Frontiers in quantitative finance : volatility and credit risk modeling
Frontiers in quantitative finance : volatility and credit risk modeling
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定量金融前沿：波动性和信用风险建模
DOI：
10.1002/9781118266915
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发表时间：
2008
影响因子：
1.7
通讯作者：
R. Cont
中科院分区：
文献类型：
--
作者：
R. Cont
前言。关于《编辑》。关于贡献者的信息。第一部分：期权定价与波动率建模。第一章：静态套利的矩方法(亚历山大·德·阿斯普雷蒙特)。1.1引言。1.2无套利条件。1.3示例。1.4结论。第二章：关于极端打击下的布莱克-斯科尔斯隐含波动率(沙洛姆·贝纳姆、彼得·弗里兹和罗杰·李)。2.1引言。2.2瞬间公式。2.3正则变分和尾翼公式。2.4相关结果。2.5应用程序。2.6 CEV和SABR。第三章：微笑模型的动态性质(Lorenzo Bergomi)。3.1引言。3.2一些标准微笑模型。3.3微笑动力学的一类新模型。3.4定价示例。3.5结论。第四章：隐含波动率渐近性的几何方法(Pierre Henry-Labd‘ere)。4.1随机波动率模型中的波动率渐近性。4.2热核扩展。4.3复曲线的几何与渐近波动率。4.4 Lambda-SABR模型和双曲几何。4.5Beta=0的SABR模型，1.4.6结论和未来工作。4.7附录A：微分几何中的概念。4.8附录B：多维拉普拉斯积分。第5章：跳跃扩散模型中的定价、对冲和校准(Peter Tankov和Ekaterina Voltchkova)。5.1跳跃扩散模型概述。5.2通过傅里叶变换为欧式期权定价。5.3障碍和美式期权的积分-微分方程式。5.4对冲跳跃风险。5.5模型校准。第二部分：信用风险。第6章：信用风险建模(L.C.G.罗杰斯)。6.1有什么问题？6.2危险率模型。6.3结构模型。6.4一些好主意。6.5结论。第7章：CDO定价的因素建模概述(Jean-Paul Laurent和Areski Cousin)。7.1组合信用衍生工具的定价。7.2 CDO部分定价的因素模型。7.3 CDO定价的要素方法述评。7.4结论。第8章：引用CDO价差所隐含的因素分布(Erik Schlogl和Lutz Schlogl)。8.1引言。8.2建模。8.3例。8.4结论。8.5附录：关于线性坐标变换下的Hermite多项式的一些有用的结果。第9章：微笑为CDO定价：地方相关性模型(Julien Turc和Philippe Very)。9.1局部相关模型。9.2大池假设下的简化。9.3在没有大池假设的情况下建立局部相关函数。9.4本地相关性定价和套期保值。第10章：投资组合信用风险：自上而下与自下而上的方法(Kay Giesecke)。10.1导言。10.2投资组合信用模型。10.3信息和规范。10.4默认分布。10.5校准。10.6结论。第11章：投资组合信用衍生工具的远期方程(Rama Cont和Ioana Savescu)。11.1投资组合信用衍生工具。11.2 CDO定价的自上而下模型。11.3有效默认强度。11.4 CDO定价的远期方程。11.5从部分价差中恢复正向违约强度。11.6结论。索引。
Preface. About the Editor. About the Contributors. PART ONE: Option Pricing and Volatility Modeling. CHAPTER 1: A Moment Approach to Static Arbitrage ( Alexandre d'Aspremont ). 1.1 Introduction. 1.2 No-Arbitrage Conditions. 1.3 Example. 1.4 Conclusion. CHAPTER 2: On Black-Scholes Implied Volatility at Extreme Strikes ( Shalom Benaim, Peter Friz, and Roger Lee ). 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 ( Lorenzo Bergomi ). 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 ( Pierre Henry-Labord'ere ). 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 ( Peter Tankov and Ekaterina Voltchkova ). 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 TWO: Credit Risk. CHAPTER 6: Modeling Credit Risk ( L. C. G. Rogers ). 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 ( Jean-Paul Laurent and Areski Cousin ). 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 ( Erik Schlogl and Lutz Schlogl ). 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 ( Julien Turc and Philippe Very ). 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 ( Kay Giesecke ). 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 ( Rama Cont and Ioana Savescu ). 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.