Multiscale stochastic volatility for equity, interest rate, and credit derivatives / (Record no. 519398)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02260nam a22003258i 4500 |
| 001 - CONTROL NUMBER | |
| control field | CR9781139020534 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | UkCbUP |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20200124160250.0 |
| 006 - FIXED-LENGTH DATA ELEMENTS--ADDITIONAL MATERIAL CHARACTERISTICS--GENERAL INFORMATION | |
| fixed length control field | m|||||o||d|||||||| |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr|||||||||||| |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 141103s2011||||enk o ||1 0|eng|d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9781139020534 (ebook) |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| Cancelled/invalid ISBN | 9780521843584 (hardback) |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | UkCbUP |
| Language of cataloging | eng |
| Description conventions | rda |
| Transcribing agency | UkCbUP |
| 050 04 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HG6024.A3 |
| Item number | F68 2011 |
| 082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 332.642015195 |
| Edition number | 22 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Fouque, Jean-Pierre, |
| Relator term | author. |
| 245 10 - TITLE STATEMENT | |
| Title | Multiscale stochastic volatility for equity, interest rate, and credit derivatives / |
| Statement of responsibility, etc | Jean-Pierre Fouque [and others]. |
| 246 3# - VARYING FORM OF TITLE | |
| Title proper/short title | Multiscale Stochastic Volatility for Equity, Interest Rate, & Credit Derivatives |
| 264 #1 - Production, Publication, Distribution, Manufacture, and Copyright Notice (R) | |
| Place of production, publication, distribution, manufacture (R) | Cambridge : |
| Name of producer, publisher, distributor, manufacturer (R) | Cambridge University Press, |
| Date of production, publication, distribution, manufacture, or copyright notice | 2011. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | 1 online resource (xiii, 441 pages) : |
| Other physical details | digital, PDF file(s). |
| 336 ## - Content Type (R) | |
| Content type term (R) | text |
| Content type code (R) | txt |
| Source (NR) | rdacontent |
| 337 ## - Media Type (R) | |
| Media type term (R) | computer |
| Media type code (R) | c |
| Source (NR) | rdamedia |
| 338 ## - Carrier Type (R) | |
| Carrier type term (R) | online resource |
| Carrier type code (R) | cr |
| Source (NR) | rdacarrier |
| 500 ## - GENERAL NOTE | |
| General note | Title from publisher's bibliographic system (viewed on 05 Oct 2015). |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | 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 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Derivative securities |
| General subdivision | Econometric models. |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Print version: |
| International Standard Book Number | 9780521843584 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://doi.org/10.1017/CBO9781139020534">https://doi.org/10.1017/CBO9781139020534</a> |
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