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Professor Jean-Pierre Fouque; George Papanicolaou; K Ronnie Sircar

Professor Jean-Pierre Fouque; George Papanicolaou; K Ronnie Sircar Derivatives in Financial Markets with Stochastic Volatility (Hardcover)

Professor Jean-Pierre Fouque; George Papanicolaou; K Ronnie Sircar Derivatives in Financial Markets with Stochastic Volatility (Hardcover)

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This book, first published in 2000, addresses pricing and hedging derivative securities in uncertain and changing market 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 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. 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.

Specifications

Language

English

Publisher

Cambridge University Press

Book Format

Hardcover

Original Languages

ENG

Number of Pages

218

Author

Jean-Pierre Fouque, George Papanicolaou, K Ronnie Sircar

Title

Derivatives in Financial Markets with Stochastic Volatility

ISBN-13

9780521791632

Height

1.600

Publication Date

September, 2000

Assembled Product Dimensions (L x W x H)

9.36 x 6.35 x 0.72 Inches

ISBN-10

0521791634

SKU: WA52572102

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