Skip to content
Register Sign in Wishlist
Derivatives in Financial Markets with Stochastic Volatility

Derivatives in Financial Markets with Stochastic Volatility

£86.99

  • Date Published: September 2000
  • availability: Available
  • format: Hardback
  • isbn: 9780521791632

£ 86.99
Hardback

Add to cart Add to wishlist

Looking for an inspection copy?

This title is not currently available on inspection

Description
Product filter button
Description
Contents
Resources
Courses
About the Authors
  • This book, first published in 2000, addresses problems in financial mathematics of pricing and hedging derivative securities in an environment of uncertain and changing market volatility. These problems are important to investors from large trading institutions to pension funds. It presents mathematical and statistical tools that exploit the bursty nature of market volatility. The mathematics is introduced through examples and illustrated with simulations and the modeling approach that is described is validated and tested on market data. The material is suitable for a one semester course for graduate students who have had exposure to methods of stochastic modeling and arbitrage pricing theory in finance. It is easily accessible to derivatives practitioners in the financial engineering industry.

    • Gives thorough but easy presentation of stochastic calculus for financial models
    • Covers all material needed for masters-level course on derivatives
    • Written by leading authorities in stochastic modelling
    Read more

    Reviews & endorsements

    '… provides a good overview to the theoretical and practical problems when dealing with stochastic volatility'. Ralf Korn, Mathematical Methods of Operations Research

    '… something genuinely new … explained with admirable clarity in this extremely well-written book … [which] is short and to the point, and the production quality is high. Buy it.' Mark Davis, Risk Magazine

    '… well written and makes ideal reading for a graduate course on mathematical finance. The authors took great care in making their ideas clear. I support this text strongly and recommend it for the intended audience.' P. A. L. Embrechts, Publication of the International Statistical Institute

    'Thanks to a well-written first chapter on the Black-Scholes theory of derivative pricing, the book is essentially self-contained if one has some basic knowledge in stochastic methods and arbitrage pricing. Its style is largely informal which makes it also accessible to practitioners in the finance industry.' M. Schweizer, Zentralblatt für Mathematik

    '… an excellent book that succeeds admirably in all its aims. It can satisfy both practitioners and researchers at the same time. It is very well written and it is concise and informative.' Angelos Dassios, The Statistician

    'I consider this book to be an outstanding achievement. the theory is practically very relevant and scientifically on a high level. The book also serves as a good introduction into the basic ideas of Mathematical Finance, putting emphasis on the techniques of partial differential equations. It can therefore also be recommended to readers with little knowledge about Mathematical Finance.' Monatshefte für Mathematik

    See more reviews

    Customer reviews

    Not yet reviewed

    Be the first to review

    Review was not posted due to profanity

    ×

    , create a review

    (If you're not , sign out)

    Please enter the right captcha value
    Please enter a star rating.
    Your review must be a minimum of 12 words.

    How do you rate this item?

    ×

    Product details

    • Date Published: September 2000
    • format: Hardback
    • isbn: 9780521791632
    • length: 218 pages
    • dimensions: 238 x 161 x 18 mm
    • weight: 0.44kg
    • availability: Available
  • Table of Contents

    1. The Black-Scholes theory of derivative pricing
    2. Introduction to stochastic volatility models
    3. Scales in mean-reverting stochastic volatility
    4. Tools for estimating the rate of mean-reversion
    5. Symptotics for pricing European derivatives
    6. Implementation and stability
    7. Hedging strategies
    8. Application to exotic derivatives
    9. Application to American derivatives
    10. Generalizations
    11. Applications to interest rates models.

  • Resources for

    Derivatives in Financial Markets with Stochastic Volatility

    Jean-Pierre Fouque, George Papanicolaou, K. Ronnie Sircar

    General Resources

    Find resources associated with this title

    Type Name Unlocked * Format Size

    Showing of

    Back to top

    This title is supported by one or more locked resources. Access to locked resources is granted exclusively by Cambridge University Press to lecturers whose faculty status has been verified. To gain access to locked resources, lecturers should sign in to or register for a Cambridge user account.

    Please use locked resources responsibly and exercise your professional discretion when choosing how you share these materials with your students. Other lecturers may wish to use locked resources for assessment purposes and their usefulness is undermined when the source files (for example, solution manuals or test banks) are shared online or via social networks.

    Supplementary resources are subject to copyright. Lecturers are permitted to view, print or download these resources for use in their teaching, but may not change them or use them for commercial gain.

    If you are having problems accessing these resources please contact lecturers@cambridge.org.

  • Authors

    Jean-Pierre Fouque, North Carolina State University

    George Papanicolaou, Stanford University, California

    K. Ronnie Sircar, University of Michigan

Sign In

Please sign in to access your account

Cancel

Not already registered? Create an account now. ×

Sorry, this resource is locked

Please register or sign in to request access. If you are having problems accessing these resources please email lecturers@cambridge.org

Register Sign in
Please note that this file is password protected. You will be asked to input your password on the next screen.

» Proceed

You are now leaving the Cambridge University Press website. Your eBook purchase and download will be completed by our partner www.ebooks.com. Please see the permission section of the www.ebooks.com catalogue page for details of the print & copy limits on our eBooks.

Continue ×

Continue ×

Continue ×

Find content that relates to you

Join us online

This site uses cookies to improve your experience. Read more Close

Are you sure you want to delete your account?

This cannot be undone.

Cancel

Thank you for your feedback which will help us improve our service.

If you requested a response, we will make sure to get back to you shortly.

×
Please fill in the required fields in your feedback submission.
×