Volatility in the Capital Markets : State Of-The-Art Techniques for Modeling, Managing

No subject is more critical to financial professionals than volatility. Volatility in the Capital Markets : State Of-The-Art Techniques for Modeling, Managing and Trading Volatility contains a wealth of insights and practical applications from some of the best minds in the world. Traders, researchers, risk managers, and anyone involved in the derivatives markets will find answers to some of the complexities arising from the deceptively simple concept of volatility.

Specific topics include : -

• Practical Issues Concerning Volatility and Its Measurements, Past and Predicted
• Option Pricing and Volatility
• Simple Formulas to Compute Accurate Implied Volatilities
• Volatility of What?
• Delta Hedging with Uncertain Volatility
• The Effects of Double-Barrier Options on Foreign Exchange Markets
• The Relationship Between Cap Volatilities and Swaption Volatilities
• Volatility and Calibration in Interest Rate Models
• Integrated Volatility-Based Risk Management
• Software: Exotic Options Portfolio Manager

Preface
Contributors

Chapter 1 : Practical Issues Concerning Volatility and Its Measurement, Past and Predicted
Chapter 2 : Option Pricing and Volatility
Chapter 3 : Simple Formulas to Compute Accurate Implied Volatilities
Chapter 4 : Volatility of What?
Chapter 5 : Delta Hedging With Uncertain Volatility
Chapter 6 : The Effects of Double-Barrier Options on the Foreign Exchange Markets
Chapter 7 : The Relationship Between Cap Volatilities and Swaption Volatilities
Chapter 8 : Volatility and Calibration in Interest Rate Models
Chapter 9 : Integrated Volatility-Based Risk Management
Chapter 10 : Software: Exotic Options Portfolio Manager

Index