Features
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- Useful for practitioners and quants in the financial industry who need to make choices between pricing models of variance derivatives.
- Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products.
- Could be used as a textbook in a topic course on pricing variance derivatives at universities.
Yue Kuen Kwok is a professor in the Department of Mathematics and Financial Technology Thrust, the Hong Kong University of Science and Technology. Professor Kwok's research interests concentrate on pricing and risk management of financial derivatives and structured insurance products. He has published more than 80 research articles in major research journals in quantitative finance and actuarial sciences. In addition, he is the author of two books on quantitative finance: Mathematical Models of Financial Derivatives and Saddlepoint Approximation Methods in Financial Engineering. He has provided consulting services to financial institutions on various aspects of trading structured products and credit risk management. Professor Kwok has served on the editorial boards of Journal of Economic and Dynamics Control, Asian-Pacific Financial Markets and International Journal of Financial Engineering. He earned his PhD in applied mathematics from Brown University in 1985.
Wendong Zheng joined Credit Suisse in Hong Kong in 2018. He is currently a vice president in the Quantitative Strategies Group, covering equity and hybrid derivatives modeling and trading. Before joining Credit Suisse, he held positions at Bank of China International and Barclays Investment Bank. He has performed both academic and industrial works on pricing and trading volatility derivatives. Also, he has co-authored the book Saddlepoint Approximation Methods in Financial Engineering. Dr. Zheng holds a PhD in mathematics from the Hong Kong University of Science and Technology.
Title: Pricing Models of Volatility Products and Exotic Variance Derivatives (Chapman and Hall/CRC Financial Mathematics Series)
Author: Zheng, Wendong,Kwok, Yue Kuen
ISBN: 9781032199023
Binding:
Publisher: Taylor & Francis Ltd
Publication Date: 2022-05-14
Number of Pages: 268
Weight: 0.5672 kg
