Advanced Equity Derivatives: Volatility and Correlation

Index

1. A
2. Asian options
3. Attainable boundaries
4. Attracting boundaries
5. Autocallable options
6. Average correlation
7.  
8. B
9. Barrier options
10. Basket options
11. Basket variance
12. Best-of options
13. Binomial trees
14. Black-Scholes model
    1. with constant correlation
    2. and volatility trading
15. B-O model
16. Boortz's Common Factor Model
17. Breeden-Litzenberger formula
18. Brownian motion
19. Butterfly spreads
    1. and Dupire's equation
    2. no arbitrage condition
20.  
21. C
22. Calendar spreads
23. Capital Guaranteed Performance Note
24. Carr-Wu model. See LNV model
25. Cauchy-Schwarz inequality
26. Change of measure
27. Change of numeraire
28. Chicago Board Options Exchange (CBOE)
29. Cholesky decomposition
30. Cliquet options
31. Common factor model
32. Conditioning
33. Constant correlation
    1. Black-Scholes model with
    2. local volatility with (LVCC)
34. Correlation. See also Local correlation; Stochastic correlation; Dispersion trading
    1. average correlation
    2. Black-Scholes with constant correlation
    3. continuously monitored
    4. correlation matrices
    5. correlation proxy
    6. correlation swaps
    7. historical
    8. implied
    9. measuring
    10. trading
35. Cross-sectional dispersion
36. Cubic spline interpolation
37.  
38. D
39. Daily volatility rule
40. De Finetti formula (fifth property of Euclidean metric)
41. Delta
    1. delta hedging
    2. and implied volatility smile
    3. sticky-delta rule
42. Digital options
43. Dispersion trading
    1. cross-sectional dispersion
    2. vanilla dispersion trades
    3. variance dispersion trades
44. Dollar gamma
45. Dupire's equation
46. Dynamic correlation models
47.  
48. E
49. Eigenvalues
50. Equity correlation matrix
51. Equity-linked notes
52. Euclidean metric (fifth property of)
53. Euclidean ...