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

Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives under stochastic volatility in equity, interest-rate, and credit markets. They present and analyze multiscale sto...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Hauptverfasser: Fouque, Jean-Pierre, Papanicolaou, George, Sircar, Ronnie, Sølna, Knut
Format: E-Book Buch
Sprache:Englisch
Veröffentlicht: Cambridge ; Tokyo Cambridge University Press 2011
Cambridge Univ. Press
Ausgabe:1
Schlagworte:
Derivat
Derivative securities
Derivative securities > Econometric models
Derivative securities > Prices > Mathematical models
Econometric models
Finance > Mathematical models
Hedging (Finance) > Mathematical models
Investments > Mathematical models
Optionspreistheorie
Stochastic processes > Mathematical models
Stochastischer Prozess
Stock exchanges
Stock exchanges > Econometric models
Volatilität
Zins
ISBN:0521843588, 9780521843584
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung:Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives under stochastic volatility in equity, interest-rate, and credit markets. They present and analyze multiscale stochastic volatility models and asymptotic approximations. These can be used in equity markets, for instance, to link the prices of path-dependent exotic instruments to market implied volatilities. The methods are also used for interest rate and credit derivatives. Other applications considered include variance-reduction techniques, portfolio optimization, forward-looking estimation of CAPM 'beta', and the Heston model and generalizations of it. 'Off-the-shelf' formulas and calibration tools are provided to ease the transition for practitioners who adopt this new method. The attention to detail and explicit presentation make this also an excellent text for a graduate course in financial and applied mathematics.
Bibliographie:Other authors: George Papanicolaou, Ronnie Sircar, Knut Sølna
Includes bibliographical references (p. [430]-438) and index
ISBN:0521843588
9780521843584
DOI:10.1017/CBO9781139020534