Option valuation under stochastic volatility II : with Mathematica code /
Option valuation under stochastic volatility two
Alan L. Lewis.
- viii, 737 pages : illustrations ; 26 cm
Includes bibliographical references and index.
1. Slow Reflection, Jump-returns, & Short-term Interest Rates -- 2. Spectral Theory for Jump-diffusions -- 3. Joint Time Series Modelling of SPX and VIX -- 4. Modelling VIX Options (and Futures) under Stochastic Volatility -- 5. Stochastic Volatility as a Hidden Markov Model -- 6. Continuous-time Inference: Mathematical Methods and Worked Examples -- 7. A Closer Look at the Square-root and 3/2-Model -- 8. A Closer Look at the SABR Model -- 9. Back to Basics: An Update on the Discrete Dividend Problem -- 10. PDE Numerics without the Pain -- 11. Exact Solution to Double Barrier Problems under a Class of Processes -- 12. Advanced Smile Asymptotics: Geometry, Geodesics, and All That -- 13. Applications of Eigenfunction Expansions in Continuous-time Finance -- 14. A Simple Option Formula for General Jump-diffusion and Other Exponential Ĺevy Processes -- 15. Asian Connections -- 16. Fear of Jumps -- 17. Perpetual American Options Made Easy -- 18. American Options under Jump-diffusions: An Introduction -- 19. Barrier Options under Jump-diffusions I: Analytic Theory -- 20. Barrier Options under Jump-diffusions II: One-Touch Options -- 21. American-style Options with One-sided Jumps -- 22. Volatility Jump-diffusions -- 23. Double Barrier Problems with Jumps: A Simple “Universal” Algorithm -- 24. Diffusions, Jumps, and the Distribution of the Maximum -- 25. Asian Option Pricing under Jump-diffusions -- 26. Wiener-Hopf Factorization and the Baxter-Donsker Formula.
"This book is a sequel to the author's well-received 'Option valuation under stochastic volatility.' It extends that work to jump-diffusions and many related topics in quantitative finance. Topics include spectral theory for jump-diffusions, boundary behavior for short-term interest rate models, modelling VIX options, inference theory, discrete dividends, and more" --Back cover.