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This book is organized by [TheQuantHackers Community] (https://llmquant.com/) and provides PDF downloads. It is only for learning and communication. The copyright belongs to the original author.
This book is organized by [TheQuantHackers Community] () and provides PDF downloads. It is only for learning and communication. The copyright belongs to the original author.
This book deeply explores the volatility smile phenomenon and the theoretical basis behind it, aiming to unify the Black-Scholes-Merton model and its subsequent development of more advanced models. The book not only explains the mathematical principles behind the model, but also focuses on its core ideas and financial valuation principles. The content covers the basic concepts of volatility smile, static and dynamic replication, Black-Scholes-Merton model, hedging strategies, transaction costs, implicit distributions, as well as various mathematical techniques such as local volatility model, stochastic volatility model and jump diffusion model, and their practical applications in the fields of option pricing and volatility trading. Through an in-depth analysis of these models, this book aims to help readers understand and deal with the volatility smile phenomenon, while also mastering the ability to evaluate and build their own financial models.
Model implementation code
Excel tools
Market data analysis
本书籍由TheQuantHackers社区整理, 并提供PDF下载, 只供学习交流使用, 版权归原作者所有。
作者: Emanuel Derman, Michael B. Miller
出版社: Wiley
出版年份: 2016
难度: ⭐⭐⭐⭐⭐
推荐指数: ⭐⭐⭐⭐⭐
PDF下载: 点击下载
本书深入探讨了波动率微笑现象及其背后的理论基础，旨在统一处理Black-Scholes-Merton模型及其后续发展的更高级模型。书中不仅阐述了模型背后的数学原理，更着重于其核心思想和金融估值原则。内容涵盖了波动率微笑的基础概念、静态与动态复制、Black-Scholes-Merton模型、对冲策略、交易成本、隐含分布，以及局部波动率模型、随机波动率模型和跳跃扩散模型等多种数学技术及其在期权定价和波动率交易领域的实践应用。通过对这些模型的深入剖析，本书旨在帮助读者理解并应对波动率微笑现象，同时掌握评估和构建自身金融模型的能力。
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