Contents
Preface ix
CHAPTER 1
Mathematical Preliminaries 1
CHAPTER 2
Numerical Integration 39
CHAPTER 3
Tree-Based Methods 70
CHAPTER 4
The Black-Scholes, Practitioner Black-Scholes, and Gram-Charlier Models 112
CHAPTER 5
The Heston (1993) Stochastic Volatility Model 136
CHAPTER 6
The Heston and Nandi (2000) GARCH Model 163
CHAPTER 7
The Greeks 187
CHAPTER 8
Exotic Options 230
CHAPTER 9
Parameter Estimation 275

CHAPTER 10
Implied Volatility 304
CHAPTER 11
Model-Free Implied Volatility 322
CHAPTER 12
Model-Free Higher Moments 350
CHAPTER 13
Volatility Returns 374
APPENDIX A
A VBA Primer 404
References 409
About the CD-ROM 413
About the Authors 417
Index 419