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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivati…

freshlyprintedbooks
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Located in: AL7 1AD, United Kingdom
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eBay item number:394493821112
Last updated on 06 Mar, 2024 06:28:05 GMTView all revisionsView all revisions

Item specifics

Condition
New: A new, unread, unused book in perfect condition with no missing or damaged pages. See the ...
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
Author
Knut Solna, Ronnie Sircar, Jean-Pierre Fouque, George Papanicolaou
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

Author
Knut Solna, Ronnie Sircar, Jean-Pierre Fouque, George Papanicolaou
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

Title_Author
Knut Solna, George Papanicolaou, Ronnie Sircar, Jean-Pierre Fouque
Country/Region of Manufacture
United Kingdom

Item description from the seller

Business seller information

PARTRAD LIMITED
Jonathan Parkins
10B Blenheim Court
Brownfields
Welwyn Garden City
Hertfordshire
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