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Rebonato R. Volatility and Correlation

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Rebonato R. Volatility and Correlation
N.-Y., John Wiley & Sons Ltd, 1999. - 362 p.
Книга посвящена углублению опционной теории с учётом изменчивости волатильности во времени, коррелированности цен активов и волатильностей, "улыбки волатильности" и её использования в торговле. Рассмотрены вопросы торговли опционами на акции, валюту и процентную ставку (свапционами), а также экзотическими опционами, хеджирования. Книга ориентирована на практиков с хорошей математической подготовкой и научных работников и аспирантов в области финансовой математики.
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