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

by George C. Papanicolaou, Jean-Pierre Fouque, George Papanicolaou, et al.

No Customer Reviews

Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives under stochastic volatility in equity, interest-rate, and credit markets. They present and analyze multiscale stochastic volatility models and asymptotic approximations. These can be used in equity markets, for instance, to link the prices of path-dependent exotic...

Format:Hardcover

Language:English

ISBN:0521843588

ISBN13:9780521843584

Release Date:November 2011

Publisher:Cambridge University Press

Length:456 Pages

Weight:2.20 lbs.

Dimensions:0.9" x 7.5" x 9.8"

Related Subjects

Business Business & Investing Economics Investing Math Mathematics Popular Economics Science & Math

Customer Reviews

0 rating

Write a review

ThriftBooks sells millions of used books at the lowest everyday prices. We personally assess every book's quality and offer rare, out-of-print treasures. We deliver the joy of reading in recyclable packaging with free standard shipping on US orders over $15. ThriftBooks.com. Read more. Spend less.

Copyright © 2024 Thriftbooks.com Terms of Use | Privacy Policy | Do Not Sell/Share My Personal Information | Cookie Policy | Cookie Preferences | Accessibility Statement
ThriftBooks^® and the ThriftBooks^® logo are registered trademarks of Thrift Books Global, LLC

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

Recommended

Customer Reviews

Popular Categories

Website

My Account

Partnerships

Quick Help

About Us

Follow Us