Analytically Tractable Stochastic Stock Price Models
Author:   Archil Gulisashvili
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Edition:   2012 ed.
ISBN:  

9783642312137


Pages:   362
Publication Date:   05 September 2012
Format:   Hardback
Availability:   Manufactured on demand   Availability explained
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Analytically Tractable Stochastic Stock Price Models


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Full Product Details

Author:   Archil Gulisashvili
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint:   Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Edition:   2012 ed.
Dimensions:   Width: 15.50cm , Height: 2.20cm , Length: 23.50cm
Weight:   0.735kg
ISBN:  

9783642312137


ISBN 10:   3642312136
Pages:   362
Publication Date:   05 September 2012
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   Manufactured on demand   Availability explained
We will order this item for you from a manufactured on demand supplier.

Table of Contents

Preface.- Aknowledgements.- 1.Volatility Processes.- 2.Stock Price Models with Stochastic Volatility.- 3.Realized Volatility and Mixing Distributions.- 4.Integral Transforms of Distribution Densities.- 5.Asymptotic Analysis of Mixing Distributions.- 6.Asymptotic Analysis of Stock Price Distributions.- 7.Regularly Varying Functions and Pareto Type Distributions.- 8.Asymptotic Analysis of Option Pricing Functions.- 9.Asymptotic Analysis of Implied Volatility.- 10.More Formulas for Implied Volatility.- 11.Implied Volatility in Models Without Moment Explosions.- Bibliography.- Index​.

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Author Information

Archil Gulisashvili received his Ph.D. degree and Doctor of Science degree from the Tbilisi State University in Tbilisi, Georgia. Currently he is a Professor of Mathematics at Ohio University. Prior to joining Ohio University, he has held visiting positions at Boston University, Cornell University, and Howard University. His research interests include financial mathematics, Schrödinger semigroups, Feynman-Kac propagators, and Fourier analysis.

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