Derivatives in financial markets with stochastic volatility
著者
書誌事項
Derivatives in financial markets with stochastic volatility
Cambridge University Press, 2000
- : hard
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注記
Bibliography: p. 195-197
Includes index
内容説明・目次
内容説明
This book, first published in 2000, 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 from large trading institutions to pension funds. It presents mathematical and statistical tools that exploit the bursty nature of market volatility. The mathematics is introduced through examples and illustrated with simulations and the modeling approach that is described is validated and tested on market data. The material is suitable for a one semester course for graduate students who have had exposure to methods of stochastic modeling and arbitrage pricing theory in finance. It is easily accessible to derivatives practitioners in the financial engineering industry.
目次
- 1. The Black-Scholes theory of derivative pricing
- 2. Introduction to stochastic volatility models
- 3. Scales in mean-reverting stochastic volatility
- 4. Tools for estimating the rate of mean-reversion
- 5. Symptotics for pricing European derivatives
- 6. Implementation and stability
- 7. Hedging strategies
- 8. Application to exotic derivatives
- 9. Application to American derivatives
- 10. Generalizations
- 11. Applications to interest rates models.
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