Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives - Fouque, Jean-Pierre (University of California, Santa Barbara) - Books - Cambridge University Press - 9780521843584 - September 29, 2011
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Fouque, Jean-Pierre (University of California, Santa Barbara)
Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

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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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