9783032265753 - volterra volatility models: option pricing and hedging (springer finance) de di nunno, giulia; mishura, yuliya; yurchenko-tytarenko, anton (8 resultados)
Volterra Volatility Models: Option Pricing and Hedging (Springer Finance)
Di Nunno, Giulia; Mishura, Yuliya; Yurchenko-Tytarenko, Anton
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Librería: California Books, Miami, FL, Estados Unidos de AmericaCalifornia Books
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EUR 201,48
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Condición: New.
Idioma: Inglés
Editorial: Springer, Berlin, Norges Forskningsråd, Springer, 2026
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Librería: AHA-BUCH GmbH, Einbeck, AlemaniaAHA-BUCH GmbH
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EUR 171,19
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Buch. Condición: Neu. Druck auf Anfrage Neuware - Printed after ordering - Financial markets have extremely complex behavior that cannot be fully modeled using classical approaches. In particular, numerous empirical studies show that market volatility exhibits some form of long-range dependence and has time-varying Hölder regula…rity with prominent periods of roughness (i.e., of Hölder order 0.1). These two properties are far beyond the capabilities of classical Brownian diffusions and it is challenging to reproduce them simultaneously in one model. In the existing literature, the phenomenons of long-range dependence and roughness mentioned above are often addressed by using fractional Brownian motion. However, in this case, these two features turn out to be mutually exclusive and cannot be grasped simultaneously. Furthermore, existing stochastic models based on fractional Brownian motion pose additional challenges of the technical kind: they tend to produce prices with moment explosions (and hence are not applicable to pricing some widespread derivatives); they may have volatilities that hit zero (or even become negative) which results in problems with transitioning between physical and pricing measures; they often lack efficient numerical algorithms for derivative pricing, hedging, etc. In this book, we introduce a novel class of stochastic processes driven by general Hölder noises that allows for a very broad flexibility in the noises (to account for both roughness and long-range dependence simultaneously) and grasps the unconventional behavior of market volatility. We also present a variety of associated numerical methods and propose practically feasible algorithms for various applications, such as pricing of derivatives (including options with discontinuous payoffs) and quadratic hedging.
Volterra Volatility Models: Option Pricing and Hedging (Springer Finance)
Di Nunno, Giulia (Author)/ Mishura, Yuliya (Author)/ Yurchenko-Tytarenko, Anton (Author)
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Librería: Revaluation Books, Exeter, Reino UnidoRevaluation Books
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EUR 247,72
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Hardcover. Condición: Brand New. 359 pages. 6.14x0.81x9.21 inches. In Stock.
Idioma: Inglés
Editorial: Springer, Berlin, Norges Forskningsråd, Springer Jun 2026, 2026
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Librería: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, AlemaniaBuchWeltWeit Ludwig Meier e.K.
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EUR 171,19
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Buch. Condición: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Financial markets have extremely complex behavior that cannot be fully modeled using classical approaches. In particular, numerous empirical studies show that market volatility exhibits some form of long-range dependence and has time-varyi…ng Hölder regularity with prominent periods of roughness (i.e., of Hölder order 0.1). These two properties are far beyond the capabilities of classical Brownian diffusions and it is challenging to reproduce them simultaneously in one model. In the existing literature, the phenomenons of long-range dependence and roughness mentioned above are often addressed by using fractional Brownian motion. However, in this case, these two features turn out to be mutually exclusive and cannot be grasped simultaneously. Furthermore, existing stochastic models based on fractional Brownian motion pose additional challenges of the technical kind: they tend to produce prices with moment explosions (and hence are not applicable to pricing some widespread derivatives); they may have volatilities that hit zero (or even become negative) which results in problems with transitioning between physical and pricing measures; they often lack efficient numerical algorithms for derivative pricing, hedging, etc. In this book, we introduce a novel class of stochastic processes driven by general Hölder noises that allows for a very broad flexibility in the noises (to account for both roughness and long-range dependence simultaneously) and grasps the unconventional behavior of market volatility. We also present a variety of associated numerical methods and propose practically feasible algorithms for various applications, such as pricing of derivatives (including options with discontinuous payoffs) and quadratic hedging. 342 pp. Englisch.
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Librería: moluna, Greven, Alemaniamoluna
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EUR 144,94
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Condición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt.
