Volatility and Correlation
Subtitle: In the Pricing of Equity, FX and Interest-Rate Options (Wiley Series in Financial Engineering)
Publisher: John Wiley & Sons
Published: December 27, 1999
Language: eng
Number of pages: 360
ISBN-13: 9780471899983
First sentence: The purpose of this chapter is threefold: first, I intend to explain the fundamental difference between the treatment of volatilities and correlations in the case of equities and FX on the one hand, and of interest rates on the other.
Description: "Volatility and Correlation in the Pricing of Equity, FX and Interest-Rate Options is split into three sections." "In the first, an introduction is presented to the complex concepts of correlation and volatility encountered in equity/FX and interest-rate option pricing, aimed at providing practitioners with a better informed choice when deciding which models to utilise." "The author then moves on to the problem of smiles, with considerable emphasis placed on option pricing when markets are incomplete.".

"The analysis of the third part deals with the role of volatility and correlation in the context of interest-rate models."--BOOK JACKET.