Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
eBook - PDF

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

  1. 458 pages
  2. English
  3. PDF
  4. Available on iOS & Android
eBook - PDF

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

About this book

Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives under stochastic volatility in equity, interest-rate, and credit markets. They present and analyze multiscale stochastic volatility models and asymptotic approximations. These can be used in equity markets, for instance, to link the prices of path-dependent exotic instruments to market implied volatilities. The methods are also used for interest rate and credit derivatives. Other applications considered include variance-reduction techniques, portfolio optimization, forward-looking estimation of CAPM 'beta', and the Heston model and generalizations of it. 'Off-the-shelf' formulas and calibration tools are provided to ease the transition for practitioners who adopt this new method. The attention to detail and explicit presentation make this also an excellent text for a graduate course in financial and applied mathematics.

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Information

Publisher
Cambridge University Press
Year
2011
Print ISBN
9780521843584
eBook ISBN
9781139153232
Topic
Mathematics
Subtopic
Applied Mathematics
Index
Mathematics

Table of contents

  1. Cover
  2. MULTISCALE STOCHASTIC VOLATILITY FOR EQUITY, INTEREST RATE, AND CREDIT DERIVATIVES
  3. Title
  4. Copyright
  5. To our families and students
  6. Contents
  7. Introduction
  8. 1 The Black–Scholes Theory of Derivative Pricing
  9. 2 Introduction to Stochastic Volatility Models
  10. 3 Volatility Time Scales
  11. 4 First-Order Perturbation Theory
  12. 5 Implied Volatility Formulas and Calibration
  13. 6 Application to Exotic Derivatives
  14. 7 Application to American Derivatives
  15. 8 Hedging Strategies
  16. 9 Extensions
  17. 10 Around the Heston Model
  18. 11 Other Applications
  19. 12 Interest Rate Models
  20. 13 Credit Risk I: Structural Models with Stochastic Volatility
  21. 14 Credit Risk II: Multiscale Intensity-Based Models
  22. 15 Epilogue
  23. References
  24. Index

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Yes, you can access Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives by Jean-Pierre Fouque,George Papanicolaou,Ronnie Sircar,Knut Sølna in PDF and/or ePUB format, as well as other popular books in Mathematics & Applied Mathematics. We have over 1.5 million books available in our catalogue for you to explore.