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Modelling Simulation Stochastic Volatility by Kahl Christian (13 results)
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paperback. Condition: Good. Connecting readers with great books since 1972! Used textbooks may not include companion materials such as access codes, etc. May have some wear or writing/highlighting. We ship orders daily and Customer Service is our top priority!
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Modelling and Simulation of Stochastic Volatility in Finance (Paperback or Softback)
Published by Dissertation.com 1/15/2008, 2008
ISBN 10: 1581123833 ISBN 13: 9781581123838
Language: English
Paperback or Softback. Condition: New. Modelling and Simulation of Stochastic Volatility in Finance 0.88. Book.
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Modelling and Simulation of Stochastic Volatility in Finance
Published by Dissertation.Com 2008-01, 2008
ISBN 10: 1581123833 ISBN 13: 9781581123838
Language: English
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Modelling and Simulation of Stochastic Volatility in Finance
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Modelling and Simulation of Stochastic Volatility in Finance
Published by Universal Publishers, 2008
ISBN 10: 1581123833 ISBN 13: 9781581123838
Language: English
Condition: New. pp. 220.
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Modelling and Simulation of Stochastic Volatility in Finance
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Modelling and Simulation of Stochastic Volatility in Finance
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Add to basketPaperback / softback. Condition: New. This item is printed on demand. New copy - Usually dispatched within 5-9 working days 433.
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Modelling and Simulation of Stochastic Volatility in Finance
Published by Universal Publishers, 2008
ISBN 10: 1581123833 ISBN 13: 9781581123838
Language: English
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Add to basketCondition: New. Print on Demand pp. 220 50:B&W 7.44 x 9.69 in or 246 x 189 mm (Crown 4vo) Perfect Bound on White w/Gloss Lam.
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Modelling and Simulation of Stochastic Volatility in Finance
Published by Universal Publishers, 2008
ISBN 10: 1581123833 ISBN 13: 9781581123838
Language: English
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Add to basketTaschenbuch. Condition: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - 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.
