| 000 | 02260nam a22003258i 4500 | ||
|---|---|---|---|
| 001 | CR9781139020534 | ||
| 003 | UkCbUP | ||
| 005 | 20200124160250.0 | ||
| 006 | m|||||o||d|||||||| | ||
| 007 | cr|||||||||||| | ||
| 008 | 141103s2011||||enk o ||1 0|eng|d | ||
| 020 | _a9781139020534 (ebook) | ||
| 020 | _z9780521843584 (hardback) | ||
| 040 |
_aUkCbUP _beng _erda _cUkCbUP |
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| 050 | 0 | 4 |
_aHG6024.A3 _bF68 2011 |
| 082 | 0 | 0 |
_a332.642015195 _222 |
| 100 | 1 |
_aFouque, Jean-Pierre, _eauthor. |
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| 245 | 1 | 0 |
_aMultiscale stochastic volatility for equity, interest rate, and credit derivatives / _cJean-Pierre Fouque [and others]. |
| 246 | 3 | _aMultiscale Stochastic Volatility for Equity, Interest Rate, & Credit Derivatives | |
| 264 | 1 |
_aCambridge : _bCambridge University Press, _c2011. |
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| 300 |
_a1 online resource (xiii, 441 pages) : _bdigital, PDF file(s). |
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| 336 |
_atext _btxt _2rdacontent |
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| 337 |
_acomputer _bc _2rdamedia |
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| 338 |
_aonline resource _bcr _2rdacarrier |
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| 500 | _aTitle from publisher's bibliographic system (viewed on 05 Oct 2015). | ||
| 520 | _aBuilding 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 |
_aDerivative securities _xEconometric models. |
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| 776 | 0 | 8 |
_iPrint version: _z9780521843584 |
| 856 | 4 | 0 | _uhttps://doi.org/10.1017/CBO9781139020534 |
| 999 |
_c519398 _d519396 |
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