Derivatives in financial markets with stochastic volatility
Auteur :
Fouque, Jean-Pierre / Papanicolaou, George / Sircar, K. Ronnie
Éditeur :
Cambridge University Press
ISBN :
9780521791632
Date de publication :
3 juil. 2000
Dimensions :
23,8 x 16,1 x 1,8 cm
Poids :
440 g
Langue :
Anglais
Pays d'origine :
Grande Bretagne
This book, first published in 2000, 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.