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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives Hardback - Tapa dura

Fouque; Papanicolaou; Sircar

 
9780521843584: Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives Hardback
Tapa dura
ISBN 10: 0521843588 ISBN 13: 9780521843584
Editorial: Cambridge University Press, 2011

Sinopsis

This research monograph in financial mathematics can also be used as a graduate-level textbook. It explains financial models in which volatility of assets changes randomly over time. These are analyzed with a powerful approximation method and tested on financial data. More advanced topics are discussed in later chapters.

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Acerca de los autores

Jean-Pierre Fouque studied at the University Pierre and Marie Curie in Paris. He held positions at the French CNRS and École Polytechnique, and at North Carolina State University. Since 2006, he has been Professor and Director of the Center for Research in Financial Mathematics and Statistics at the University of California, Santa Barbara.

George Papanicolaou was Professor of Mathematics at the Courant Institute before moving to Stanford University in 1993. He is now Robert Grimmett Professor in the Department of Mathematics at Stanford.

Ronnie Sircar taught for three years at the University of Michigan in the Department of Mathematics before moving to Princeton University in 2000. He is now a Professor in the Operations Research and Financial Engineering Department at Princeton and an affiliate member of the Bendheim Center for Finance and the Program in Applied and Computational Mathematics.

Knut Sølna is a Professor in the Department of Mathematics at the University of California, Irvine. He received his undergraduate and Master's degrees from the Norwegian University of Science and Technology and his doctorate from Stanford University. He was an instructor at the Department of Mathematics, University of Utah before moving to Irvine.

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Editorial
Cambridge University Press
Año de publicación
2011
Idioma
Inglés
ISBN 10 
0521843588
ISBN 13 
9780521843584
Encuadernación
Tapa dura
Número de páginas
456
Contacto del fabricante
no disponible
Persona responsable
gpsr@libri.de
gpsr@libri.de

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