Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
Author:   Jean-Pierre Fouque (University of California, Santa Barbara) ,  George Papanicolaou (Stanford University, California) ,  Ronnie Sircar (Princeton University, New Jersey) ,  Knut Sølna (University of California, Irvine)
Publisher:   Cambridge University Press
ISBN:  

9781139020534


Publication Date:   07 October 2011
Format:   Undefined
Availability:   Available To Order   Availability explained
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Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives


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Author:   Jean-Pierre Fouque (University of California, Santa Barbara) ,  George Papanicolaou (Stanford University, California) ,  Ronnie Sircar (Princeton University, New Jersey) ,  Knut Sølna (University of California, Irvine)
Publisher:   Cambridge University Press
Imprint:   Cambridge University Press (Virtual Publishing)
ISBN:  

9781139020534


ISBN 10:   1139020536
Publication Date:   07 October 2011
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Undefined
Publisher's Status:   Active
Availability:   Available To Order   Availability explained
We have confirmation that this item is in stock with the supplier. It will be ordered in for you and dispatched immediately.

Table of Contents

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.

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Jean-Pierre Fouque studied at the University Pierre and Marie Curie in Paris. He held positions at the French CNRS and École Polytechnique, and at North Carolina State University. Since 2006, he has been Professor and Director of the Center for Research in Financial Mathematics and Statistics at the University of California, Santa Barbara. George Papanicolaou was Professor of Mathematics at the Courant Institute before moving to Stanford University in 1993. He is now Robert Grimmett Professor in the Department of Mathematics at Stanford. Ronnie Sircar taught for three years at the University of Michigan in the Department of Mathematics before moving to Princeton University in 2000. He is now a Professor in the Operations Research and Financial Engineering Department at Princeton and an affiliate member of the Bendheim Center for Finance and the Program in Applied and Computational Mathematics. Knut Sølna is a Professor in the Department of Mathematics at the University of California, Irvine. He received his undergraduate and Master's degrees from the Norwegian University of Science and Technology and his doctorate from Stanford University. He was an instructor at the Department of Mathematics, University of Utah before moving to Irvine.

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