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Stochastic implied volatility : a factor-based model

Hafner, Reinhold - 2004

volatility derivatives. In the first part, the book develops a unifying theory for the analysis of contingent claims under both …

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Fractals and scaling in finance : discontinuity, concentration, risk

Mandelbrot, Benoît B. - 1997

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Finanzmarktstatistik : mit 35 Tabellen

Schmid, Friedrich; Trede, Mark - 2005

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Volatility markets : consistent modeling, hedging and practical implementation

Bühler, Hans - 2006

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Fraktale und Finanzen : Märkte zwischen Risiko, Rendite und Ruin

Mandelbrot, Benoît B.; Hudson, Richard L. - 2007 - Ungekürzte Taschenbuchausg.

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Pricing of Bond Options : Unspanned Stochastic Volatility and Random Field Models

Repplinger, Detlef (contributor); Fandel, G. (contributor); … - 2008

A major theme of this book is the development of a consistent unified model framework for the evaluation of bond options. In general options on zero bonds (e.g. caps) and options on coupon bearing bonds (e.g. swaptions) are linked by no-arbitrage relations through the correlation structure of...

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