ISBN: 9780521843584 - multiscale stochastic volatility for equity, interest-rate and credit derivatives (13 Ergebnisse)

Zustand: New. This is a Brand-new US Edition. This Item may be shipped from US or any other country as we have multiple locations worldwide.

Zustand: New. This is a Brand-new US Edition. This Item may be shipped from US or any other country as we have multiple locations worldwide.

Zustand: Used. pp. xiii + 441 Illus.

Zustand: New.

Zustand: Used. pp. xiii + 441.

Zustand: New. The authors consolidate and extend ideas from their previous book. Ideal for practitioners and as a graduate-level textbook. Num Pages: 456 pages, 65 b/w illus. BIC Classification: KFF. Category: (P) Professional & Scholarly. Dimension: 246 x 181 x 29. Weight in Grams: 978. . 2011. Illustrated. hardcover. . . . . …

Zustand: New.

Zustand: As New. Unread book in perfect condition.

Zustand: New. In English.

Zustand: New. The authors consolidate and extend ideas from their previous book. Ideal for practitioners and as a graduate-level textbook. Num Pages: 456 pages, 65 b/w illus. BIC Classification: KFF. Category: (P) Professional & Scholarly. Dimension: 246 x 181 x 29. Weight in Grams: 978. . 2011. Illustrated. hardcover. . . . . Books ship from the US and Ireland. …

Hardcover. Zustand: Brand New. 300 pages. 9.76x7.01x1.18 inches. In Stock.

Buch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. …

Gebundene Ausgabe. Zustand: Neu. 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. Sprache: Englisch Gewicht in Gramm: 903.…