Analytically Tractable Stochastic Stock Price Models (Gulisashvili) ; Springer Berlin Heidelberg, 2012
5739 р.
Автор(ы): Gulisashvili;
Издатель: Springer Berlin Heidelberg
ISBN: 978-3-642-31213-7
ID: SKU1597558
Добавлено: 29.12.2023
Цены
Цена от 5739 р. до 5739 р. в 1 магазинах
Магазин | Цена | Наличие |
---|---|---|
Яндекс.Маркет 5/5 | 5739 р. | |
Лабиринт 5/5 | ||
МАЙШОП 5/5 | Один из первых книжных интернет-магазинов, работающий с 2002 года | |
Описание
Asymptotic analysis of stochastic stock price models is the central topic of the present volume. Special examples of such models are stochastic volatility models, that have been developed as an answer to certain imperfections in a celebrated Black-Scholes model of option pricing. In a stock price model with stochastic volatility, the random behavior of the volatility is described by a stochastic process. For instance, in the Hull-White model the volatility process is a geometric Brownian motion, the Stein-Stein model uses an Ornstein-Uhlenbeck process as the stochastic volatility, and in the Heston model a Cox-Ingersoll-Ross process governs the behavior of the volatility. One of the author's main goals is to provide sharp asymptotic formulas with error estimates for distribution densities of stock prices, option pricing functions, and implied volatilities in various stochastic volatility models. The author also establishes sharp asymptotic formulas for the implied volatility at extreme strikes in general stochastic stock price models. The present volume is addressed to researchers and graduate students working in the area of financial mathematics, analysis, or probability theory. The reader is expected to be familiar with elements of classical analysis, stochastic analysis and probability theory.
Смотри также Характеристики.
Яндекс.Маркет
О книге
ISBN | 978-3-642-31213-7 |
Автор(ы) | Gulisashvili |
Издатель | Springer Berlin Heidelberg |
Год издания | 2012 |
Язык издания | Английский |
Кол-во страниц | 363 |
Художественная литература - издательство "Springer Berlin Heidelberg"
Категория 4591 р. - 6886 р.
Художественная литература - издательство "Springer Berlin Heidelberg" »
Художественная литература
Категория 4591 р. - 6886 р.