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Multiscale Stochastic Volatility for Equit… 9780521843584 Cond=LN:NSD SKU:766795

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Located in: Welwyn Garden City, United Kingdom

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eBay item number:145565520755

Last updated on 19 Mar, 2024 10:29:09 GMTView all revisionsView all revisions

Item specifics

Condition: Like New

Seller notes: “Unused and unread, minor cosmetic imperfections such as scuffing or minor creasing. Stamped ...

BIC Subject Area 1: Stochastics [PBWL]

BIC Subject Area 2: Applied mathematics [PBW]

BIC Subject Area 3: Finance [KFF]

ISBN: 9780521843584

Publication Year: 2011

Type: Textbook

Format: Hardcover

Language: English

Publication Name: Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

Item Height: 254mm

Author: Knut Solna, Ronnie Sircar, Jean-Pierre Fouque, George Papanicolaou

Publisher: Cambridge University Press

Item Width: 181mm

Subject: Finance

Item Weight: 990g

Number of Pages: 456 Pages

About this product

Product Information

This book builds on previous and current research by the four authors, including results introduced in the book Derivatives in Financial Markets with Stochastic Volatility. Recent research demonstrates that the introduction of two time scales in volatility, a fast and a slow, is needed and efficient for capturing the main features of the observed term structure of implied volatility. For practitioners, the modeling of the implied volatility consistent with no-arbitrage is crucial. The authors present an approach to this problem which consists in combining singular and regular perturbation techniques. The book will serve a dual purpose: present 'off the shelf' formulas and calibration tools for practitioners, and introduce, explain and develop the mathematical framework to handle the multi-scale asymptotics. Detailed presentation of the analysis as well as a thorough insight into the modeling approach makes this an excellent text for a second level graduate course in financial and applied mathematics.

Product Identifiers

Publisher

Cambridge University Press

ISBN-13

9780521843584

eBay Product ID (ePID)

109271351

Product Key Features

Author

Knut Solna, Ronnie Sircar, Jean-Pierre Fouque, George Papanicolaou

Publication Name

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

Format

Hardcover

Language

English

Subject

Finance

Publication Year

2011

Type

Textbook

Number of Pages

456 Pages

Dimensions

Item Height

254mm

Item Width

181mm

Item Weight

990g

Additional Product Features

Title_Author

Knut Solna, George Papanicolaou, Ronnie Sircar, Jean-Pierre Fouque

Country/Region of Manufacture

United Kingdom

Item description from the seller

Business seller information

JNC INC

Jon Parkins

10B Blenheim Court

Brownfields

Welwyn Garden City

Hertfordshire

AL7 1AD

United Kingdom

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:liamEku.oc.cnicnj@yabe

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Seller assumes all responsibility for this listing.

eBay item number:145565520755

Last updated on 19 Mar, 2024 10:29:09 GMTView all revisionsView all revisions

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Welwyn Garden City, United Kingdom

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Postage and packaging	Each additional item	To	Service	Delivery*See Delivery notes
£18.99 (approx EUR 22.44)	£11.00 (approx EUR 13.00)	United States	Standard Delivery (Royal Mail International Standard)	Estimated between Sat, 22 Jun and Sat, 29 Jun to 43230

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