Derivatives in financial markets with stochastic volatility

Derivatives in financial markets with stochastic volatility

by George Papanicolaou, Jean-Pierre Fouque, K. Ronnie Sircar

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"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 ranging from large trading institutions to pension funds. The authors present mathematical and statistical tools that exploit the "bursty" nature of market volatility. The mathematics is introduced through examples and illustrated with simulations, and the approach described is validated and tested on market data." "The material is suitable for a one-semester course for graduate students who have been exposed to methods of stochastic modeling and arbitrage pricing theory in finance. It is easily accessible to derivatives practitioners in the financial engineering industry."--Jacket.

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