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

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

Multiscale_Stochastic_Volatility.pdf (3.47 MB, 需要: 5 个论坛币)

2012-10-24 13:05:27 上传

需要: 5 个论坛币  [购买]

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (Mathematics, Finance & Risk) Jean-Pierre Fouque (Author), George Papanicolaou (Author), Ronnie Sircar (Author), Knut Sølna (Author)


Publication Date: November 21, 2011 | Series: Mathematics, Finance & Risk
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 instruments to market implied volatilities. The methods are also used for interest rate and credit derivatives. Other applications considered include variance-reduction techniques, portfolio optimization, forward-looking estimation of CAPM "beta," and the Heston model and generalizations of it. "Off-the-shelf" formulas and calibration tools are provided to ease the transition for practitioners who adopt this new method. The attention to detail and explicit presentation make this also an excellent text for a graduate course in financial and applied mathematics.



Hardcover: 456 pages Publisher: Cambridge University Press (November 21, 2011) Language: English ISBN-10: 0521843588 ISBN-13: 978-0521843584

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏2 回帖

关键词：Multiscale Stochastic Volatility Stochast interest amp

是一本好书，谢谢推荐

thanks for sharing !!!

thanks for sharing。。。。

thanks for your sharing

thanks for sharing~~

来得真及时