<--- Back to Details
First PageDocument Content
Finance / Options / Stochastic processes / Damiano Brigo / Local volatility / Equations / Fabio Mercurio / Volatility smile / Volatility / Mathematical finance / Financial economics / Statistics
Date: 2002-11-28 13:38:01
Finance
Options
Stochastic processes
Damiano Brigo
Local volatility
Equations
Fabio Mercurio
Volatility smile
Volatility
Mathematical finance
Financial economics
Statistics

Add to Reading List

Source URL: www.damianobrigo.it

Download Document from Source Website

File Size: 226,69 KB

Share Document on Facebook

Similar Documents

Mathematical finance / Options / Applied mathematics / Economy / Finance / Volatility smile / Damiano Brigo / Fabio Mercurio / Volatility / BlackScholes model / Implied volatility / Greeks

Fitting volatility skews and smiles with analytical stock-price models  Damiano Brigo Fabio Mercurio

DocID: 1pVgF - View Document

Economy / Mathematical finance / Academia / Finance / Financial economics / Financial econometrics / Economic model / Risk / Fabio Mercurio / Damiano Brigo

Asset Pricing in Continuous Time Paul Schneider October 4, 2013 1

DocID: 1mZ4s - View Document

Finance / Investment / Implied volatility / Volatility smile / Black–Scholes / Volatility / Foreign-exchange option / Fabio Mercurio / Vanna Volga pricing / Mathematical finance / Financial economics / Options

cutting edge. option pricing The vanna-volga method for implied volatilities European-style claims, is consistent with static-replication arguments. Finally, we derive first- and second-order approximations

DocID: S7kH - View Document

Bruno Dupire / Local volatility / Investment / Volatility / Risk / Quantitative analyst / Option / Arbitrage / Fabio Mercurio / Financial economics / Finance / Mathematical finance

The Department of mathematics and The Department

DocID: xJul - View Document

Bruno Dupire / Mathematical sciences / Local volatility / Investment / Volatility / Quantitative analyst / Risk / Option / Fabio Mercurio / Financial economics / Mathematical finance / Finance

The Department of mathematics and The Department

DocID: xwvz - View Document