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Volatility Derivatives Modeling

Volatility Derivatives Modeling Bruno Dupire Bloomberg NY NYU, January, 2005 Outline I Products II Models III The Skorohod Problem IV Lower Bound V Conclusion Volatility Products Historical Volatility Products Historical variance: OTC products: Volatility swap Variance swap

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2.4k views • 53 slides

Lecture 11 Volatility expansion

Bruno Dupire Bloomberg LP. Lecture 11 Volatility expansion. Volatility Expansion. Introduction. This talk aims at providing a better understanding of: How local volatilities contribute to the value of an option How P&L is impacted when volatility is misspecified

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655 views • 53 slides

Lecture 11 Volatility expansion

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540 views • 53 slides

O ptions and asset management

O ptions and asset management. 17 november 2010. Options play a central role in modern asset management. Provide important info Level of risk aversion Dispersion Related markets ( credits ) Hedging Single-name , portfolios Delta, gamma, vega , theta Expressing investment views

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250 views • 10 slides

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Implied vol - PowerPoint PPT Presentation

Volatility Derivatives Modeling

Lecture 11 Volatility expansion

Lecture 11 Volatility expansion

O ptions and asset management