Constructing binomial tree models that are consistent uith the volatility smile effect he Black-Scholes
theory has two important but independent features. The primary feature is that it is …

1. Its fundamental variable is the short rate? the annualized one-period interest rate. The short
rate is the one factor of the model; its changes drive all security prices. 2. The model takes …

In this paper we present an arbitrage pricing framework for valuing and hedging contingent
equity index claims in the presence of a stochastic term and strike structure of volatility. Our …

In My Life as a Quant, Emanuel Derman relives his exciting journey as one of the first high-energy
particle physicists to migrate to Wall Street. Page by page, Derman details his …

A Guide to Volatility and Variance Swaps. КОРЗИНА ПОИСК НАВИГАТОР ЖУРНАЛЫ
КНИГИ ПАТЕНТЫ ПОИСК АВТОРЫ ОРГАНИЗАЦИИ КЛЮЧЕВЫЕ СЛОВА РУБРИКАТОР …

Now in paperback,“a compelling, accessible, and provocative piece of work that forces us to
question many of our assumptions”(Gillian Tett, author of Fool’s Gold). Quants, physicists …

How well does options pricing theory really work, and how dependent is it on the notion of
dynamic replication? In this note we describe what many practitioners know from long and …

The structure of listed index options prices, examined through the prism of the implied tree
model, reveals the local volatility surface of the underlying index. In the same way as fixed-…

This article presents a practical and useful method for replicating or hedging a target stock
option with a portfolio of other options. It shows how to construct a replicating portfolio of …

… Celebrated author and quant Emanuel Derman and Michael B. Miller explain not just the
mathematics but the ideas behind the models. By examining the foundations, the …