论波动率模型

媒体关注与评论

　  Cong Yi investigates a variety of models for Stochastic Volatility. The book is organised by discussing results first and proofs later. The aim of the book, and the aim of the author, is to produce something useful. The first chapter looks at a changing volatility model where the volatility is constant between stopping times. This is of considerable theoretical interest and can be extended to a class of bounded path wise continuous volatilities.Subsequent Chapters, 2,3,visit Local stochastic Volatility Models and apply these in FX looking at specific classes of financial products. I think these chapters will be of considerable interest to practitioners and, perhaps,also the Monte -Carlo method discussed in Chapter 4. The final chapter looks at a heavyweight Libor market model incorporating Stochastic Volatility and Jumps. Formal expressions for the prices of Caplets and Swaptions are found here but Cong Yi, suggest that the real difficulties lie in the effiaentgreek computation,which may serve as future research topic.　  ——Dr,Chris Barnett Distingusished Research Fellow,Mathematical Finance,Imperial College London　  When Cong Yi was a PhD student of Imperial College, he was sponsored by Mitsubishi UFJ Securities International and worked part time at the department of Risk and Product Development under the guidance ofme.（I am director and Head of Product Development.） His main research at the bank is to investigate models with more advanced features and capabilities to reflect market conditions and movements than the stand ard Black Scholes theory. This work is of great interest in both academic research and practical application. A largepart of his PhD thesis is based on this research, cou pIed with some other fundamental theoretical explorationsin finance. I believe his thesis will attract broad readers.　  ——Dr.Yanmin Li President of Chinese Association of Financial Executives

书籍目录

List of Figures
List of Tables
Abstract
Acknowledgements
l.General Introduction, Changing Volatility Models and European
Options Pricing
1.1 Generallntroduction
1. 2 Introduction to Changing Volatility Models
1. 3 Model Completeness and European Option Pricing
1.4 Single Period Volatility Changing Problems
1. 4. 1 Fixed Volatility Changing Time with BamerB
1. 4. 2 Random Volatility Changing Time with a Hitting
BarrierB
1.5 Multi-Period Volatility Changing Problems
1.6 Extension to Incomplete Market
1. 6. 1 A Simple Random Volatility Changing Model
Extension to Stochastic Volatility Model
1. 6. 2 Future Research
1.7 Appendix: Proof
1. 7. 1 Proof of Proposition 1. 1
1. 7. 2 Proof of Proposition 1. 2
1. 7. 3 Proof of Proposition 1. 3
1. 7.4 Proof of Proposition 1. 4
1. 7. 5 Proof of Proposition 1. 5
1. 7. 6 Proof of Proposition 1. 6
1. 7. 7 Theorem 2. 2 of [132] : Uniqueness of the
F.quivalent Martingale Measure
2.Introduction to Stochastic Volatility and Local Stochastic
Volati
lity Models
2. 1 Stochastic Volatility Models-A General Set-Up
2. 1. 1 Model Set-Up
2. 1. 2 Change of Measure and Model Incompleteness
2. 2 Making the Stochastic Volatility Economy Complete
2. 3 European Option Price
2. 4 Local Stochastic Volatility Models: An Introduction
2. 5 Adjustment to the Calculation of Greeks in a Non
Constant Implied Volatility Model
3.Foreign Exchange Options with Local Stochastic Volatility and
Stochastic Interest Rates
3. 1 Introduction
3.2 The FX-IR Hybrid Model
3.3 Asymptotic Expansion
3. 3. 1 A Brief Introduction
3. 3. 2 European Option Pricing and Implied Volatility
3.4 Model Implementation and Numerical Results
3. 5 FX Option Pricing via Fourier Transform under Stochastic
Interest Rates, Stochastic Volatility and the Jump Process
3. 5. 1 The Multi-Factor Model
3. 5. 2 Change of Measure and Option Pricing
3. 5. 3 Model Implementation
3. 5. 4 Calibration Results for the USD/JPY Market
3. 6 Perfect Hedging with Stochastic Interest Rates and Local
Stochastic Volatility
3. 6. 1 Hedging with Options
……
4. Non-Biased Monte Carlo Simulation for a Heston-Type Stochastic
Volatility Model
5. The LIBOR Market Model with Stochastic Volatility and Jump
Processes
Bibliography

作者简介

《论波动率模型》基于笔者于伦敦帝国理工学院和三菱UFJ证券国际（伦敦）的联合项目中所完成的金融数学博士论文.该联合项目始于2005年年底，旨在探讨随机波动率在股票、外汇、利率等金融资产的建模中的应用以及基于此模型之上对金融衍生品的定价。随机（非常量）的波动率模型是近些年来热门的金融数学研究方向，特别是在2008年金融危机动荡的市场中更是受到了学术界和金融业界的熏视，《论波动率模型》最大的贡献在于提供了当前最全面的随机金融模型架构，包括随机波动率、局部波动率、随机利率以及跳跃过程对外汇走势的建模，以及对金融衍生品（欧式期权）定价的半解析解。其他几个章节涉及了对另外的波动率模型的提出和讨论，以及随机波动率模型在金融业界中的实际应用和衍生品定价的范例。

笔者利用跨学术和金融业界的优势，为大家展现了国际金融工程学术研究和金融衍生品发展的最前沿画卷。

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