Volatility Markets

This book presents a comprehensive overview
of the subject of
"Consistent Variance Curve Models", a concept for
variance swap markets which is very closely related
to that
of consistent Heath-Jarrow-Merton models for
interest
rate markets. As the title suggests, the book
provides both
a sound theoretical background on such models as
well as guidance on how to
implement them. In the course of the discussion, we
address questions of existence, market completeness
and integrability as well as efficient simulation
and evaluation techniques.
Moroever, the book also has an additional chapter
on "fitted" variance curve models, most
notably "Fitted Heston",
which has proven to be a very valuable tool for
risk-managing positions of options on variance.
Comparison with other models and implementation
considerations are provided.
This book is a revised version of my PhD
thesis "Volatility Markets: Consistent modeling,
hedging and practical implementation", which has
been written parallel to my work in Deutsche Bank''s
Quantitative Products Analytics team in London.

Autorentext
Hans Buehler holds a Diploma in Stochastic Analysis and a PhD in Financial Mathematics from TU Berlin. He has worked for Deutsche Bank in London since 2001 where he was global head of equity derivatives quantitative research. Since June 2008, he is executive director in JP Morgan, heading equities quantiative research Asia in Hong Kong.

Klappentext
This book presents a comprehensive overview of the subject of "Consistent Variance Curve Models", a concept for variance swap markets which is very closely related to that of consistent Heath-Jarrow-Merton models for interest rate markets. As the title suggests, the book provides both a sound theoretical background on such models as well as guidance on how to implement them. In the course of the discussion, we address questions of existence, market completeness and integrability as well as efficient simulation and evaluation techniques. Moroever, the book also has an additional chapter on "fitted" variance curve models, most notably "Fitted Heston", which has proven to be a very valuable tool for risk-managing positions of options on variance. Comparison with other models and implementation considerations are provided. This book is a revised version of my PhD thesis "Volatility Markets: Consistent modeling, hedging and practical implementation", which has been written parallel to my work in Deutsche Bank's Quantitative Products Analytics team in London.