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More about Derivatives Markets with Stochastic Volatility

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Book synopsis

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.

Book details

Book category Książki po angielsku Economics, finance, business & management Economics

• Full title: Derivatives Markets with Stochastic Volatility
• Subtitle: Interest-Rate Derivatives and Value-at-Risk
• Author: Rafael DeSantiago
• Language: English
• Binding: Paperback
• Number of pages: 180
• EAN: 9783639070293
• ISBN: 3639070291
• ID: 06816332
• Publisher: VDM Verlag Dr. Mueller E.K.
• Weight: 249 g
• Dimensions: 229 × 152 × 10 mm
• Date of publishing: 25. August 2008

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