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Librería: Grand Eagle Retail, Bensenville, IL, Estados Unidos de AmericaGrand Eagle Retail
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EUR 201,47
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Hardcover. Condición: new. Hardcover. Financial markets have extremely complex behavior that cannot be fully modeled using classical approaches. In particular, numerous empirical studies show that market volatility exhibits some form of long-range dependence and has time-varying Hoelder regularity with prominent periods of rough…ness (i.e., of Hoelder order 0.1). These two properties are far beyond the capabilities of classical Brownian diffusions and it is challenging to reproduce them simultaneously in one model. In the existing literature, the phenomenons of long-range dependence and roughness mentioned above are often addressed by using fractional Brownian motion. However, in this case, these two features turn out to be mutually exclusive and cannot be grasped simultaneously. Furthermore, existing stochastic models based on fractional Brownian motion pose additional challenges of the technical kind: they tend to produce prices with moment explosions (and hence are not applicable to pricing some widespread derivatives); they may have volatilities that hit zero (or even become negative) which results in problems with transitioning between physical and pricing measures; they often lack efficient numerical algorithms for derivative pricing, hedging, etc. In this book, we introduce a novel class of stochastic processes driven by general Hoelder noises that allows for a very broad flexibility in the noises (to account for both roughness and long-range dependence simultaneously) and grasps the unconventional behavior of market volatility. We also present a variety of associated numerical methods and propose practically feasible algorithms for various applications, such as pricing of derivatives (including options with discontinuous payoffs) and quadratic hedging. Furthermore, existing stochastic models based on fractional Brownian motion pose additional challenges of the technical kind: they tend to produce prices with moment explosions (and hence are not applicable to pricing some widespread derivatives); This item is printed on demand. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.
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Librería: CitiRetail, Stevenage, Reino UnidoCitiRetail
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EUR 190,42
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Hardcover. Condición: new. Hardcover. Financial markets have extremely complex behavior that cannot be fully modeled using classical approaches. In particular, numerous empirical studies show that market volatility exhibits some form of long-range dependence and has time-varying Hoelder regularity with prominent periods of rough…ness (i.e., of Hoelder order 0.1). These two properties are far beyond the capabilities of classical Brownian diffusions and it is challenging to reproduce them simultaneously in one model. In the existing literature, the phenomenons of long-range dependence and roughness mentioned above are often addressed by using fractional Brownian motion. However, in this case, these two features turn out to be mutually exclusive and cannot be grasped simultaneously. Furthermore, existing stochastic models based on fractional Brownian motion pose additional challenges of the technical kind: they tend to produce prices with moment explosions (and hence are not applicable to pricing some widespread derivatives); they may have volatilities that hit zero (or even become negative) which results in problems with transitioning between physical and pricing measures; they often lack efficient numerical algorithms for derivative pricing, hedging, etc. In this book, we introduce a novel class of stochastic processes driven by general Hoelder noises that allows for a very broad flexibility in the noises (to account for both roughness and long-range dependence simultaneously) and grasps the unconventional behavior of market volatility. We also present a variety of associated numerical methods and propose practically feasible algorithms for various applications, such as pricing of derivatives (including options with discontinuous payoffs) and quadratic hedging. Furthermore, existing stochastic models based on fractional Brownian motion pose additional challenges of the technical kind: they tend to produce prices with moment explosions (and hence are not applicable to pricing some widespread derivatives); This item is printed on demand. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability.
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Librería: AussieBookSeller, Truganina, VIC, AustraliaAussieBookSeller
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EUR 226,25
Envío por EUR 31,74Se envía de Australia a Estados Unidos de AmericaCantidad disponible: 1 disponibles
Hardcover. Condición: new. Hardcover. Financial markets have extremely complex behavior that cannot be fully modeled using classical approaches. In particular, numerous empirical studies show that market volatility exhibits some form of long-range dependence and has time-varying Hoelder regularity with prominent periods of rough…ness (i.e., of Hoelder order 0.1). These two properties are far beyond the capabilities of classical Brownian diffusions and it is challenging to reproduce them simultaneously in one model. In the existing literature, the phenomenons of long-range dependence and roughness mentioned above are often addressed by using fractional Brownian motion. However, in this case, these two features turn out to be mutually exclusive and cannot be grasped simultaneously. Furthermore, existing stochastic models based on fractional Brownian motion pose additional challenges of the technical kind: they tend to produce prices with moment explosions (and hence are not applicable to pricing some widespread derivatives); they may have volatilities that hit zero (or even become negative) which results in problems with transitioning between physical and pricing measures; they often lack efficient numerical algorithms for derivative pricing, hedging, etc. In this book, we introduce a novel class of stochastic processes driven by general Hoelder noises that allows for a very broad flexibility in the noises (to account for both roughness and long-range dependence simultaneously) and grasps the unconventional behavior of market volatility. We also present a variety of associated numerical methods and propose practically feasible algorithms for various applications, such as pricing of derivatives (including options with discontinuous payoffs) and quadratic hedging. Furthermore, existing stochastic models based on fractional Brownian motion pose additional challenges of the technical kind: they tend to produce prices with moment explosions (and hence are not applicable to pricing some widespread derivatives); This item is printed on demand. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability.
