Derivatives in Financial Markets with Stochastic Volatility (Book)
Jean-Pierre Fouque
Release Date: 15 Nov 2000
Format: Hardback
Pages: 216
ISBN: 9780521791632
ISBN-10: 0521791634
This book addresses problems in financial mathematics of pricing and hedging derivative securities in an environment of uncertain and changing market volatility. These problems are important to investors from large trading institutions to pension funds. It presents mathematical and statistical tools that exploit the bursty nature of market volatility. The mathematics is introduced through examples and illustrated with simulations and the modeling approach that is described is validated and tested on market data. The material is suitable for a one semester course for graduate students who have had exposure to methods of stochastic modeling and arbitrage pricing theory in finance. It is easily accessible to derivatives practitioners in the financial engineering industry.
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