Accueil || Parcours || Recherche || S'enregistrer || Mon Compte || Contacts || Aide || Langues
Cheikh Ali, Majd (2006) Modèle à volatilité locale et stochastique. Projet de Fin d'Etude, ENSTA ENSTA PFE 2006-40 p.54.
Plein texte disponible en tant que :
|
|
Résumé
Pas de résumé
| Type d'EPrint: | Mémoire |
|---|---|
| Date: | 2006 |
| Fonds: | ?? fond/ensta_stage ?? ENSTA |
| Institution: | ENSTA |
| Entreprise: | Université Paris-Dauphine |
| Sujets: | 1. Mathématiques et leurs applications |
| Code ID: | 3294 |
| Déposé par : | Julien Karachehayas |
| Déposé le : | 16 Janvier 2008 |
Références Bibliographiques
[1] G. Blacher. FX Stochastic Volatility . Reech Capital PLC Workshop, July 2002.
[2] F. Black, M. Scholes, 1973, The pricing of options and corporate liabilities, Journal of Political Economy 81, 631659.
[3] P. Carr, K. Lewis, D. Madan. On the Nature of Options, Working paper, April 2000.
[4] E. Derman, I. Kani. The volatility smile and its implied tree. Quantitative Strategies Research,Goldman Sachs, 1994.
[5] E. Derman, I. Kani, 1994, Riding on a smile, Risk 7, 3239.
[6] B.Dupire. Pricing with a smile. Risk, 7(1) :18,1994.
[7] J. Gatheral,(2003), Lecture 1 : Stochastic Volatility and Local Volatility, Case Studies in Financial Modelling Course Notes, Courant Institute of Mathematical Sciences, New York University.
[8] Hagan, P. S., Kumar, D., Lesniewski, A. S. and Woodward, D. E. (2002) Managing smile risk, Wilmott Magazine, November.
[9] J. Hakala, U. Wystup. Foreign Exchange Risk : Models, Instruments and Strategies. RISK Books, 2002.
[10] S. Heston. A closed-form solution for options with stochastic volatility with applications to bond and currency options. Review of Financial Studies, 1993.
[11] J.C. Hull, 2000, Options, futures and other derivatives, 5th. ed., Prentice-Hall International.
[12] M. Jex, R. Henderson, D. Wang. Pricing Exotic under the Smile. J.P. Morgan Securities Inc., Derivatives Research, September 1999.
[13] A.Lipton. The volatility smile problem. Risk, February 2002.
[14] V. Piterbarg. Stochastic Volatility Model with Time-dependent Skew. Applied Mathematical Finance, Vol. 12, No. 2, 147185, June 2005.
Administrateurs de l'archive uniquement : éditer cet enregistrement