Index

  1. A
  2. Asian options
  3. Attainable boundaries
  4. Attracting boundaries
  5. Autocallable options
  6. Average correlation
  7.  
  8. B
  9. Barrier options
  10. Basket options
  11. Basket variance
  12. Best-of options
  13. Binomial trees
  14. Black-Scholes model
    1. with constant correlation
    2. and volatility trading
  15. B-O model
  16. Boortz's Common Factor Model
  17. Breeden-Litzenberger formula
  18. Brownian motion
  19. Butterfly spreads
    1. and Dupire's equation
    2. no arbitrage condition
  20.  
  21. C
  22. Calendar spreads
  23. Capital Guaranteed Performance Note
  24. Carr-Wu model. See LNV model
  25. Cauchy-Schwarz inequality
  26. Change of measure
  27. Change of numeraire
  28. Chicago Board Options Exchange (CBOE)
  29. Cholesky decomposition
  30. Cliquet options
  31. Common factor model
  32. Conditioning
  33. Constant correlation
    1. Black-Scholes model with
    2. local volatility with (LVCC)
  34. Correlation. See also Local correlation; Stochastic correlation; Dispersion trading
    1. average correlation
    2. Black-Scholes with constant correlation
    3. continuously monitored
    4. correlation matrices
    5. correlation proxy
    6. correlation swaps
    7. historical
    8. implied
    9. measuring
    10. trading
  35. Cross-sectional dispersion
  36. Cubic spline interpolation
  37.  
  38. D
  39. Daily volatility rule
  40. De Finetti formula (fifth property of Euclidean metric)
  41. Delta
    1. delta hedging
    2. and implied volatility smile
    3. sticky-delta rule
  42. Digital options
  43. Dispersion trading
    1. cross-sectional dispersion
    2. vanilla dispersion trades
    3. variance dispersion trades
  44. Dollar gamma
  45. Dupire's equation
  46. Dynamic correlation models
  47.  
  48. E
  49. Eigenvalues
  50. Equity correlation matrix
  51. Equity-linked notes
  52. Euclidean metric (fifth property of)
  53. Euclidean spaces
  54. Euler-Maruyama discretization
  55. European payoff pricing and replication
  56. Exotic derivatives
    1. Asian options
    2. barrier options
    3. basket options
    4. cliquet options
    5. digital options
    6. forward start options
    7. lookback options
    8. multi-asset options
    9. quanto options
    10. ratchet options
    11. spread options
    12. structured products
    13. worst-of/best-of options
  57. Extrapolation
  58.  
  59. F
  60. Feller condition
  61. Fifth property of Euclidean metric
  62. Filtered probability space
  63. Fischer-Wright model. See also Jacobi process
  64. Forward start options
  65. Forward variance
  66.  
  67. G
  68. Gamma. See also Dollar gamma
  69. Generalized variance swaps
  70. Geometric basket call
  71. Girsanov theorem
  72. Gram-Schmidt's orthonormalization process
  73. Greeks. See also Delta; Gamma
  74. Gurrieri's model
  75.  
  76. H
  77. Hedge ratios
  78. Hedging. See also Overhedging
    1. correlation swaps
    2. delta-hedging
    3. with local volatility
    4. variance swaps
  79. Hedging theory (of stochastic volatility models)
  80. Heston model
  81. Historical correlation
  82. Historical volatility
  83.  
  84. I
  85. Implied correlation
  86. Implied distributions
    1. butterfly spreads and
    2. European payoff pricing and replication
    3. and exotic pricing
    4. Greeks
    5. and overhedging
    6. problems
    7. references
    8. solutions
  87. Implied volatility
    1. local volatility from
    2. market- vs. model-implied
  88. Implied volatility derivatives
    1. VIX futures
    2. VIX options
  89. Implied volatility smile
  90. Implied volatility surface
    1. Gurrieri's model
    2. indirect models
    3. interpolation and extrapolation
    4. LNV model
    5. properties
    6. SABR model
    7. SVI model
  91. Independence
  92. Interpolation
  93. Ito-Doeblin theorem
  94.  
  95. J
  96. Jacobi process
  97. Jensen's inequality
  98. Joint distribution
  99. Jumps
  100.  
  101. K
  102. Knock-in/knock-out option
  103. Kolmogorov equation
  104.  
  105. L
  106. Law of the unconscious statistician
  107. LNV model
  108. Local correlation
    1. dynamic models
    2. implied correlation smile
    3. local volatility model with (LVLC)
  109. Local volatility
    1. and binomial trees
    2. calculating
    3. connection with stochastic volatility
    4. Dupire's equation
    5. hedging with
    6. from implied volatility
    7. with local correlation (LVLC)
    8. model with constant correlation (LVCC)
    9. pricing
  110. Log-Normal Variance (LNV) model
  111. Lookback options
  112. LVCC model
  113. LVLC model
  114.  
  115. M
  116. Market capitalization weights
  117. Market price of volatility risk
  118. Market-implied volatility
  119. Matrices:
    1. correlation
    2. square matrix decompostion
  120. Milstein's discretization method
  121. Model-implied volatility
  122. Monte Carlo simulations
  123. Multi-asset options
  124.  
  125. N
  126. No butterfly spread arbitrage condition
  127. No call or put spread arbitrage condition
  128. Non-attracting boundaries
  129. Nontradable average correlation
  130. Normalized liquidity rule
  131.  
  132. O
  133. Orthogonality
  134. Overhedging
  135.  
  136. P
  137. Parseval's identity
  138. Path-dependent payoff
  139. Pearson's correlation coefficient
  140. Perfect hedging with puts and calls
  141. Probability space
  142. Probability theory
  143.  
  144. Q
  145. Quanto options
  146.  
  147. R
  148. Radon-Nikodym derivative
  149. Random processes
  150. Random variables
  151. Ratchet options
  152. Rayleigh quotient
  153. Realized variance
  154. Realized volatility
    1. derivatives
  155. Reverse Convertible Note
  156.  
  157. S
  158. SABR model
  159. Siegel's paradox
  160. Spectral decomposition
  161. Spread options
  162. Square matrix decompositions
  163. Sticky-strike rule
  164. Sticky-delta rule
  165. Sticky-moneyness rule
  166. Stochastic Alpha, Beta, Rho (SABR) model
  167. Stochastic calculus
  168. Stochastic correlation
    1. average (see also Average correlation)
    2. correlation matrices
    3. stochastic single correlation
  169. Stochastic volatility. See also Stochastic volatility-inspired (SVI) model
    1. connection with local volatility
    2. and forward start options
    3. hedging theory
    4. and jumps
    5. Monte Carlo simulations
    6. problems
  170. Stochastic volatility-inspired (SVI) model
  171. Structured products
  172. SVI model
  173.  
  174. T
  175. Toy model
  176. Tradable average correlation
  177.  
  178. U
  179. Unattainability
  180.  
  181. V
  182. Vanilla dispersion trades
  183. Vanilla options
  184. Variance dispersion trades
  185. Variance futures
  186. Variance swaps
    1. forward variance
    2. hedging and pricing
    3. market
    4. payoffs
    5. variance futures
  187. Vega notional
  188. VIX. See also Volatility Index (VIX)
  189. Volatility derivatives
    1. implied
    2. realized
    3. variance swaps
    4. volatility trading
  190. Volatility Index (VIX)
    1. VIX futures
    2. VIX options
  191. Volatility trading
  192. Volga
  193.  
  194. W
  195. Wiener process
  196. Worst-of options
  197. Worst-of-put pricing
  198. Wright-Fisher process
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