Boekstra.nl - Fouque, Jean-Pierre (University of California, Papanicolaou, George (Stanford University, Sircar, Ronnie (Princeton University, Sølna, Knut (University of California - Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

Fouque, Jean-Pierre (University of California, Papanicolaou, George (Stanford University, Sircar, Ronnie (Princeton University, Sølna, Knut (University of California

Omschrijving

This research monograph in financial mathematics can also be used as a graduate-level textbook. It explains financial models in which volatility of assets changes randomly over time. These are analyzed with a powerful approximation method and tested on financial data. More advanced topics are discussed in later chapters.

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Schrijver: Fouque, Jean-Pierre (University of California, Papanicolaou, George (Stanford University, Sircar, Ronnie (Princeton University, Sølna, Knut (University of California
Titel: Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
Uitgever: Cambridge University Press

Jaar: 2011
Taal: Engels
Pagina's: 456
Gewicht: 992 gr

EAN: 9780521843584
Afmetingen: 254 x 182 x 29 mm
Bindwijze: Gebonden

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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

Fouque, Jean-Pierre (University of California, Papanicolaou, George (Stanford University, Sircar, Ronnie (Princeton University, Sølna, Knut (University of California

Omschrijving

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