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Descripción Taschenbuch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This book is a thought process that begins with a basic understanding of Financial Mathematics that graduates towards an understanding of Stochastic Volatility and in particular a variation of the popular Cox-Ingersoll-Ross Model (CIR). Due to the nature of the research, the beginning chapter outlines key ideas and techniques that need to be understood in order to define what stochastic volatility is, why it came into use, and how to tie theory to practical application. Once done, a question is posed. Does stock price affect the volatility driving process in the CIR Model By utilizing the information presented, the groundwork for this hypothesis is presented in detail. Later parts of the book follow closely along with the work of Jean-Pierre Fouque's analysis of the Ornstein Uhlenbeck (OU) process, by utilizing asymptotic estimation to calculate the pricing process of our CIR Model variation. The final result will then utilize real-time bond prices in order to give an estimate to the equation presented and a conclusion will be drawn. 80 pp. Englisch. Nº de ref. del artículo: 9783838306896
Descripción PAP. Condición: New. New Book. Shipped from UK. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Nº de ref. del artículo: L0-9783838306896
Descripción Taschenbuch. Condición: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - This book is a thought process that begins with a basic understanding of Financial Mathematics that graduates towards an understanding of Stochastic Volatility and in particular a variation of the popular Cox-Ingersoll-Ross Model (CIR). Due to the nature of the research, the beginning chapter outlines key ideas and techniques that need to be understood in order to define what stochastic volatility is, why it came into use, and how to tie theory to practical application. Once done, a question is posed. Does stock price affect the volatility driving process in the CIR Model By utilizing the information presented, the groundwork for this hypothesis is presented in detail. Later parts of the book follow closely along with the work of Jean-Pierre Fouque's analysis of the Ornstein Uhlenbeck (OU) process, by utilizing asymptotic estimation to calculate the pricing process of our CIR Model variation. The final result will then utilize real-time bond prices in order to give an estimate to the equation presented and a conclusion will be drawn. Nº de ref. del artículo: 9783838306896
Descripción PAP. Condición: New. New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. Nº de ref. del artículo: L0-9783838306896
Descripción Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Shen KarlKarl Shen has obtained a Bachelors in Actuarial Mathematics and a Masters in Financial Mathematics from Worcester Polytechnic Institute. His research interest lies in the field of Stochastic Calculus and is currently working. Nº de ref. del artículo: 5411411