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fouque jean-pierre; papanicolaou george; sircar k. ronnie - derivatives in financial markets with stochastic volatility

Derivatives in Financial Markets with Stochastic Volatility

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Attenzione: Causa chiusura distributori, la spedizione di questo libro potrà avvenire a partire dal 13 gennaio 2025.


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Dettagli

Genere:Libro
Lingua: Inglese
Pubblicazione: 07/2000





Trama

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




Note Editore

This book, first published in 2000, addresses problems in financial mathematics of pricing and hedging derivative securities in an environment of uncertain and changing market volatility. These problems are important to investors from large trading institutions to pension funds. It presents mathematical and statistical tools that exploit the bursty nature of market volatility. The mathematics is introduced through examples and illustrated with simulations and the modeling approach that is described is validated and tested on market data. The material is suitable for a one semester course for graduate students who have had exposure to methods of stochastic modeling and arbitrage pricing theory in finance. It is easily accessible to derivatives practitioners in the financial engineering industry.




Sommario

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.




Prefazione

This book addresses financial mathematics of pricing and hedging derivative securities in uncertain and changing market volatility. The mathematics is introduced through examples and illustrated with simulations, and the modeling approach described is validated and tested on market data. The material is suitable for a one-semester course for graduate students.










Altre Informazioni

ISBN:

9780521791632

Condizione: Nuovo
Dimensioni: 238 x 18 x 161 mm Ø 440 gr
Formato: Copertina rigida
Pagine Arabe: 218


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