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

Name: Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
Brand: Cambridge University Press
SKU: 04390668
Price: 97.78 EUR
Availability: InStock
Author: Jean-Pierre Fouque
ISBN: 9780521843584

Jean-Pierre Fouque

Language

English

Book Hardback

Libristo code: 04390668

Publishers Cambridge University Press, September 2011

Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Sto... Full description

Libristo code: 04390668

238 b

97.78 €

191.23 лв

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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.