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Name: Stochastic Volatility with Jumps : Models, Algorithms and Implementation.
Author: Mijatovic, Aleksandar / Pistorius, M.
ISBN: 978-1-4665-5646-1

Stochastic Volatility with Jumps : Models, Algorithms and Implementation. ジャンプを伴う確率的ボラティリティ

・ISBN 978-1-4665-5646-1 hard

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著者・編者	Mijatovic, Aleksandar / Pistorius, M.,
シリーズ	Chapman & Hall/CRC Financial Mathematics Series
出版社	(Chapman & Hall / CRC, US)
出版年月	2016
ページ数	356 pp.
言語	ENG
ニュース番号	＜629-561＞

解説

This book presents a thorough treatment of tractable pricing algorithms and models for derivative markets. It discusses the fundamentals of pricing theory, ideal for students and practitioners beginning their careers. The book also covers cutting-edge modeling and risk management issues stemming from stochastic volatility processes with jumps. It includes pseudo-code, exercises, and solutions to selected problems.