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

by George C. Papanicolaou, Jean-Pierre Fouque, George Papanicolaou, et al.

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...

• Format: Hardcover
• Language: English
• ISBN: 0521843588
• ISBN13: 9780521843584
• Release Date: November 2011
• Publisher: Cambridge University Press
• Length: 456 Pages
• Weight: 2.20 lbs.
• Dimensions: 0.9" x 7.5" x 9.8"