株式会社極東書店トップ ＞ 商品一覧 ＞ Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives.
商品詳細
Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives. 株式、金利、クレジット・デリバティブのための マルチスケールな確率的ボラティリティ
・ISBN 978-0-521-84358-4 hard GB£ 70.00
￥22,176.- (税込) ※（※）価格はご注文時の参考価格となります。
納品価格につきましては書籍の入荷時点で確定となります。
版元の原価改定、外国為替の変動等により異なる場合がございますので、予めご了承下さい。
お気に入り
★★★
電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-1-139-02053-4
| 著者・編者 | Fouque, Jean-Pierre / Papanicolaou, G. / Sircar, R. et al., |
|---|---|
| 出版社 | (Cambridge U. Pr., UK) |
| 出版年月 | 2011 |
| ページ数 | 441 pp. |
| 言語 | ENG |
| ニュース番号 | ＜511-303 590-467＞ |
解説
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.