Jean-Pierre Fouque, George Papanicolaou, K. Ronnie Sircar

Derivatives in Financial Markets with Stochastic Volatility

• Gebundenes Buch

Produktbeschreibung

This book addresses pricing and hedging derivative securities in uncertain and changing market volatility.

Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 218
• Erscheinungstermin: 1. Januar 2001
• Englisch
• Abmessung: 235mm x 157mm x 18mm
• Gewicht: 511g
• ISBN-13: 9780521791632
• ISBN-10: 0521791634
• Artikelnr.: 21126515

Inhaltsangabe

1. The Black-Scholes theory of derivative pricing
2. Introduction to stochastic volatility models
3. Scales in mean-reverting stochastic volatility
4. Tools for estimating the rate of mean-reversion
5. Symptotics for pricing European derivatives
6. Implementation and stability
7. Hedging strategies
8. Application to exotic derivatives
9. Application to American derivatives
10. Generalizations
11. Applications to interest rates models.