Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
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 fi
FOUQUE, JEAN-PIERRE (UNIVERSITY OF CALIFORNIA, SANTA BARBARA),PAPANICOLAOU, GEORGE (STANFORD UNIVERSITY, CALIFORNIA),SIRCAR, RONNIE (PRINCETON UNIVERSITY, NEW JERSEY),SØLNA, KNUT (UNIVERSITY OF CALIFORNIA, IRVINE)
Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
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 fi
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9780521843584Mladinska knjiga ID
9780521843584Leto izida
2011Datum izida
29.09.2011Število strani
456Status dobavljivosti
7-10 delovnih dniZaložnik
Cambridge University PressAvtor
Fouque, Jean-Pierre (University of California, Santa Barbara),Papanicolaou, George (Stanford University, California),Sircar, Ronnie (Princeton University, New Jersey),Sølna, Knut (University of California, Irvine)Dimenzije
246 x 181 x 29BIC
KFFOpis
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.Pogosto kupljeno skupaj
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