Stock Image

Modelling and Simulation of Stochastic Volatility in Finance

Christian Kahl

0 ratings by Goodreads
ISBN 10: 1581123833 / ISBN 13: 9781581123838
Published by Dissertation.Com
New Condition: New Soft cover
From BuySomeBooks (Las Vegas, NV, U.S.A.)

AbeBooks Seller Since May 21, 2012

Quantity Available: 20
Buy New
List Price: US$ 25.95
Price: US$ 42.49 Convert Currency
Shipping: US$ 3.95 Within U.S.A. Destination, Rates & Speeds
Add to basket

30 Day Return Policy


About this Item

Paperback. 220 pages. Dimensions: 9.7in. x 7.3in. x 0.6in.The famous Black-Scholes model was the starting point of a new financial industry and has been a very important pillar of all options trading since. One of its core assumptions is that the volatility of the underlying asset is constant. It was realised early that one has to specify a dynamic on the volatility itself to get closer to market behaviour. There are mainly two aspects making this fact apparent. Considering historical evolution of volatility by analysing time series data one observes erratic behaviour over time. Secondly, backing out implied volatility from daily traded plain vanilla options, the volatility changes with strike. The most common realisations of this phenomenon are the implied volatility smile or skew. The natural question arises how to extend the Black-Scholes model appropriately. Within this book the concept of stochastic volatility is analysed and discussed with special regard to the numerical problems occurring either in calibrating the model to the market implied volatility surface or in the numerical simulation of the two-dimensional system of stochastic differential equations required to price non-vanilla financial derivatives. We introduce a new stochastic volatility model, the so-called Hyp-Hyp model, and use Watanabes calculus to find an analytical approximation to the model implied volatility. Further, the class of affine diffusion models, such as Heston, is analysed in view of using the characteristic function and Fourier inversion techniques to value European derivatives. This item ships from multiple locations. Your book may arrive from Roseburg,OR, La Vergne,TN. Bookseller Inventory # 9781581123838

Ask Seller a Question

Bibliographic Details

Title: Modelling and Simulation of Stochastic ...

Publisher: Dissertation.Com

Binding: Paperback

Book Condition:New

Book Type: Paperback

About this title

Synopsis:

The famous Black-Scholes model was the starting point of a new financial industry and has been a very important pillar of all options trading since. One of its core assumptions is that the volatility of the underlying asset is constant. It was realised early that one has to specify a dynamic on the volatility itself to get closer to market behaviour. There are mainly two aspects making this fact apparent. Considering historical evolution of volatility by analysing time series data one observes erratic behaviour over time. Secondly, backing out implied volatility from daily traded plain vanilla options, the volatility changes with strike. The most common realisations of this phenomenon are the implied volatility smile or skew. The natural question arises how to extend the Black-Scholes model appropriately. Within this book the concept of stochastic volatility is analysed and discussed with special regard to the numerical problems occurring either in calibrating the model to the market implied volatility surface or in the numerical simulation of the two-dimensional system of stochastic differential equations required to price non-vanilla financial derivatives. We introduce a new stochastic volatility model, the so-called Hyp-Hyp model, and use Watanabe's calculus to find an analytical approximation to the model implied volatility. Further, the class of affine diffusion models, such as Heston, is analysed in view of using the characteristic function and Fourier inversion techniques to value European derivatives.

"About this title" may belong to another edition of this title.

Store Description

BuySomeBooks is great place to get your books online. With over eight million titles available we're sure to have what you're looking for. Despite having a large selection of new books available for immediate shipment and excellent customer service, people still tell us they prefer us because of our prices.

Visit Seller's Storefront

Terms of Sale:

We guarantee the condition of every book as it's described on the Abebooks web
sites. If you're dissatisfied with your purchase (Incorrect Book/Not as
Described/Damaged) or if the order hasn't arrived, you're eligible for a refund
within 30 days of the estimated delivery date. If you've changed your mind about a book that you've ordered, please use the Ask bookseller a question link to contact us and we'll respond within 2 business days.

BuySomeBooks is operated by Drive-On-In, Inc., a Nevada co...

More Information
Shipping Terms:

Orders usually ship within 1-2 business days. Books are shipped from multiple locations so your order may arrive from Las Vegas,NV, Roseburg,OR, La Vergne,TN, Momence,IL, or Commerce,GA.

List this Seller's Books

Payment Methods
accepted by seller

Visa Mastercard American Express