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Item Details
Title: DERIVATIVES IN FINANCIAL MARKETS WITH STOCHASTIC VOLATILITY
By: Jean-Pierre Fouque, George Papanicolaou, K.Ronnie Sircar
Format: Hardback

List price: £105.00
Our price: £91.88
Discount:
12.5% off
You save: £13.12
ISBN 10: 0521791634
ISBN 13: 9780521791632
Availability: Usually dispatched within 1-3 weeks.
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Publisher: CAMBRIDGE UNIVERSITY PRESS
Pub. date: 3 July, 2000
Pages: 218
Description: This book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market volatility.
Synopsis: This book, first published in 2000, 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 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 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.
Illustrations: illustrations
Publication: UK
Imprint: Cambridge University Press
Returns: Returnable
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