusion
Index

Frontiers in quantitative finance : volatility and credit risk modeling /

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