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Smile Pricing Explained by P. Austing (Paperback, 2014)

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Smile Pricing Explained provides a clear and thorough explanation of the concepts of smile modelling that are at the forefront of modern derivatives pricing. The key models used in practice are covered, together with numerical techniques and calibration. Peter Austing 1. Introduction to Derivatives 2. Stochastic Calculus 3. Martingale Pricing 4. Dynamic Hedging and Replication 5. Exotic Options in Black-Scholes 6. Smile Models 7. Stochastic Volatility 8. Numerical Techniques 9. Local Stochastic Volatility 10. Volatility Products 11. Multi-Asset