Derivatives in financial markets with stochastic volatility
This important work addresses problems in financial mathematics of pricing and hedging derivative securities in an environment of uncertain and changing market volatility. These problems are important to investors from large trading institutions to pension funds. The authors present mathematical and...
Đã lưu trong:
| Tác giả chính: | |
|---|---|
| Định dạng: | Sách |
| Ngôn ngữ: | Undetermined |
| Được phát hành: |
New York
Cambridge University Press
2000
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| Những chủ đề: | |
| Các nhãn: |
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| Thư viện lưu trữ: | Trung tâm Học liệu Trường Đại học Cần Thơ |
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| LEADER | 01481nam a2200205Ia 4500 | ||
|---|---|---|---|
| 001 | CTU_153525 | ||
| 008 | 210402s9999 xx 000 0 und d | ||
| 082 | |a 332.632 | ||
| 082 | |b F772 | ||
| 100 | |a Fouque, Jean-Pierre | ||
| 245 | 0 | |a Derivatives in financial markets with stochastic volatility | |
| 245 | 0 | |c Jean-Pierre Fouque, George Papanicolaou, K. Ronnie Sircar | |
| 260 | |a New York | ||
| 260 | |b Cambridge University Press | ||
| 260 | |c 2000 | ||
| 520 | |a This important work addresses problems in financial mathematics of pricing and hedging derivative securities in an environment of uncertain and changing market volatility. These problems are important to investors from large trading institutions to pension funds. The authors present mathematical and statistical tools that exploit the volatile nature of the market. The mathematics is introduced through examples and illustrated with simulations and the modeling approach that is described is validated and tested on market data. The material is suitable for a one-semester course for graduate students with some exposure to methods of stochastic modeling and arbitrage pricing theory in finance. The volume is easily accessible to derivatives practitioners in the financial engineering industry | ||
| 650 | |a Derivative securities,Financial institutions | ||
| 650 | |x Tổ chức tài chính,Chứng khoán phái sinh | ||
| 904 | |i Tuyến | ||
| 980 | |a Trung tâm Học liệu Trường Đại học Cần Thơ | ||