Multiscale Stochastic Volatility for Equit… 9780521843584 Cond=LN:NSD SKU:766795

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives\n\nThe authors consolidate and extend ideas from their previous book. Ideal for practitioners and as a graduate-level textbook.\n\nJean-Pierre Fouque (Author), George Papanicolaou (Author), Ronnie Sircar (Author), Knut S\u00F8lna (Author)\n\n9780521843584 (SKU 766795), Cambridge University Press\n\nHardback, published 29 September 2011\n\n456 pages\n25.4 x 18.1 x 2.7 cm, 0.99 kg\n\nBuilding 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 inte]