Hello visitor from USA USA - 43 visiting from China 24 China USA 13 USA India 2 India Singapore 1 Singapore Ukraine 1 Ukraine Japan 1 Japan Korea 1 Korea
Free Join Now   Chat Now with Members Online

Books, Free Shipping, Derivatives In Financial Markets With Stochasic Volatility

Posted at: Offers to Sell and Export | Posted on: Mon 05 Jul, 2010 9:28 am | Product Category: Reference books [3760]
books shipping derivatives financial stochasic volatility
Products Photos CatalogBooks Shipping Photos Catalog

Product 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.

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 inancial engineering industry.



1 The Black-Scholes Theory of Derivative Pricing

1.1 Market Model

1.2 Derivative Contracts

1.3 Replicating Strategies

1.4 Risk-Neutral Pricing

1.5 Risk-Neutral Expectations and Partial Differential Equations

1.6 Complete Market

2 Introduction to Stochastic Volatility Models

2.1 Implied Volatility and the Smile Curve

2.2 Implied Deterministic Volatility

2.3 Stochastic Volatility Models

2.4 Derivative Pricing

2.5 Pricing with Equivalent Martingale Measures

2.6 Implied Volatility as a Function of Moneyness

2.7 Market Price of Volatility Risk and Data

2.8 Special Case: Uncorrelated Volatility

2.9 Summary and Conclusions

3 Scales in Mean-Reverting Stochastic Volatility

3.1 Scaling in Simple Models

3.2 Models of Clustering

3.3 Convergence to Black-Scholes under Fast Mean-Reverting Volatility

3.4 Scales in the Returns Process

4 Tools for Estimating the Rate of Mean Reversion

4.1 Model and Data

4.2 Variogram Analysis

4.3 Spectral Analysis

5 Asymptotics for Pricing European Derivatives

5.1 Preliminaries

5.2 The Formal Expansion

5.3 Implied Volatilities and Calibration

5.4 Accuracy of the Approximation

5.5 Region of Validity

6 Implementation and Stability

6.1 Step-by-Step Procedure

6.2 Comments about the Method

6.3 Dividends

6.4 The Second Correction

7 Hedging Strategies

8 Application to Exotic Derivatives

9 Application to American Derivatives

10 Generalizations

11 Applications to Interest-Rate Models


Product Details

Author Fouque.J.

Press World Publishing Corporation

Isbn 9787510005756

Publication Date April 2010

Pages 201

Size 24k

Edition First

Cover Paperback

Language English

Page material gelatine plate paper

Company Contact:

BookWholesale photo
Contact Name: Jing
Company Name: Hangzhou Wholesale Tech Trading Co., Ltd
Email: Email
Tel: 0086-571-86980049
Fax: 0086-571-86980049
Street Address: A-2211, Xinqingnian
Square, Gongshu District, Hangzhou,
310015, China
Website: http://www.book-wholesale.com
Member name: BookWholesale
Country: China-CN China
Member Since: 13 May 2010
Total Leads: 4528 BookWholesale Import Export Business Leads
Business focus: Books, Nonfiction, Fiction, Chinese for Foreigners, Comics, Literature, Textbooks, Language, Cooking, Chinese Classics, Children, Business, Computer
Verify: Safe Import Export Tips
Product Category: Reference books [3760]

Similar LeadsSimilar Suppliers And Manufacturers Import Export Trade Leads

Start Import Export Stories Import Export Startup Stories

Share Your Story & Get Listed at StartImportExport.com

  • SpecsPro LLC: Cathy Huang Of SpecsPro LLC Integrated Sourcing Supply Chain Solutions From USA

Product Classification Navigation Reference books Classification Navigation

Main - Published Products - Printed media - Printed publications - Reference books [3760]
TradersCity Free Import Export Trade Leads B2B Board  Offers to Sell and Export
TradersCity.com shall not be held liable for any user posted/submitted content including but not limited to trade leads, profiles, images, and any other data. TradersCity.com does not and did not verify any of users posted/submitted data nor is implicitly or explicitly recommending these business offers. TradersCity does not verify truthfulness, accuracy, completeness, nor legality of any businesses, services, and leads posted here. TradersCity does not represent Sellers or Buyers in any transaction between users of the website and is unable to make any opinion in regard to their performance in any transaction. TradersCity neither guarantees nor undertakes in any dispute between sellers and buyers. Protect your business from fraud by trading safely