Multiscale stochastic volatility for equity, interest rate, and credit derivatives:
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 sto...
Gespeichert in:
| Beteilige Person: | |
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| Format: | E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Cambridge
Cambridge University Press
2011
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| Links: | https://doi.org/10.1017/CBO9781139020534 |
| Zusammenfassung: | 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. |
| Umfang: | 1 Online-Ressource (xiii, 441 Seiten) |
| ISBN: | 9781139020534 |
Internformat
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| 520 | |a 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. | ||
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| indexdate | 2025-03-03T11:58:05Z |
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| spelling | Fouque, Jean-Pierre Multiscale stochastic volatility for equity, interest rate, and credit derivatives Jean-Pierre Fouque [and others] Multiscale Stochastic Volatility for Equity, Interest Rate, & Credit Derivatives Cambridge Cambridge University Press 2011 1 Online-Ressource (xiii, 441 Seiten) txt c cr 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. Erscheint auch als Druck-Ausgabe 9780521843584 |
| spellingShingle | Fouque, Jean-Pierre Multiscale stochastic volatility for equity, interest rate, and credit derivatives |
| title | Multiscale stochastic volatility for equity, interest rate, and credit derivatives |
| title_alt | Multiscale Stochastic Volatility for Equity, Interest Rate, & Credit Derivatives |
| title_auth | Multiscale stochastic volatility for equity, interest rate, and credit derivatives |
| title_exact_search | Multiscale stochastic volatility for equity, interest rate, and credit derivatives |
| title_full | Multiscale stochastic volatility for equity, interest rate, and credit derivatives Jean-Pierre Fouque [and others] |
| title_fullStr | Multiscale stochastic volatility for equity, interest rate, and credit derivatives Jean-Pierre Fouque [and others] |
| title_full_unstemmed | Multiscale stochastic volatility for equity, interest rate, and credit derivatives Jean-Pierre Fouque [and others] |
| title_short | Multiscale stochastic volatility for equity, interest rate, and credit derivatives |
| title_sort | multiscale stochastic volatility for equity interest rate and credit derivatives |
| work_keys_str_mv | AT fouquejeanpierre multiscalestochasticvolatilityforequityinterestrateandcreditderivatives AT fouquejeanpierre multiscalestochasticvolatilityforequityinterestratecreditderivatives |