Multiscale stochastic volatility for equity, interest rate, and credit derivatives /
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 sto...
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Cambridge :
Cambridge University Press,
2011.
|
| Subjects: | |
| Online Access: | CONNECT |
MARC
| LEADER | 00000nam a22000008i 4500 | ||
|---|---|---|---|
| 001 | mig00005067327 | ||
| 003 | UkCbUP | ||
| 005 | 20160224090748.0 | ||
| 006 | m|||||o||d|||||||| | ||
| 007 | cr|||||||||||| | ||
| 008 | 141103s2011||||enk o ||1 0|eng|d | ||
| 020 | |a 9781139020534 (ebook) | ||
| 020 | |z 9780521843584 (hardback) | ||
| 035 | 0 | 0 | |a ocm00000001camebacr9781139020534 |
| 040 | |a UkCbUP |b eng |e rda |c UkCbUP | ||
| 050 | 0 | 4 | |a HG6024.A3 |b F68 2011 |
| 082 | 0 | 0 | |a 332.642015195 |2 22 |
| 099 | |a Electronic book | ||
| 100 | 1 | |a Fouque, Jean-Pierre, |e author. | |
| 245 | 1 | 0 | |a Multiscale stochastic volatility for equity, interest rate, and credit derivatives / |c Jean-Pierre Fouque [and others]. |
| 246 | 3 | |a Multiscale Stochastic Volatility for Equity, Interest Rate, & Credit Derivatives | |
| 264 | 1 | |a Cambridge : |b Cambridge University Press, |c 2011. | |
| 300 | |a 1 online resource (xiii, 441 pages) : |b digital, PDF file(s). | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 500 | |a Title from publisher's bibliographic system (viewed on 05 Oct 2015). | ||
| 520 | |a 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. | ||
| 650 | 0 | |a Derivative securities |x Econometric models. | |
| 730 | 0 | |a Cambridge EBA Collection | |
| 776 | 0 | 8 | |i Print version: |z 9780521843584 |
| 856 | 4 | 0 | |u https://ezproxy.mtsu.edu/login?url=https://doi.org/10.1017/CBO9781139020534 |z CONNECT |t 0 |
| 907 | |a 3906056 |b 08-25-20 |c 03-18-19 | ||
| 998 | |a wi |b 08-25-20 |c m |d z |e - |f eng |g enk |h 0 |i 2 | ||
| 999 | f | f | |i 14aebe62-3b00-4e20-bf45-ef4d616cb8c9 |s 88ec0503-f46c-46f4-8edf-da7f0f2cbf13 |t 0 |
| 952 | f | f | |a Middle Tennessee State University |b Main |c James E. Walker Library |d Electronic Resources |t 0 |e HG6024.A3 F68 2011 |h Library of Congress classification |
| 856 | 4 | 0 | |t 0 |u https://ezproxy.mtsu.edu/login?url=https://doi.org/10.1017/CBO9781139020534 |z CONNECT |
