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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives 在線電子書 pdf 下載 txt下載 epub 下載 mobi 下載 2024

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
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Professor Jean-Pierre Fouque 作者
Cambridge University Press
譯者
2011-11-21 出版日期
456 頁數
USD 79.00 價格
Hardcover
叢書系列
9780521843584 圖書編碼

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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives 在線電子書 epub 下載 mobi 下載 pdf 下載 txt 下載 2024

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives 在線電子書 epub 下載 pdf 下載 mobi 下載 txt 下載 2024

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives 在線電子書 pdf 下載 txt下載 epub 下載 mobi 下載 2024


Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives 在線電子書 用戶評價

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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives 在線電子書 著者簡介

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives 在線電子書 著者簡介

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives 在線電子書 pdf 下載 txt下載 epub 下載 mobi 在線電子書下載

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives 在線電子書 圖書描述

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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