Advanced Equity Derivatives: Volatility and Correlation

Praise for Advanced Equity Derivatives

"Written by a leading expert who spearheaded the joint pricing and modeling of equity volatility and correlation swaps, this book covers all the theory, models, and practical issues essential for everyone on the buy- or sell-side involved in the pricing and risk management of options. A superb read and a must-read for graduate students studying the subject."
--Martin Bertsch, Co-Founder of Kledia Consulting and MyFinanceTutor

"A great resource for academics, practitioners, and graduate students. Sébastien Bossu is the definite expert on how to link volatility and correlation together."
--François Brochet, Harvard Business School

"Sébastien Bossu shares his knowledge of sophisticated derivatives concepts, instruments and strategies used by traders, investment managers, and risk managers. Understanding volatility and correlation in depth is crucial to successfully pricing and hedging equity options. This book is a must-have in this highly specialized field."
--Kay Torshen, CEO and Founder, Torshen Capital Management LLC

Accurate pricing strategies for cutting-edge exotic derivatives

For equity derivative traders and quantitative analysts who need to understand the latest models in pricing and hedging advanced equity instruments, this book is the perfect choice. Sébastien Bossu gets down to details immediately, concisely presenting single- and multi-asset exotics before moving into the key concepts that sophisticated traders need to know. Advanced Equity Derivatives addresses everything from well-established volatility instruments to the most advanced correlation models.

With Advanced Equity Derivatives, readers gain a highly developed understanding of complex issues related to volatility and correlation, including:

• Implied volatility surface models and their consequence for the pricing of exotics
• Pricing European payoffs using implied distributions
• Local and stochastic volatility models
• Variance swaps and other volatility derivatives
• Extending Black-Scholes and local volatility models to include correlation assets
• Dispersion trading and correlation swaps
• Local and stochastic correlation models and matrices