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

By George C. Papanicolaou, Jean-Pierre Fouque, George Papanicolaou, et al.

This research monograph in financial mathematics can also be used as a graduate-level textbook. It explains financial models in which volatility of assets changes randomly over time. These are analyzed with a powerful approximation method and tested on financial data. More advanced topics are discussed in later chapters.

• Format: Hardcover
• Language: English
• ISBN: 0521843588
• ISBN13: 9780521843584
• Release Date: November 2011
• Publisher: Cambridge University Press
• Length: 456 Pages
• Weight: 2.20 lbs.
• Dimensions: 0.9" x 7.5" x 9.8"