Jean-Pierre Fouque (Santa Barbara University of California), George Papanicolaou (California Stanford University), Ronnie Sircar (New Jersey Princeton University)

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

By Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar et al.

• Gebundenes Buch

Produktbeschreibung

This research monograph in financial mathematics can also be used as a graduate-level textbook. It explains financial models in which volatility of assets changes randomly over time. These are analyzed with a powerful approximation method and tested on financial data. More advanced topics are discussed in later chapters.

Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 456
• Erscheinungstermin: 29. September 2011
• Englisch
• Abmessung: 250mm x 175mm x 29mm
• Gewicht: 990g
• ISBN-13: 9780521843584
• ISBN-10: 0521843588
• Artikelnr.: 23278218

Autorenporträt

Jean-Pierre Fouque studied at the University Pierre and Marie Curie in Paris. He held positions at the French CNRS and École Polytechnique, and at North Carolina State University. Since 2006, he has been Professor and Director of the Center for Research in Financial Mathematics and Statistics at the University of California, Santa Barbara.

Inhaltsangabe

Introduction; 1. The Black-Scholes theory of derivative pricing; 2. Introduction to stochastic volatility models; 3. Volatility time scales; 4. First order perturbation theory; 5. Implied volatility formulas and calibration; 6. Application to exotic derivatives; 7. Application to American derivatives; 8. Hedging strategies; 9. Extensions; 10. Around the Heston model; 11. Other applications; 12. Interest rate models; 13. Credit risk I: structural models with stochastic volatility; 14. Credit risk II: multiscale intensity-based models; 15. Epilogue; Bibliography; Index.