Derivatives in Financial Markets with Stochastic Volatility |
 enlarge | Authors: Jean-pierre Fouque, George Papanicolaou, K. Ronnie Sircar
Publisher: Cambridge University Press
Category: Book
List Price: $89.00
Buy New: $71.00
You Save: $18.00 (20%)
New (11) Used (3) from $56.90
Rating:  1 reviews
Sales Rank: 991618
Media: Hardcover
Edition: 1
Pages: 216
Number Of Items: 1
Shipping Weight (lbs): 0.8
Dimensions (in): 9.5 x 6.5 x 0.9
ISBN: 0521791634
Dewey Decimal Number: 332.632
EAN: 9780521791632
ASIN: 0521791634
Publication Date: July 3, 2000
Availability: Usually ships in 1-2 business days
Shipping: International shipping available
Condition: Dust jacket has half inch tear on top of back cover otherwise like new. No markings inside. Pages are clean and bright. Binding is square and tight.
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Editorial Reviews:
Product Description
This important work 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. The authors present mathematical and statistical tools that exploit the volatile nature of the market. 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 with some exposure to methods of stochastic modeling and arbitrage pricing theory in finance. The volume is easily accessible to derivatives practitioners in the financial engineering industry.
Book Description
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 are 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.
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Customer Reviews:
Great book! September 17, 2003
5 out of 11 found this review helpful
This book provides a lucid explanation of how to incorporate stochastic volatility into your favorite model. The book also explains most of the topics from the ground up. Highly recommended!
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