£73.00

Rough Volatility: 2 (Financial Mathematics)

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Last 548 days • 548 data points (No recent data available)

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£85.00 £44.48 £53.32 £62.16 £71.00 £79.84 £88.68 10 June 2024 24 October 2024 10 March 2025 25 July 2025 09 December 2025

Price Distribution

Price distribution over 548 days • 5 price ranges

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35 days 200 days 90 days 26 days · current 197 days 0 50 100 150 200 £48-56 £56-63 £63-70 £70-78 £78-85 Days at Price

Price Analysis

Most common range: £56-63 (200 days, 36.5%)

Price range: £48 - £85

Price levels: 5 price ranges over 548 days

Description

Volatility underpins financial markets by encapsulating uncertainty about prices, individual behaviors, and decisions and has traditionally been modeled as a semimartingale, with consequent scaling properties. This mathematical description has been an active topic of research for decades, however, driven by empirical estimates of the scaling behavior of volatility, a new paradigm has emerged, whereby paths of volatility are rougher than those of semimartingales. According to this perspective, volatility is path-dependent and exhibits jump-like short-term behavior. The first book to offer a comprehensive exploration of the subject, Rough Volatility contributes to the understanding and application of rough volatility models by equipping readers with the tools and insights needed to delve into the topic, exploring the motivation for rough volatility modeling and providing a toolbox for computation and practical implementation, and organizing the material to reflect the subject's development and progression.

Product Specifications

Format
paperback
Domain
Amazon UK
Release Date
31 January 2024
Listed Since
07 December 2023

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