December 2013
Intermediate to advanced
484 pages
14h 54m
English
Content preview from Nonlinear Option Pricing
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xxxiv List of Figures
12.16 Local correlation (top left), local volatility of the cross rate
(top right), implied volatility of the cross rate (bottom left),
and scatter plot of (S
1
, S
2
) (bottom right) at maturity for
a = 0, b(t, S
1
, S
2
) = 0.02 +
S
1
S
1
0
− 1
2
+
S
2
S
2
0
− 1
2
. The
fifth graph shows the proportion of capped correlations as a
function of t. . . . . . . . . . . . . . . . . . . . . . . . . . . . 361
12.17 Local correlation (top left), local volatility of the cross rate
(top right), implied volatility of the cross rate (bottom left),
and scatter plot of (S
1
, S
2
) (bottom right) at maturity for
a(t, S
1
, S
2
) = 3
√
S
1
S
2
, b(t, S
1
, S
2
) =
√
S
1
S
2
. The fifth
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.