Rosenbaum Mathieu (20 results)
Language: English
Published by SIAM - Society for Industrial and Applied Mathematics 2023
- Softcover
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Language: English
Published by SIAM - Society for Industrial and Applied Mathematics 2023
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Language: English
Published by Society for Industrial & Applied Mathematics,U.S., New York 2024
- Softcover
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Paperback. Condition: new. Paperback. 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, ho…wever, 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. The first comprehensive exploration of rough volatility, this book contributes to the understanding and application of rough volatility models, 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. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.
Language: English
Published by SIAM - Society for Industrial and Applied Mathematics 2023
- Softcover
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Rough Volatility: 2 (Financial Mathematics)
Peter K. Friz; Christian Bayer; Masaaki Fukasawa; Jim Gatheral; Mathieu Rosenbaum; Antoine Jacquier
Language: English
Published by SIAM - Society for Industrial and Applied Mathematics 2024
- Softcover
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Condition: New. 2024. paperback. . . . . .
Language: English
Published by Society for Industrial and Applied Mathematics,U.S., US 2024
- Softcover
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Paperback. Condition: New. 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, driv…en 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.
Language: English
Published by Society for Industrial & Applied Mathematics,U.S. 2024
- Softcover
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Paperback. Condition: Brand New. 261 pages. 9.96x7.09x0.83 inches. In Stock.
Rough Volatility
Peter K. Friz; Christian Bayer; Masaaki Fukasawa; Jim Gatheral; Mathieu Rosenbaum; Antoine Jacquier
Language: English
Published by MP-SIA SIAM - Society for Industrial and Applied M 2024
- Softcover
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Language: English
Published by SIAM - Society for Industrial and Applied Mathematics 2023
- Softcover
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Language: English
Published by SIAM - Society for Industrial and Applied Mathematics 2023
- Softcover
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Rough Volatility: 2 (Financial Mathematics)
Peter K. Friz; Christian Bayer; Masaaki Fukasawa; Jim Gatheral; Mathieu Rosenbaum; Antoine Jacquier
Language: English
Published by SIAM - Society for Industrial and Applied Mathematics 2023
- Softcover
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Language: English
Published by Society for Industrial & Applied Mathematics,U.S. 2023
- Softcover
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Rough Volatility: 2 (Financial Mathematics)
Peter K. Friz; Christian Bayer; Masaaki Fukasawa; Jim Gatheral; Mathieu Rosenbaum; Antoine Jacquier
Language: English
Published by SIAM - Society for Industrial and Applied Mathematics 2023
- Softcover
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Options - 45 Years Since the Publication of the Black-scholes-merton Model : The Gershon Fintech Center Conference
Lipton, Alexander (EDT); Wiener, Zvi (EDT); Gershon, David (EDT); Rosenbaum, Mathieu (EDT); Tan, Justin Jia Yao
Language: English
Published by World Scientific Pub Co Inc 2023
Series: World Scientific Lecture Notes In Finance, Book 6 of 6. Book 6 of 6 - World Scientific Lecture Notes In Finance
- Hardcover
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Options - 45 Years Since the Publication of the Black-scholes-merton Model : The Gershon Fintech Center Conference
Lipton, Alexander (EDT); Wiener, Zvi (EDT); Gershon, David (EDT); Rosenbaum, Mathieu (EDT); Tan, Justin Jia Yao
Language: English
Published by World Scientific Pub Co Inc 2023
Series: World Scientific Lecture Notes In Finance, Book 6 of 6. Book 6 of 6 - World Scientific Lecture Notes In Finance
- Hardcover
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Options - 45 Years Since the Publication of the Black-scholes-merton Model : The Gershon Fintech Center Conference
Lipton, Alexander (EDT); Wiener, Zvi (EDT); Gershon, David (EDT); Rosenbaum, Mathieu (EDT); Tan, Justin Jia Yao
Language: English
Published by World Scientific Pub Co Inc 2023
Series: World Scientific Lecture Notes In Finance, Book 6 of 6. Book 6 of 6 - World Scientific Lecture Notes In Finance
- Hardcover
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Language: English
Published by Society for Industrial and Applied Mathematics,U.S., US 2024
- Softcover
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Paperback. Condition: New. 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, driv…en 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.
Options - 45 Years Since the Publication of the Black-scholes-merton Model : The Gershon Fintech Center Conference
Lipton, Alexander (EDT); Wiener, Zvi (EDT); Gershon, David (EDT); Rosenbaum, Mathieu (EDT); Tan, Justin Jia Yao
Language: English
Published by World Scientific Pub Co Inc 2023
Series: World Scientific Lecture Notes In Finance, Book 6 of 6. Book 6 of 6 - World Scientific Lecture Notes In Finance
- Hardcover
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Language: English
Published by Society for Industrial & Applied Mathematics,U.S., New York 2024
- Softcover
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Paperback. Condition: new. Paperback. 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, ho…wever, 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. The first comprehensive exploration of rough volatility, this book contributes to the understanding and application of rough volatility models, 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. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability.
Language: English
Published by World Scientific Pub Co Inc 2022
Series: World Scientific Lecture Notes In Finance, Book 6 of 6. Book 6 of 6 - World Scientific Lecture Notes In Finance
- Hardcover
Seller: Revaluation Books, Exeter, United KingdomRevaluation Books
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Hardcover. Condition: Brand New. 630 pages. 9.00x6.00x1.19 inches. In Stock.
