You are here

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

Publisher: 
Cambridge University Press
Number of Pages: 
441
Price: 
99.00
ISBN: 
9780521843584
Date Received: 
Tuesday, January 10, 2012
Reviewable: 
No
Include In BLL Rating: 
No
Reviewer Email Address: 
Jean-Pierre Fouque, George Papanicolaou, Ronnie Sircar, and Knut Sølna
Publication Date: 
2011
Format: 
Hardcover
Category: 
Monograph

Introduction
1. The Black–Scholes theory of derivative pricing
2. Introduction to stochastic volatility models
3. Volatility time scales
4. First order perturbation theory
5. Implied volatility formulas and calibration
6. Application to exotic derivatives
7. Application to American derivatives
8. Hedging strategies
9. Extensions
10. Around the Heston model
11. Other applications
12. Interest rate models
13. Credit risk I: structural models with stochastic volatility
14. Credit risk II: multiscale intensity-based models
15. Epilogue
Bibliography
Index.

Publish Book: 
Modify Date: 
Saturday, March 10, 2012

Dummy View - NOT TO BE DELETED