Derivatives in Financial Markets with Stochastic Volatility

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

202 pages, parution le 15/03/2002

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Résumé

This book 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.

Contents

Introduction

The Black-Scholes Theory of Derivates Pricing
Introduction to Stochastic Volatility Models
Scales in Mean-Reverting Stochastic Volatility
Tools for Estimating the Rate of Mean Reversion
Asymptotics for Pricing European Derivates
Implementation and Stability
Hedging Strategies
Application to Exotic Derivates
Application to American Derivates
Generalizations
Applications to Interest-Rate Models

Bibliography
Index

Caractéristiques techniques

	PAPIER
Éditeur(s)	Cambridge University Press
Auteur(s)	Jean-Pierre Fouque, George Papanicolaou, K. Ronnie Sircar
Parution	15/03/2002
Nb. de pages	202
Format	16 x 23,5
Couverture	Broché
Poids	435g
Intérieur	Noir et Blanc
EAN13	9780521791632
ISBN13	978-0-521-79163-2