Publisher's Synopsis
The calibration of derivatives has evolved significantly, covering new ground like implied volatility surface static and dynamics, first and higher-generation exotics calibration, local and stochastic volatility models, interest rates or multi-asset correlation modelling, default time modelling, credit derivatives, and more. This book introduces the fundamentals of model calibration by taking an intuitive approach to the Black, Scholes, and Merton and revisiting it in an incomplete markets setting, applying to a range of hedging strategies.
