Pricing Models of Volatility Products and Exotic Variance Derivatives (Chapman & Hall/CRC Financial Mathematics Series)

Yue Kuen Kwok,Wendong Zheng

ISBN 10: 1032199024 / ISBN 13: 9781032199023

Verlag: Chapman and Hall/CRC 2022-05-09, 2022

Beschreibung

Bestandsnummer des Verkäufers 6666-GRD-9781032199023

Bibliografische Details

• Titel: Pricing Models of Volatility Products and Exotic Variance Derivatives (Chapman & Hall/CRC Financial Mathematics Series)
• Verlag: Chapman and Hall/CRC 2022-05-09
• Erscheinungsjahr: 2022
• Sprache: Englisch
• ISBN-10: 1032199024
• ISBN-13: 9781032199023
• Einband: Hardcover
• Zustand: New

Über diesen Titel

Inhaltsangabe

This book summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. .

Über die Autorin bzw. den Autor

Yue Kuen Kwok is a professor in the Department of Mathematics and Financial Technology Thrust, the Hong Kong University of Science and Technology. Professor Kwok’s research interests concentrate on pricing and risk management of financial derivatives and structured insurance products. He has published more than 80 research articles in major research journals in quantitative finance and actuarial sciences. In addition, he is the author of two books on quantitative finance: Mathematical Models of Financial Derivatives and Saddlepoint Approximation Methods in Financial Engineering. He has provided consulting services to financial institutions on various aspects of trading structured products and credit risk management. Professor Kwok has served on the editorial boards of Journal of Economic and Dynamics Control, Asian-Pacific Financial Markets and International Journal of Financial Engineering. He earned his PhD in applied mathematics from Brown University in 1985.

Wendong Zheng joined Credit Suisse in Hong Kong in 2018. He is currently a vice president in the Quantitative Strategies Group, covering equity and hybrid derivatives modeling and trading. Before joining Credit Suisse, he held positions at Bank of China International and Barclays Investment Bank. He has performed both academic and industrial works on pricing and trading volatility derivatives. Also, he has co-authored the book Saddlepoint Approximation Methods in Financial Engineering. Dr. Zheng holds a PhD in mathematics from the Hong Kong University of Science and Technology.