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Więcej informacji o Derivatives Markets with Stochastic Volatility

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Opis

Although the assumption of constant volatility is areasonable approximation for some markets, in thelast two decades the need for more general non-constant volatility models has been the drivingforce behind numerous works in FinancialMathematics. In this book we study systems thatarise in interest-rate markets when the volatilityof the short rate is modeled as a function of twomean-reverting diffusions that vary on differentscales. This allows us to capturea rich variety ofvolatility patterns. In the last part of the bookthe analysis is extended to other areas, like Value-at-Risk, in which similar systems arise when thevolatility is modeled as a stochastic process. Thebook is oriented to researchers who work in thefield of Mathematical Finance, as well as topractitioners who would like to gain a betterunderstanding of how to include stochasticvolatility in their models.

Szczegóły książki

Kategoria Knihy po anglicky Economics, finance, business & management Economics

• Pełny tytuł: Derivatives Markets with Stochastic Volatility
• Podtytuł: Interest-Rate Derivatives and Value-at-Risk
• Autor: Rafael DeSantiago
• Język: Angielski
• Oprawa: Miękka
• Liczba stron: 180
• EAN: 9783639070293
• ISBN: 3639070291
• ID: 06816332
• Wydawca: VDM Verlag Dr. Mueller E.K.
• Waga: 249 g
• Wymiary: 229 × 152 × 10 mm
• Data wydania: 25. August 2008

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