## Equity Derivatives and Market Risk ModelsThe definitive practitioners' reference on the advanced use of equity derivatives. |

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### Contents

The BlackScholes Framework | 3 |

Skew Models | 13 |

JumpDiffusion Models | 23 |

Copyright | |

17 other sections not shown

### Common terms and phrases

analytical approach approximation asset level asset price asset process assume assumption barrier option Black-Scholes boundary conditions calculate calibration Chapter coherent risk measure convergence convertible bond correlation covariance credit rating credit risk credit spread default rates defined delta denote derivative deterministic volatility model discrete discretisation dividend equation equity estimate European options evaluation example exposure extreme value theory finite difference firm framework gamma given Heston Heston model implied volatility surface independent interest rate issuer Laplace transform linear loss market factors market risk market risk factors matrix maturity method Monte Carlo node normally distributed obligor obtain option prices parameters path payments payoff portfolio P&L probability random variables Raroc result returns risk management risk measure risk-neutral risk-neutral measure sampling Section sector sequence simulation skew solution standard deviation stochastic volatility stochastic volatility models strike techniques term Theorem transition tree underlying variance swap volatility smile volatility smile model volatility swap zero