Volatility Markets : Consistent Modeling, Hedging, and Practical Implementation of Variance Swap Market Models

ISBN-13: 9783639020151 / Angielski / Miękka / 2009 / 188 str.

Hans Buehler

Opis

This book presents a comprehensive overviewof the subject of "Consistent Variance Curve Models", a concept for variance swap markets which is very closely related to thatof consistent Heath-Jarrow-Merton models for interest rate markets. As the title suggests, the book provides both a sound theoretical background on such models as well as guidance on how toimplement them. In the course of the discussion, we address questions of existence, market completeness and integrability as well as efficient simulation and evaluation techniques.Moroever, the book also has an additional chapter on "fitted" variance curve models, most notably "Fitted Heston", which has proven to be a very valuable tool forrisk-managing positions of options on variance. Comparison with other models and implementation considerations are provided.This book is a revised version of my PhD thesis "Volatility Markets: Consistent modeling,hedging and practical implementation", which has been written parallel to my work in Deutsche Bank''s Quantitative Products Analytics team in London.

O autorze

Hans Buehler holds a Diploma in Stochastic Analysis and a
PhD in Financial Mathematics from TU Berlin.
He has worked for Deutsche
Bank in London since 2001 where he was global head of equity
derivatives quantitative research. Since June 2008, he is
executive director in JP Morgan,
heading equities quantiative research Asia in Hong
Kong.