Coverart for item
The Resource Multiscale stochastic volatility for equity, interest rate, and credit derivatives, Jean-Pierre Fouque [and others], (electronic resource)

Multiscale stochastic volatility for equity, interest rate, and credit derivatives, Jean-Pierre Fouque [and others], (electronic resource)

Label
Multiscale stochastic volatility for equity, interest rate, and credit derivatives
Title
Multiscale stochastic volatility for equity, interest rate, and credit derivatives
Statement of responsibility
Jean-Pierre Fouque [and others]
Title variation
Multiscale Stochastic Volatility for Equity, Interest Rate, & Credit Derivatives
Creator
Subject
Language
eng
Summary
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.--
Assigning source
Provided by publisher
Cataloging source
UkCbUP
http://library.link/vocab/creatorName
Fouque, Jean-Pierre
Index
index present
Literary form
non fiction
Nature of contents
dictionaries
Series statement
Cambridge Social Sciences eBooks
http://library.link/vocab/subjectName
Derivative securities
Label
Multiscale stochastic volatility for equity, interest rate, and credit derivatives, Jean-Pierre Fouque [and others], (electronic resource)
Link
https://eui.idm.oclc.org/login?url=https://doi.org/10.1017/CBO9781139020534
Instantiates
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
CR9781139020534
Dimensions
unknown
Extent
1 online resource (xiii, 441 pages)
Form of item
online
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9781139020534
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
digital, PDF file(s).
Specific material designation
remote
System control number
(OCoLC)826866861
Label
Multiscale stochastic volatility for equity, interest rate, and credit derivatives, Jean-Pierre Fouque [and others], (electronic resource)
Link
https://eui.idm.oclc.org/login?url=https://doi.org/10.1017/CBO9781139020534
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
CR9781139020534
Dimensions
unknown
Extent
1 online resource (xiii, 441 pages)
Form of item
online
Governing access note
Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
Isbn
9781139020534
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
digital, PDF file(s).
Specific material designation
remote
System control number
(OCoLC)826866861

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