Open Daily: 10am - 10pm | Alley door pickup 10am - 7pm 3038 Hennepin Ave Minneapolis, MN
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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

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

Fouque, Jean-Pierre

Hardcover

Investing & FinanceGeneral MathematicsProbability & Statistics

ISBN10: 0521843588
ISBN13: 9780521843584
Publisher: Cambridge University Press
Published: Sep 29 2011
Pages: 456
Weight: 2.20
Height: 0.90 Width: 7.50 Depth: 9.80
Language: English
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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