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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives 在线电子书 pdf 下载 txt下载 epub 下载 mobi 下载 2024

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
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简体网页||繁体网页
Professor Jean-Pierre Fouque 作者
Cambridge University Press
译者
2011-11-21 出版日期
456 页数
USD 79.00 价格
Hardcover
丛书系列
9780521843584 图书编码

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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives 在线电子书 epub 下载 mobi 下载 pdf 下载 txt 下载 2024

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives 在线电子书 epub 下载 mobi 下载 pdf 下载 txt 下载 2024

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives 在线电子书 pdf 下载 txt下载 epub 下载 mobi 下载 2024


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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives 在线电子书 图书描述

This book builds on previous and current research by the four authors, including results introduced in the book Derivatives in Financial Markets with Stochastic Volatility. Recent research demonstrates that the introduction of two time scales in volatility, a fast and a slow, is needed and efficient for capturing the main features of the observed term structure of implied volatility. For practitioners, the modeling of the implied volatility consistent with no-arbitrage is crucial. The authors present an approach to this problem which consists in combining singular and regular perturbation techniques. The book will serve a dual purpose: present 'off the shelf' formulas and calibration tools for practitioners, and introduce, explain and develop the mathematical framework to handle the multi-scale asymptotics. Detailed presentation of the analysis as well as a thorough insight into the modeling approach makes this an excellent text for a second level graduate course in financial and applied mathematics.

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