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Derivatives in Financial Markets With Stochastic Volatility

Derivatives in Financial Markets With Stochastic Volatility

Hardback (14 Sep 2000)

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Publisher's Synopsis

This book, first published in 2000, addresses problems in financial mathematics of pricing and hedging derivative securities in an environment of uncertain and changing market volatility. These problems are important to investors from large trading institutions to pension funds. It presents mathematical and statistical tools that exploit the bursty nature of market volatility. The mathematics is introduced through examples and illustrated with simulations and the modeling approach that is described is validated and tested on market data. The material is suitable for a one semester course for graduate students who have had exposure to methods of stochastic modeling and arbitrage pricing theory in finance. It is easily accessible to derivatives practitioners in the financial engineering industry.

About the Publisher

Cambridge University Press

Cambridge University Press dates from 1534 and is part of the University of Cambridge. We further the University's mission by disseminating knowledge in the pursuit of education, learning and research at the highest international levels of excellence.

Book information

ISBN: 9780521791632
Publisher: Cambridge University Press
Imprint: Cambridge University Press
Pub date:
DEWEY: 332.632
DEWEY edition: 21
Language: English
Number of pages: 201
Weight: 446g
Height: 234mm
Width: 149mm
Spine width: 23mm