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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives Fouque, Jean-Pierre (University of California, Santa Barbara)
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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
Fouque, Jean-Pierre (University of California, Santa Barbara)
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.
456 pages, 65 b/w illus.
| Media | Books Hardcover Book (Book with hard spine and cover) |
| Released | September 29, 2011 |
| ISBN13 | 9780521843584 |
| Publishers | Cambridge University Press |
| Pages | 456 |
| Dimensions | 181 × 246 × 29 mm · 978 g |
| Language | English |
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