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

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

Jean-Pierre Fouque

107,20 €
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Editorial:
Cambridge University Press
Año de edición:
2011
Materia
Inversiones y títulos valores
ISBN:
9780521843584
107,20 €
IVA incluido
Disponible

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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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