Derivatives in Financial Markets with Stochastic Volatility

by Jean-Pierre Fouque, K. Ronnie Sircar, George Papanicolaou

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...

• Format: Hardcover
• Language: English
• ISBN: 0521791634
• ISBN13: 9780521791632
• Release Date: July 2000
• Publisher: Cambridge University Press
• Length: 218 Pages
• Weight: 0.95 lbs.
• Dimensions: 0.7" x 6.3" x 9.4"