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

(Bog, Hardback, Engelsk)
Forfattere: Jean-Pierre (University of California Fouque, George (Stanford University Papanicolaou, Ronnie (Princeton University Sircar, Knut (University of California Sølna
Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
Forlag: Cambridge University Press

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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.

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Alle detaljer

Forlag Cambridge University Press
Forfattere Jean-Pierre (University of California Fouque, George (Stanford University Papanicolaou, Ronnie (Princeton University Sircar, Knut (University of California Sølna
Type Bog
Format Hardback
Sprog Engelsk
Udgivelsesdato 29-09-2011
Første udgivelsesår 2011
Illustrationer 25 Halftones, unspecified; 40 Line drawings, unspecified
Originalsprog United Kingdom
Sideantal 456
Indbinding Hardback
Forlag Cambridge University Press
Sideoplysninger 456 pages, 25 Halftones, unspecified; 40 Line drawings, unspecified
Mål 246 x 181 x 29
ISBN-13 / EAN-13 9780521843584