Jean-Pierre Fouque (Santa Barbara University of California), George Papanicolaou (California Stanford University), Ronnie Sircar (New Jersey Princeton University)

Gebundenes Buch

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

Beschreibung

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.

Autor

Jean-Pierre Fouque studied at the University Pierre and Marie Curie in Paris. He held positions at the French CNRS and École Polytechnique, and at North Carolina State University. Since 2006, he has been Professor and Director of the Center for Research in Financial Mathematics and Statistics at the University of California, Santa Barbara.

Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 456
• Erscheinungstermin: 29. September 2011
• Englisch
• Abmessung: 250mm x 175mm x 29mm
• Gewicht: 990g
• ISBN-13: 9780521843584
• ISBN-10: 0521843588
• Artikelnr.: 23278218