{"product_id":"multiscale-stochastic-volatility-for-equity-interest-rate-and-credit-derivatives-hardback-9780521843584","title":"Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (Hardback) 9780521843584","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eMultiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives\u003c\/font\u003e\u003cbr\u003e\r\n\r\n\r\n\u003c\/p\u003e\n\u003cp\u003e\u003cem\u003eThe authors consolidate and extend ideas from their previous book. Ideal for practitioners and as a graduate-level textbook.\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eJean-Pierre Fouque (Author), George Papanicolaou (Author), Ronnie Sircar (Author), Knut Sølna (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9780521843584, Cambridge University Press\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 29 September 2011\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e456 pages, 65 b\/w illus.\u003cbr\u003e25.4 x 18.1 x 2.7 cm, 0.99 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003eBuilding upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility, the authors study the pricing and hedging of financial derivatives under stochastic volatility in equity, interest-rate, and credit markets. They present and analyze multiscale stochastic volatility models and asymptotic approximations. These can be used in equity markets, for instance, to link the prices of path-dependent exotic instruments to market implied volatilities. The methods are also used for interest rate and credit derivatives. Other applications considered include variance-reduction techniques, portfolio optimization, forward-looking estimation of CAPM 'beta', and the Heston model and generalizations of it. 'Off-the-shelf' formulas and calibration tools are provided to ease the transition for practitioners who adopt this new method. The attention to detail and explicit presentation make this also an excellent text for a graduate course in financial and applied mathematics.\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eIntroduction\u003cbr\u003e 1. The Black–Scholes theory of derivative pricing\u003cbr\u003e 2. Introduction to stochastic volatility models\u003cbr\u003e 3. Volatility time scales\u003cbr\u003e 4. First order perturbation theory\u003cbr\u003e 5. Implied volatility formulas and calibration\u003cbr\u003e 6. Application to exotic derivatives\u003cbr\u003e 7. Application to American derivatives\u003cbr\u003e 8. Hedging strategies\u003cbr\u003e 9. Extensions\u003cbr\u003e 10. Around the Heston model\u003cbr\u003e 11. Other applications\u003cbr\u003e 12. Interest rate models\u003cbr\u003e 13. Credit risk I: structural models with stochastic volatility\u003cbr\u003e 14. Credit risk II: multiscale intensity-based models\u003cbr\u003e 15. Epilogue\u003cbr\u003e Bibliography\u003cbr\u003e Index.\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Stochastics [\u003ca title=\"See our other books on Stochastics\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Stochastics%20%5BPBWL%5D%22\"\u003ePBWL\u003c\/a\u003e], Applied mathematics [\u003ca title=\"See our other books on Applied mathematics\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Applied%20mathematics%20%5BPBW%5D%22\"\u003ePBW\u003c\/a\u003e], Finance [\u003ca title=\"See our other books on Finance\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Finance%20%5BKFF%5D%22\"\u003eKFF\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Cambridge University Press","offers":[{"title":"Brand New","offer_id":52501152629016,"sku":"9780521843584","price":54.29,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/files\/9780521843584i.jpg?v=1786213027","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/multiscale-stochastic-volatility-for-equity-interest-rate-and-credit-derivatives-hardback-9780521843584","provider":"Freshly Printed Books","version":"1.0","type":"link"}