This book, first published in 2000, addresses financial mathematics of pricing and hedging derivative securities in uncertain and changing market volatility. The mathematics is introduced through examples and illustrated with simulations, and the modeling approach described is validated and tested on market data. The material is suitable for a one-semester course for graduate students.
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'… provides a good overview to the theoretical and practical problems when dealing with stochastic volatility'. Ralf Korn, Mathematical Methods of Operations Research
'… something genuinely new … explained with admirable clarity in this extremely well-written book … [which] is short and to the point, and the production quality is high. Buy it.' Mark Davis, Risk Magazine
'… well written and makes ideal reading for a graduate course on mathematical finance. The authors took great care in making their ideas clear. I support this text strongly and recommend it for the intended audience.' P. A. L. Embrechts, Publication of the International Statistical Institute
'Thanks to a well-written first chapter on the Black-Scholes theory of derivative pricing, the book is essentially self-contained if one has some basic knowledge in stochastic methods and arbitrage pricing. Its style is largely informal which makes it also accessible to practitioners in the finance industry.' M. Schweizer, Zentralblatt für Mathematik
'… an excellent book that succeeds admirably in all its aims. It can satisfy both practitioners and researchers at the same time. It is very well written and it is concise and informative.' Angelos Dassios, The Statistician
'I consider this book to be an outstanding achievement. the theory is practically very relevant and scientifically on a high level. The book also serves as a good introduction into the basic ideas of Mathematical Finance, putting emphasis on the techniques of partial differential equations. It can therefore also be recommended to readers with little knowledge about Mathematical Finance.' Monatshefte für Mathematik
"Sobre este título" puede pertenecer a otra edición de este libro.
Descripción Cambridge Univ Pr, China, 2011. Soft cover. Estado de conservación: Brand New. 12mo - over 6¾ - 7¾" tall. International edition Brand New SOFT COVERexpedite delivery. Nº de ref. de la librería 001326
Descripción Cambridge University Press. Hardcover. Estado de conservación: New. 0521791634 New Condition. Nº de ref. de la librería NEW4.0283276
Descripción Cambridge University Press, 2000. Hardcover. Estado de conservación: New. 1. Nº de ref. de la librería DADAX0521791634
Descripción Cambridge University Press, 2000. Estado de conservación: New. Brand New, Unread Copy in Perfect Condition. A+ Customer Service! Summary: 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. Nº de ref. de la librería ABE_book_new_0521791634
Descripción Cambridge Univ Pr, 2000. Hardcover. Estado de conservación: Brand New. 1st edition. 201 pages. 9.00x6.00x0.75 inches. In Stock. Nº de ref. de la librería __0521791634
Descripción Cambridge University Press, 2000. Hardcover. Estado de conservación: New. Nº de ref. de la librería SONG0521791634
Descripción Cambridge University Press, 2000. HRD. Estado de conservación: New. New Book. Shipped from US within 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Nº de ref. de la librería I1-9780521791632
Descripción 2000. Hardback. Estado de conservación: NEW. 9780521791632 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. Nº de ref. de la librería HTANDREE0476006
Descripción Cambridge University Press, 2000. HRD. Estado de conservación: New. New Book. Delivered from our US warehouse in 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Nº de ref. de la librería I1-9780521791632
Descripción Cambridge University Press, 2016. Paperback. Estado de conservación: New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. Nº de ref. de la librería ria9780521791632_lsuk