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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives.
The authors consolidate and extend ideas from their previous book. Ideal for practitioners and as a graduate-level textbook.
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | , , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Cambridge :
Cambridge University Press,
2011.
|
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Fouque, Jean-Pierre. | |
| 245 | 1 | 0 | |a Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives. |
| 260 | |a Cambridge : |b Cambridge University Press, |c 2011. | ||
| 300 | |a 1 online resource (458 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 347 | |a data file | ||
| 505 | 0 | |a Cover; MULTISCALE STOCHASTIC VOLATILITY FOR EQUITY, INTEREST RATE, AND CREDIT DERIVATIVES; Title; Copyright; To our families and students; Contents; Introduction; 1 The Black-Scholes Theory of Derivative Pricing; 1.1 Market Model; 1.2 Derivative Contracts; 1.3 Replicating Strategies; 1.4 Risk-Neutral Pricing; 1.5 Risk-Neutral Expectations and Partial Differential Equations; 1.6 American Options and Free Boundary Problems; 1.7 Path-Dependent Derivatives; 1.8 First-Passage Structural Approach to Default; 1.9 Multidimensional Stochastic Calculus; 1.10 Complete Market. | |
| 505 | 8 | |a 2 Introduction to Stochastic Volatility Models2.1 Implied Volatility Surface; 2.2 Local Volatility; 2.3 Stochastic Volatility Models; 2.4 Derivative Pricing; 2.5 General Results on Stochastic Volatility Models; 2.6 Summary and Conclusions; 3 Volatility Time Scales; 3.1 A Simple Picture of Fast and Slow Time Scales; 3.2 Ergodicity and Mean-Reversion; 3.3 Examples of Mean-Reverting Processes; 3.4 Time Scales in Synthetic Returns Data; 3.5 Time Scales in Market Data; 3.6 Multiscale Models; 4 First-Order Perturbation Theory; 4.1 Option Pricing under Multiscale Stochastic Volatility. | |
| 505 | 8 | |a 4.2 Formal Regular and Singular Perturbation Analysis4.3 Parameter Reduction; 4.4 First-Order Approximation: Summary and Discussion; 4.5 Accuracy of First-Order Approximation; 5 Implied Volatility Formulas and Calibration; 5.1 Approximate Call Prices and Implied Volatilities; 5.2 Calibration Procedure; 5.3 Illustration with S & P 500 Data; 5.4 Maturity Cycles; 5.5 Higher-Order Corrections; 6 Application to Exotic Derivatives; 6.1 European Binary Options; 6.2 Barrier Options; 6.3 Asian Options; 7 Application to American Derivatives; 7.1 American Options Valuation under Stochastic Volatility. | |
| 505 | 8 | |a 7.2 Stochastic Volatility Correction for American Put7.3 Parameter Reduction; 7.4 Summary; 8 Hedging Strategies; 8.1 Black-Scholes Delta Hedging; 8.2 The Strategy and its Cost; 8.3 Mean Self-Financing Hedging Strategy; 8.4 A Strategy with Frozen Parameters; 8.5 Strategies Based on Implied Volatilities; 8.6 Martingale Approach to Pricing; 8.7 Non-Markovian Models of Volatility; 9 Extensions; 9.1 Dividends and Varying Interest Rates; 9.2 Probabilistic Representation of the Approximate Prices; 9.3 Second-Order Correction from Fast Scale; 9.4 Second-Order Corrections from Slow and Fast Scales. | |
| 505 | 8 | |a 9.5 Periodic Day Effect9.6 Markovian Jump Volatility Models; 9.7 Multidimensional Models; 10 Around the Heston Model; 10.1 The Heston Model; 10.2 Approximations to the Heston Model; 10.3 A Fast Mean-Reverting Correction to the Heston Model; 10.4 Large Deviations and Short Maturity Asymptotics; 11 Other Applications; 11.1 Application to Variance Reduction in Monte Carlo Computations; 11.2 Portfolio Optimization under Stochastic Volatility; 11.3 Application to CAPM Forward-Looking Beta Estimation; 12 Interest Rate Models; 12.1 The Vasicek Model; 12.2 The Bond Price and its Expansion. | |
| 500 | |a 12.3 The Quadratic Model. | ||
| 520 | |a The authors consolidate and extend ideas from their previous book. Ideal for practitioners and as a graduate-level textbook. | ||
| 588 | 0 | |a Print version record. | |
| 504 | |a Includes bibliographical references (pages 430-438) and index. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 590 | |a eBooks on EBSCOhost |b EBSCO eBook Subscription Academic Collection - Worldwide | ||
| 650 | 0 | |a Derivative securities |x Econometric models. | |
| 650 | 6 | |a Instruments dérivés (Finances) |x Modèles économétriques. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Investments & Securities |x General. |2 bisacsh | |
| 650 | 7 | |a Derivative securities |x Econometric models |2 fast | |
| 700 | 1 | |a Papanicolaou, George. | |
| 700 | 1 | |a Sircar, Ronnie. | |
| 700 | 1 | |a Sølna, Knut. | |
| 758 | |i has work: |a Multiscale stochastic volatility for equity, interest rate, and credit derivatives (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGTxpDvRy9V9qqkqP4dHwd |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |a Fouque, Jean-Pierre. |t Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives. |d Cambridge : Cambridge University Press, ©2011 |z 9780521843584 |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=807167 |z Texto completo |
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