Stochastic Volatility Modeling
Language: en
Pages: 520
Authors: Lorenzo Bergomi
Categories: Business & Economics
Type: BOOK - Published: 2015-12-16 - Publisher: CRC Press

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Packed with insights, Lorenzo Bergomi's Stochastic Volatility Modeling explains how stochastic volatility is used to address issues arising in the modeling of d
Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
Language: en
Pages: 456
Authors: Jean-Pierre Fouque
Categories: Mathematics
Type: BOOK - Published: 2011-09-29 - Publisher: Cambridge University Press

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Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility, the authors study the pricing and hedgin
Modelling and Simulation of Stochastic Volatility in Finance
Language: en
Pages: 219
Authors: Christian Kahl
Categories: Business & Economics
Type: BOOK - Published: 2008 - Publisher: Universal-Publishers

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The famous Black-Scholes model was the starting point of a new financial industry and has been a very important pillar of all options trading since. One of its
Stochastic Volatility
Language: en
Pages: 534
Authors: Neil Shephard
Categories: Business & Economics
Type: BOOK - Published: 2005 - Publisher: Oxford University Press, USA

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Stochastic volatility is the main concept used in the fields of financial economics and mathematical finance to deal with time-varying volatility in financial m
Derivatives in Financial Markets with Stochastic Volatility
Language: en
Pages: 222
Authors: Jean-Pierre Fouque
Categories: Business & Economics
Type: BOOK - Published: 2000-07-03 - Publisher: Cambridge University Press

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This book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market volatility.