Derivatives in Financial Markets with Stochastic Volatility
Editorial Reviews
Review
'... provides a good overview to the theoretical and practical problems when dealing with stochastic volatility'. Ralf Korn, Mathematical Methods of Operations Research
'... something genuinely new ... explained with admirable clarity in this extremely well-written book ... [which] is short and to the point, and the production quality is high. Buy it.' Mark Davis, Risk Magazine
'... well written and makes ideal reading for a graduate course on mathematical finance. The authors took great care in making their ideas clear. I support this text strongly and recommend it for the intended audience.' P. A. L. Embrechts, Publication of the International Statistical Institute
Book Description
This important work 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. The authors present mathematical and statistical tools that exploit the volatile nature of the market. 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 with some exposure to methods of stochastic modeling and arbitrage pricing theory in finance. The volume is easily accessible to derivatives practitioners in the financial engineering industry.
Derivatives in Financial Markets with Stochastic Volatility
Derivatives in Financial Markets with Stochastic Volatility,Jean-Pierre Fouque,George Papanicolaou,K. Ronnie Sircar,Cambridge University Press,0521791634,Accounting - General,Business & Economics,Business / Economics / Finance,Derivative securities,Economics - General,Financial institutions,Investments & Securities - General,Mathematical Economics,Probability & Statistics - General,Science/Mathematics,Securities,Investment & securities,Mathematics / Applied,Stochastics
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