Derivatives in Financial Markets with Stochastic Volatility
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Derivatives in Financial Markets with Stochastic Volatility by Jean-Pierre Fouque
Book DescriptionThis book, first published in 2000, addresses problems in financial mathematics of pricing and hedging derivative securities in an environment of uncertain and changing market volatility. These problems are important to investors from large trading institutions to pension funds. It presents mathematical and statistical tools that exploit the bursty nature of market volatility. The mathematics is introduced through examples and illustrated with simulations and the modeling approach that is described is validated and tested on market data. The material is suitable for a one semester course for graduate students who have had exposure to methods of stochastic modeling and arbitrage pricing theory in finance. It is easily accessible to derivatives practitioners in the financial engineering industry.
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Book DetailsISBN: 9780521791632
(228mm x 152mm x 16mm)
Imprint: Cambridge University Press
Publisher: Cambridge University Press
Publish Date: 3-Jul-2000
Country of Publication: United Kingdom
Books By Author Jean-Pierre Fouque
Handbook on Systemic Risk, Hardback (May 2013)
Experts in the field provide an introduction to the multifaceted aspects of this critically important topic.
Multiscale Stochastic Volatility for Equity, Interest-Rate and Credit Derivatives, Hardback (September 2011)» View all books by Jean-Pierre Fouque
The authors consolidate and extend ideas from their previous book. Ideal for practitioners and as a graduate-level textbook.
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