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

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.

• | Author: Jean-Pierre Fouque
• | Publisher: Cambridge University Press
• | Publication Date: Sep 29, 2011
• | Number of Pages: 456 pages
• | Binding: Hardback or Cased Book
• | ISBN-10: 0521843588
• | ISBN-13: 9780521843584