Option Valuation under Stochastic Volatility II: With Mathematica Code - Image 1

£76.50

Finance Press Option Valuation under Stochastic Volatility II: With Mathematica Code

Name: Option Valuation under Stochastic Volatility II: With Mathematica Code
Brand: Finance Press
Price: 75.07 GBP
Availability: InStock

Options

Price History & Forecast

Last 86 days • 86 data points (No recent data available)

Historical

Generating forecast...

Price Distribution

Price distribution over 86 days • 2 price levels

Days at Price

Current Price

Price Analysis

Most common price: £75 (76 days, 88.4%)

Price range: £75 - £77

Price levels: 2 different prices over 86 days

Description

This book is a sequel to the author's well-received "Option Valuation under Stochastic Volatility". It extends that work to jump-diffusions and many related topics in quantitative finance. Topics include spectral theory for jump-diffusions, boundary behavior for short-term interest rate models, modelling VIX options, inference theory, discrete dividends, and more. It provides approximately 750 pages of original research in 26 chapters, with 165 illustrations, Mathematica, and some C/C++ codes. The first 12 chapters (550 pages) are completely new. Also included are reprints of selected previous publications of the author for convenient reference. The book should interest both researchers and quantitatively-oriented investors and traders. First 12 chapters: 1. Slow Reflection, Jump-Returns, & Short-term Interest Rates 2. Spectral Theory for Jump-diffusions 3. Joint Time Series Modelling of SPX and VIX 4. Modelling VIX Options (and Futures) under Stochastic Volatility 5. Stochastic Volatility as a Hidden Markov Model 6. Continuous-time Inference: Mathematical Methods and Worked Examples 7. A Closer Look at the Square-root and 3/2-model 8. A Closer Look at the SABR Model 9. Back to Basics: An Update on the Discrete Dividend Problem 10. PDE Numerics without the Pain 11. Exact Solution to Double Barrier Problems under a Class of Processes 12. Advanced Smile Asymptotics: Geometry, Geodesics, and All That

Product Specifications

Brand: Finance Press
Format: paperback
ASIN: 096763721X
Category: Books > Subjects > Business, Finance & Law > Professional Finance > Investments & Securities > Options
Domain: Amazon UK
Release Date: 12 May 2016
Listed Since: 12 May 2016

Barcode

No barcode data available

Finance Press Option Valuation under Stochastic Volatility II: With Mathematica Code

Price History & Forecast

Price Distribution

Price Analysis

Description

Product Specifications

Barcode

Similar Products You Might Like

Introduction to Stochastic Finance with Market Examples (Chapman and Hall/CRC Financial Mathematics Series)

Malliavin Calculus in Finance: Theory and Practice (Chapman and Hall/CRC Financial Mathematics Series)

Implementing Models in Quantitative Finance: Methods and Cases (Springer Finance)

Introduction to Stochastic Calculus Applied to Finance (Chapman and Hall/CRC Financial Mathematics Series)

Stochastic Simulation and Applications in Finance with MATLAB Programs (The Wiley Finance Series)

Introduction to Stochastic Calculus Applied to Finance (Chapman and Hall/CRC Financial Mathematics Series)

Stochastic Finance: A Numeraire Approach (Chapman and Hall/CRC Financial Mathematics Series)

Quantitative Finance (Statistics in Practice)

Analytical Finance: Volume I: The Mathematics of Equity Derivatives, Markets, Risk and Valuation: 1

Applied Quantitative Finance for Equity Derivatives: Fifth Edition

Stochastic Calculus for Finance II: Continuous-Time Models (Springer Finance)

Derivative Securities and Difference Methods (Springer Finance)

An Introduction to Financial Mathematics: Option Valuation (Chapman and Hall/CRC Financial Mathematics Series)

Martingale Methods in Financial Modelling: 36 (Stochastic Modelling and Applied Probability, 36)

The Mathematics of Finance: Modeling and Hedging (Pure and Applied Undergraduate Texts)

Financial Modelling with Jump Processes: 2 (Chapman and Hall/CRC Financial Mathematics Series)

Financial Modelling: Theory, Implementation and Practice with MATLAB Source (The Wiley Finance Series)

Stochastic Finance with Python: Design Financial Models from Probabilistic Perspective

Fitting Local Volatility: Analytic And Numerical Approaches In Black-Scholes And Local Variance Gamma Models

Quantitative Analysis, Derivatives Modeling, and Trading Strategies: In the Presence of Counterparty Credit Risk for the Fixed-Income Market

Stochastic Integration and Differential Equations: Version 2.1 (Stochastic Modelling and Applied Probability, 21)

Market Risk Analysis: Quantitative Methods in Finance, Practical Financial Econometrics, Pricing, Hedging and Trading Financial Instruments, Value-at-Risk Models

Stochastic Integration and Differential Equations: 21 (Stochastic Modelling and Applied Probability, 21)

Option Theory with Stochastic Analysis: An Introduction to Mathematical Finance (Universitext)