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About this item. Specifications Number of Pages: Description Praise for A Practitioner's Guide to Asset Allocation "Asset allocation is the most important yet challenging decision faced by every investor.
- The Volatility Surface.
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A Heston Fit to the Data. Chapter 4: The Heston-Nandi Model. Local Variance in the Heston-Nandi Model. A Numerical Example. The Heston-Nandi Density. Computation of Local Volatilities. Computation of Implied Volatilities.
PDF⋙ The Volatility Surface: A Practitioner's Guide (Wiley Finance) by Jim Gatheral - AsphodelMrs
Discussion of Results. Chapter 5: Adding Jumps. Why Jumps are Needed. Jump Diffusion.
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Derivation of the Valuation Equation. Uncertain Jump Size. Characteristic Function Methods. L'evy Processes. Examples of Characteristic Functions for Specific Processes. Computing Option Prices from the Characteristic Function.
Proof of 5. Computing Implied Volatility. Computing the At-the-Money Volatility Skew. How Jumps Impact the Volatility Skew. Stochastic Volatility Plus Jumps. Chapter 6: Modeling Default Risk. Merton's Model of Default. Implications for the Volatility Skew.
Capital Structure Arbitrage. Put-Call Parity. The Arbitrage. The CreditGrades Model. Model Setup.
Survival Probability. Equity Volatility. Chapter 7: Volatility Surface Asymptotics. Short Expirations.