Financial models in production
This book provides a self-contained investigation of volatility dynamics and the intersection of option pricing and risk management. Being built on real-life experience, it is full of innovative views and practical results. The authors show how to introduce into production the models with important features, simultaneously at the minimum cost of implementation and the maximum robustness and control. The idea is that one can implement production level models based on elementary and robust building blocks. The main building blocks for equity derivatives, which are the subject in the book, are the following: Black-Scholes formula, implied volatility calculator, local volatility pricer and a new breed of stochastic volatility. The book consists of four main chapters: General Introduction, Black and Scholes Model, Local Volatility Model and Market Model P\&L Explain (this brief title can be understood as the relation of market model with Profit and Loss equation). So, the book considers simple and realistic features of financial market, rigorously stated but from practical point of view. The book will be of interest to a wide audience, ranging from students in mathematical finance programmes to seasoned academics and quantitative engineers. Besides being useful and helpful, it sparks curiosity and brings the pleasure of learning as one moves through its chapters.
implied volatility, local volatility pricer
scientific article; zbMATH DE number 7261259