Titlebook: Equity Derivatives and Hybrids; Markets, Models and Oliver Brockhaus Book 2016 The Editor(s) (if applicable) and The Author(s) 2016 equiti

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https://doi.org/10.1057/9781137033642ected dividends in the same direction. Thus, a delta hedge also hedges part of vega if stock and volatility are correlated. If delta and vega are hedged separately one has to be careful not to double count vega exposure. This section discusses pricing approaches assuming a spot move but no new volatility information.

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Implied Volatility Dynamics,ected dividends in the same direction. Thus, a delta hedge also hedges part of vega if stock and volatility are correlated. If delta and vega are hedged separately one has to be careful not to double count vega exposure. This section discusses pricing approaches assuming a spot move but no new volatility information.

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Monte Carlo, 3.1, 3.3 and 3.8. Finite difference, including tree methods, are important for products with early exercise features, such as American options and convertible bonds. For path-dependent and multi-asset products these methods are of limited use due to the high dimensionality of the state space.

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Book 2016ough the myriad of literature to find relevant material. Written by a quant with many years of experience in the field this book provides an up-to-date account of equity and equity-hybrid (equity-rates, equity-credit, equity-foreign exchange) derivatives modeling from a practitioner‘s perspective. T

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乞討

Philip Osborne,Kajal Singh,Matthew E. Taylornsistent models to the stochastic interest rate case. Interest rates dynamics is often limited to single-factor short rate models, such as Hull-White’s extension of the Vasicek model or the Cox-Ingersoll-Ross square root process, discussed in Sections 10.4 and 10.5.

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Correlation,. Index exposure will be hedged with indices rather than component stocks. If only Vanilla options are traded this is a valid approach and there is no correlation exposure. Forward discrepancies between index and sum of stocks will typically be small and can be attributed to market inefficiencies.

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Equity-interest Rate Hybrids,nsistent models to the stochastic interest rate case. Interest rates dynamics is often limited to single-factor short rate models, such as Hull-White’s extension of the Vasicek model or the Cox-Ingersoll-Ross square root process, discussed in Sections 10.4 and 10.5.

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