Product Description

This important work 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. The authors present mathematical and statistical tools that exploit the volatile nature of the market. 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 with some exposure to methods of stochastic modeling and arbitrage pricing theory in finance. The volume is easily accessible to derivatives practitioners in the financial engineering industry.

Product Details

• Amazon Sales Rank: #1021830 in Books
• Published on: 2000-07-03
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 216 pages

Review
"Fouque, Papanicolau and Sircar have come up with something genuinely new in this area, explained with admirable clarity in this extremely well-written book...the book is short and to the point, and the production quality is high. Buy it." Risk Magazine

"Though the topic discussed in the book is conceptually rather difficult, the book itself is highly readable. Since the book starts from scratch and the style is user friendly, it is in my opinion accessible to graduate students specializing in the field of financial mathematics and probability theory." Mathematical Reviews

Customer Reviews

Great book!
This book provides a lucid explanation of how to incorporate stochastic volatility into your favorite model. The book also explains most of the topics from the ground up. Highly recommended!