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- catalog abstract ""This book 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 ranging from large trading institutions to pension funds. The authors present mathematical and statistical tools that exploit the "bursty" nature of market volatility. The mathematics is introduced through examples and illustrated with simulations, and the approach described is validated and tested on market data." "The material is suitable for a one-semester course for graduate students who have been exposed to methods of stochastic modeling and arbitrage pricing theory in finance. It is easily accessible to derivatives practitioners in the financial engineering industry."--Jacket.".
- catalog contributor b11733007.
- catalog contributor b11733008.
- catalog contributor b11733009.
- catalog created "2000.".
- catalog date "2000".
- catalog date "2000.".
- catalog dateCopyrighted "2000.".
- catalog description ""The material is suitable for a one-semester course for graduate students who have been exposed to methods of stochastic modeling and arbitrage pricing theory in finance. It is easily accessible to derivatives practitioners in the financial engineering industry."--Jacket.".
- catalog description ""This book 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 ranging from large trading institutions to pension funds. The authors present mathematical and statistical tools that exploit the "bursty" nature of market volatility. The mathematics is introduced through examples and illustrated with simulations, and the approach described is validated and tested on market data."".
- catalog description "1. The Black-Scholes Theory of Derivative Pricing -- 2. Introduction to Stochastic Volatility Models -- 3. Scales in Mean-Reverting Stochastic Volatility -- 4. Tools of Estimating the Rate of Mean Reversion -- 5. Asymptotics of Pricing European Derivatives -- 6. Implementation and Stability -- 7. Hedging Strategies -- 8. Application to Exotic Derivatives -- 9. Application to American Derivatives -- 10. Generalizations -- 11. Applications to Interest-Rate Models.".
- catalog description "Includes bibliographical references (p. 195-197) and index.".
- catalog extent "xiv, 201 p. :".
- catalog identifier "0521791634".
- catalog issued "2000".
- catalog issued "2000.".
- catalog language "eng".
- catalog publisher "Cambridge, U.K. ; New York : Cambridge University Press,".
- catalog subject "332.63/2 21".
- catalog subject "Derivative securities.".
- catalog subject "Financial institutions.".
- catalog subject "HG6024.A3 F68 2000".
- catalog tableOfContents "1. The Black-Scholes Theory of Derivative Pricing -- 2. Introduction to Stochastic Volatility Models -- 3. Scales in Mean-Reverting Stochastic Volatility -- 4. Tools of Estimating the Rate of Mean Reversion -- 5. Asymptotics of Pricing European Derivatives -- 6. Implementation and Stability -- 7. Hedging Strategies -- 8. Application to Exotic Derivatives -- 9. Application to American Derivatives -- 10. Generalizations -- 11. Applications to Interest-Rate Models.".
- catalog title "Derivatives in financial markets with stochastic volatility / Jean-Pierre Fouque, George Papanicolaou, K. Ronnie Sircar.".
- catalog type "text".