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Derivatives in Financial Markets with Stochastic Volatility

Jean-Pierre Fouque, George Papanicolaou, K. Ronnie Sircar
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      This book, first published in 2000, addresses problems in financial mathematics of pricing and hedging derivative securities in an environment of uncertain and changing market volatility. These problems are important to investors from large trading institutions to pension funds. It presents mathematical and statistical tools that exploit the bursty nature of market volatility. The mathematics is introduced through examples and illustrated with simulations and the modeling approach that is described is validated and tested on market data. The material is suitable for a one semester course for graduate students who have had exposure to methods of stochastic modeling and arbitrage pricing theory in finance. It is easily accessible to derivatives practitioners in the financial engineering industry.
      Format: CONTRIBUTORS: Jean-Pierre Fouque, George Papanicolaou, K. Ronnie Sircar EAN: 9780521791632 COUNTRY: United Kingdom PAGES: WEIGHT: 440 g HEIGHT: 238 cm
      PUBLISHED BY: Cambridge University Press DATE PUBLISHED: 2000-07-03 CITY: GENRE: MATHEMATICS / Applied WIDTH: 161 cm SPINE:

      Book Themes:

      Investment and securities, Stochastics

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      This book, first published in 2000, addresses problems in financial mathematics of pricing and hedging derivative securities in an environment of uncertain and changing market volatility. These problems are important to investors from large trading institutions to pension funds. It presents mathematical and statistical tools that exploit the bursty nature of market volatility. The mathematics is introduced through examples and illustrated with simulations and the modeling approach that is described is validated and tested on market data. The material is suitable for a one semester course for graduate students who have had exposure to methods of stochastic modeling and arbitrage pricing theory in finance. It is easily accessible to derivatives practitioners in the financial engineering industry.
      Format: CONTRIBUTORS: Jean-Pierre Fouque, George Papanicolaou, K. Ronnie Sircar EAN: 9780521791632 COUNTRY: United Kingdom PAGES: WEIGHT: 440 g HEIGHT: 238 cm
      PUBLISHED BY: Cambridge University Press DATE PUBLISHED: 2000-07-03 CITY: GENRE: MATHEMATICS / Applied WIDTH: 161 cm SPINE:

      Book Themes:

      Investment and securities, Stochastics

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      Be the first to write a review
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