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这本书关注于期权隐含波动率曲面的构建,让读者更好地理解隐含波动率曲面,是波动率曲面建模方面非常**与经典的读本,基本所有关于波动率建模的研究都会引用这本书,它堪称波动率建模方面的圣经。这本书已经成为业界流传的经典资料。本书作者对局部波动率、随机波动率模型的处理方法成为业界的标准。易懂、实用、简洁、全面;翔实叙述隐含波动率曲面特点;全面阐述金融数学前沿研究成果!目录第1章随机波动率和局部波动率11.1随机波动率11.2局部波动率7第2章风险均衡原理简介162.1动态过程162.2Heston模型下的欧式期权定价公式172.3Heston模型下特征函数的推导212.4Heston模型的仿真模拟22第3章隐含波动率曲面263.1从隐含波动率到局部波动率263.2Heston模型的局部波动率333.3Heston模型的隐含波动率353.4标准普尔500指数期权的隐含波动率曲面37第4章Heston-Nandi模型444.1Heston-Nandi模型的局部方差444.2数值例子454.3结果讨论50第5章引入跳过程515.1为什么需要引入“跳”515.2跳扩散(JumpDiffusion)535.3特征函数方法565.4随机波动率加跳65第6章违约风险建模726.1Merton的违约模型726.2资产结构套利746.3跳灭模型中的局部和隐含波动率776.4违约风险对期权价格的影响796.5CreditGrades模型81第7章波动率曲面渐近857.1剩余到期时间较短的情况857.2Medvedev-Scaillet的结果877.3加入跳907.4剩余到期时间较长的情况:Fouque、Papanicolaou和Sircar927.5极小的波动率的波动率:Lewis937.6执行价的极值:RogerLee947.7渐近性总结97第8章隐含波动率曲面动态988.1随机波动率模型下的波动率倾斜动态988.2局部波动率模型下的波动率倾斜动态998.3随机隐含波动模型1008.4数字期权和数字Cliquets100第9章障碍期权1049.1定义1049.2特殊情况1059.3反射原理1069.4回溯对冲法1099.5平价公式1099.6准静态对冲和定性估价1109.7针对离散监测的调整1139.8巴黎期权1159.9障碍期权的应用1169.10结论116第10章奇异凯利期权11710.1局部封顶、全局封底凯利11710.2反向凯利12010.3拿破仑122第11章波动率衍生品12711.1一般的欧式收益结构概览12711.2方差和波动率互换13011.3波动率衍生品定价13911.4基于二次变差的交易所交易衍生品14811.5总结153参考文献154看到JimGatheral所著的这本书我非常开心。关于随机波动率的文献非常多,但是大多数晦涩难懂。相反,Gatheral的书很容易理解,且非常实用。它成功地建立了具体例子和一般性模型的联系——表达清晰却不失专业、深度和广度。——RobertV.Kohn,数学教授,纽约大学柯朗数学科学研究所金融数学委员会主席简洁且全面,既注重理论又注重现象,这本书翔实地叙述了隐含波动率曲面的特点、关于定价与对

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