Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives under stochastic volatility in equity, interest-rate, and credit markets. They present and analyze multiscale stochastic volatility models and asymptotic approximations. These can be used in equity markets, for instance, to link the prices of path-dependent exotic instruments to market implied volatilities. The methods are also used for ...
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Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives under stochastic volatility in equity, interest-rate, and credit markets. They present and analyze multiscale stochastic volatility models and asymptotic approximations. These can be used in equity markets, for instance, to link the prices of path-dependent exotic instruments to market implied volatilities. The methods are also used for interest rate and credit derivatives. Other applications considered include variance-reduction techniques, portfolio optimization, forward-looking estimation of CAPM 'beta', and the Heston model and generalizations of it. 'Off-the-shelf' formulas and calibration tools are provided to ease the transition for practitioners who adopt this new method. The attention to detail and explicit presentation make this also an excellent text for a graduate course in financial and applied mathematics.
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Add this copy of Multiscale Stochastic Volatility for Equity, Interest to cart. $68.92, good condition, Sold by Anybook rated 5.0 out of 5 stars, ships from Lincoln, UNITED KINGDOM, published 2011 by Cambridge University Press.
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This is an ex-library book and may have the usual library/used-book markings inside. This book has hardback covers. Clean from markings. In good all round condition. Please note the Image in this listing is a stock photo and may not match the covers of the actual item, 1050grams, ISBN: 9780521843584.
Add this copy of Multiscale Stochastic Volatility for Equity, Interest to cart. $86.94, new condition, Sold by Ria Christie Books rated 4.0 out of 5 stars, ships from Uxbridge, MIDDLESEX, UNITED KINGDOM, published 2011 by Cambridge University Press.
Add this copy of Multiscale Stochastic Volatility for Equity, Interest to cart. $86.95, new condition, Sold by Ria Christie Books rated 4.0 out of 5 stars, ships from Uxbridge, MIDDLESEX, UNITED KINGDOM, published 2011 by Cambridge University Press.
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Add this copy of Multiscale Stochastic Volatility for Equity, Interest to cart. $66.47, new condition, Sold by discount_scientific_books rated 4.0 out of 5 stars, ships from Sterling Heights, MI, UNITED STATES, published 2011 by Cambridge University Press.
Add this copy of Multiscale Stochastic Volatility for Equity, Interest to cart. $68.98, new condition, Sold by discount_scientific_books rated 4.0 out of 5 stars, ships from Sterling Heights, MI, UNITED STATES, published 2011 by Cambridge University Press.
