Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
Inbunden, Engelska, 2011
Av Santa Barbara) Fouque, Jean-Pierre (University of California, California) Papanicolaou, George (Stanford University, New Jersey) Sircar, Ronnie (Princeton University, Irvine) Sølna, Knut (University of California, Jean-Pierre Fouque
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Fri frakt för medlemmar vid köp för minst 249 kr.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.
Produktinformation
- Utgivningsdatum2011-09-29
- Mått181 x 246 x 29 mm
- Vikt978 g
- FormatInbunden
- SpråkEngelska
- Antal sidor456
- FörlagCambridge University Press
- ISBN9780521843584
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