Multiscale stochastic volatility for equity, interest rate, and credit derivatives

著者

• Fouque, Jean-Pierre
• Papanicolaou, George
• Sircar, Ronnie
• Sølna, Knut

書誌事項

Multiscale stochastic volatility for equity, interest rate, and credit derivatives

Jean-Pierre Fouque ... [et al.]

Cambridge University Press, 2011

注記

Includes bibliographical references (p. [430]-438) and index

Other authors: George Papanicolaou, Ronnie Sircar, Knut Sølna

詳細情報

• NII書誌ID(NCID): BB06928398
• ISBN:
  • 9780521843584
• 出版国コード: uk
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Cambridge ; Tokyo
• ページ数/冊数: xiii, 441 p.
• 大きさ: 26 cm
• 分類:
  • DC22 : 332.642015195
• 件名:
  • LCSH : Stock exchanges -- Econometric models
  • LCSH : Derivative securities -- Prices -- Mathematical models
  • LCSH : Hedging (Finance) -- Mathematical models
  • LCSH : Stochastic processes -- Mathematical models
  • LCSH : Investments -- Mathematical models
  • LCSH : Finance -- Mathematical models
  • LCSH : Derivative securities -- Econometric models