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 | | Derivatives in Financial Markets with Stochastic Volatility by Jean-Pierre Fouque, George Papanicolaou, K. Ronnie Sircar ISBN-10: 9780521791632 ISBN-10: 0-521-79163-4 ISBN-13: 9780521791632 ISBN-13: 978-0-521-79163-2 Hardcover 2000-07-03 Cambridge University Press Find Lowest Price |
Editorials | ||
Product Description This important work 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. The authors present mathematical and statistical tools that exploit the volatile nature of the market. 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 with some exposure to methods of stochastic modeling and arbitrage pricing theory in finance. The volume is easily accessible to derivatives practitioners in the financial engineering industry. | ||
Book Description This book 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 are 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. | ||
Reviews | ||
Great book! This book provides a lucid explanation of how to incorporate stochastic volatility into your favorite model. The book also explains most of the topics from the ground up. Highly recommended! | ||