Pricing Models of Volatility Products and Exotic Variance Derivatives - Couverture souple

Livre 54 sur 68: Chapman and Hall/CRC Financial Mathematics

Kwok, Yue Kuen; Zheng, Wendong

 
9781032204321: Pricing Models of Volatility Products and Exotic Variance Derivatives
Couverture souple
ISBN 10 : 103220432X ISBN 13 : 9781032204321
Editeur : Chapman and Hall/CRC, 2024

Synopsis

This book summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. .

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

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 to financial 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. He is currently a vice president in 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 a PhD in mathematics from the Hong Kong University of Science and Technology.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Chapman and Hall/CRC
Date d'édition
2024
Langue
anglais
ISBN 10 
103220432X
ISBN 13 
9781032204321
Reliure
Broché
Nombre de pages
282
Coordonnées du fabricant
non disponible
Personne responsable
non disponible

Autres éditions populaires du même titre

9781032199023: Pricing Models of Volatility Products and Exotic Variance Derivatives

Edition présentée

ISBN 10 :  1032199024 ISBN 13 :  9781032199023
Editeur : Chapman and Hall/CRC, 2022
Couverture rigide