Derivatives in Financial Markets with Stochastic Volatility (Hardcover)

~ (Author), George Papanicolaou (Author), K. Ronnie Sircar (Author) "The aim of this first chapter is to review the basic objects, ideas, and results of the now classical black-Scholes theory of derivative pricing..." (more)
Key Phrases: stochastic volatility correction, volatility driving process, zero terminal condition, Black-Scholes American, Pricing European Derivatives, Interest-Rate Models (more...)

Editorial Reviews

Review

"Fouque, Papanicolau and Sircar have come up with something genuinely new in this area, explained with admirable clarity in this extremely well-written book...the book is short and to the point, and the production quality is high. Buy it." Risk Magazine

"Though the topic discussed in the book is conceptually rather difficult, the book itself is highly readable. Since the book starts from scratch and the style is user friendly, it is in my opinion accessible to graduate students specializing in the field of financial mathematics and probability theory." Mathematical Reviews

Product Description

This important work 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 from large trading institutions to pension funds. The authors present mathematical and statistical tools that exploit the volatile nature of the market. The mathematics is introduced through examples and illustrated with simulations and the modeling approach that is described is validated and tested on market data. The material is suitable for a one-semester course for graduate students with some exposure to methods of stochastic modeling and arbitrage pricing theory in finance. The volume is easily accessible to derivatives practitioners in the financial engineering industry.

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Product Details

• Hardcover: 216 pages
• Publisher: Cambridge University Press; 1 edition (July 3, 2000)
• Language: English
• ISBN-10: 0521791634
• ISBN-13: 978-0521791632
• Product Dimensions: 9.5 x 6.5 x 0.9 inches
• Shipping Weight: 12.8 ounces (View shipping rates and policies)
• Average Customer Review: 5.0 out of 5 stars  See all reviews (1 customer review)
• Amazon.com Sales Rank: #692,661 in Books (See Bestsellers in Books)

Customer Reviews

Most Helpful Customer Reviews

6 of 13 people found the following review helpful:

5.0 out of 5 stars Great book!, September 17, 2003

By	"feersum_monkey" (Princeton, NJ United States) - See all my reviews

This book provides a lucid explanation of how to incorporate stochastic volatility into your favorite model. The book also explains most of the topics from the ground up. Highly recommended!