Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives 1
bokomslag Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

Jean-Pierre Fouque • George Papanicolaou • Ronnie Sircar • Knut Sølna • Jean-Pierre Fouque

Inbunden

1189:-

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  • 456 sidor
  • 2011
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.
  • Författare: Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, Knut Sølna, Jean-Pierre Fouque
  • Format: Inbunden
  • ISBN: 9780521843584
  • Språk: Engelska
  • Antal sidor: 456
  • Utgivningsdatum: 2011-09-29
  • Förlag: Cambridge University Press

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