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Multiscale Stochastic Volatility for Equit… 9780521843584 Cond=LN:NSD SKU:766795
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Located in: Welwyn Garden City, United Kingdom
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eBay item number:145565520755
Item specifics
- Condition
- Like New
- Seller Notes
- BIC Subject Area 1
- Stochastics [PBWL]
- BIC Subject Area 2
- Applied mathematics [PBW]
- BIC Subject Area 3
- Finance [KFF]
- ISBN
- 9780521843584
- Publication Year
- 2011
- Type
- Textbook
- Format
- Hardcover
- Language
- English
- Publication Name
- Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
- Item Height
- 254mm
- Publisher
- Cambridge University Press
- Item Width
- 181mm
- Subject
- Finance
- Item Weight
- 990g
- Number of Pages
- 456 Pages
About this product
Product Information
This book builds on previous and current research by the four authors, including results introduced in the book Derivatives in Financial Markets with Stochastic Volatility. Recent research demonstrates that the introduction of two time scales in volatility, a fast and a slow, is needed and efficient for capturing the main features of the observed term structure of implied volatility. For practitioners, the modeling of the implied volatility consistent with no-arbitrage is crucial. The authors present an approach to this problem which consists in combining singular and regular perturbation techniques. The book will serve a dual purpose: present 'off the shelf' formulas and calibration tools for practitioners, and introduce, explain and develop the mathematical framework to handle the multi-scale asymptotics. Detailed presentation of the analysis as well as a thorough insight into the modeling approach makes this an excellent text for a second level graduate course in financial and applied mathematics.
Product Identifiers
Publisher
Cambridge University Press
ISBN-13
9780521843584
eBay Product ID (ePID)
109271351
Product Key Features
Publication Name
Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
Format
Hardcover
Language
English
Subject
Finance
Publication Year
2011
Type
Textbook
Number of Pages
456 Pages
Dimensions
Item Height
254mm
Item Width
181mm
Item Weight
990g
Additional Product Features
Country/Region of Manufacture
United Kingdom
Item description from the seller
Seller assumes all responsibility for this listing.
eBay item number:145565520755
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