Multiscale stochastic volatility for equity, interest rate, and credit derivatives
Auteur :
Fouque, Jean-Pierre / Papanicolaou, George / Sircar, Ronnie / Sølna, Knut
Éditeur :
Cambridge University Press
ISBN :
9780521843584
Date de publication :
29 sept. 2011
Dimensions :
25,4 x 18,1 x 2,7 cm
Poids :
990 g
Langue :
Anglais
Pays d'origine :
Grande Bretagne
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.