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: 76.5 GBP
Availability: InStock

Options

This is the most expensive it has ever been. Walk away.

£77 today · previous high £77 · all-time low £75

NEW HERE?

Amazon shows you one price. We show you all of them.

Tosheroon watches Amazon prices so you don't have to. Every product on Amazon has a price history — we make it visible. Set the price you'd actually pay, and we'll email you the second it gets there. No app, no account, one email.

WHAT'S ON THIS PAGE

↓ Price chart
when this has been cheap or pricey

↓ Forecast
where the price is heading next

↓ Statistics
all-time high & low, recent range

↑ Price alert
name your number, we'll email you

Price History & Forecast

Grey patches = out of stock. Cheaper = lower on the chart. Hover for exact prices.

Last 45 days • 45 data points (No recent data available)

Historical

Generating forecast...

Price Distribution

Price distribution over 45 days • 2 price levels

Days at Price

Current Price

Price Analysis

Most common price: £75 (29 days, 64.4%)

Price range: £75 - £77

Price levels: 2 different prices over 45 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

This is the most expensive it has ever been. Walk away.

Price History & Forecast

Price Distribution

Price Analysis

Description

Product Specifications

Barcode

Similar Products You Might Like

Analytical Finance: Volume II: The Mathematics of Interest Rate Derivatives, Markets, Risk and Valuation

American-Style Derivatives: Valuation and Computation (Chapman and Hall/CRC Financial Mathematics Series)

American-Style Derivatives: Valuation and Computation (Chapman and Hall/CRC Financial Mathematics Series)

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

Nonlinear Option Pricing (Chapman and Hall/CRC Financial Mathematics Series)

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

Nonlinear Option Pricing (Chapman and Hall/CRC Financial Mathematics Series)

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

An Introduction to Exotic Option Pricing (Chapman & Hall/CRC Financial Mathematics)

Problems and Solutions in Mathematical Finance, Volume 2: Equity Derivatives (The Wiley Finance Series)

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

Paul Wilmott on Quantitative Finance 2nd Edition

Market Risk Analysis, Quantitative Methods in Finance (The Wiley Finance Series)

Pricing Derivative Securities (2nd Edition): Second Edition

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

Computation and Simulation for Finance: An Introduction with Python (Springer Undergraduate Texts in Mathematics and Technology)

Foundations of the Pricing of Financial Derivatives: Theory and Analysis (Frank J. Fabozzi Series)

Computational Finance Using C and C# (Quantitative Finance)

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

Quantitative Finance: An Introduction to Investments, Asset Pricing, and Derivatives

Stochastic Finance with Python: Design Financial Models from Probabilistic Perspective

Stochastic Processes and Financial Mathematics: 1 (Mathematics Study Resources, 1)

Market Risk Analysis, Pricing, Hedging and Trading Financial Instruments (The Wiley Finance Series)

Measure, Probability, and Mathematical Finance: A Problem-Oriented Approach