Derivatives in Financial Markets with Stochastic Volatility
Publisher: Cambridge University Press
Published: July 3, 2000
Language: eng
Format: Hardcover
Number of pages: 216
ISBN-13: 9780521791632
Subjects: Investment & securities; Stochastics; Science/Mathematics; Economics - General; Mathematical Economics; Securities; Business & Economics; Business / Economics / Finance; Probability & Statistics - General; Financial institutions; Accounting - General; Investments & Securities - General; Mathematics / Applied; Derivative securities
First sentence: The aim of this first chapter is to review the basic objects, ideas, and results of the now classical black-Scholes theory of derivative pricing.
Description: "This book 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 ranging from large trading institutions to pension funds. The authors present mathematical and statistical tools that exploit the "bursty" nature of market volatility. The mathematics is introduced through examples and illustrated with simulations, and the approach described is validated and tested on market data."

"The material is suitable for a one-semester course for graduate students who have been exposed to methods of stochastic modeling and arbitrage pricing theory in finance. It is easily accessible to derivatives practitioners in the financial engineering industry."--Jacket.