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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.
See all Editorial Reviews
"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.
See all Editorial Reviews
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Inside This Book
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First Sentence:
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. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
stochastic volatility correction, volatility driving process, zero terminal condition, fast mean reversion, implied volatility surface, implied volatility curve, effective volatility, normalized fluctuations, stochastic volatility model, centering condition, martingale term, variogram analysis, volatility process, volatility models, invariant distribution, smile curve, lognormal model, martingale approach, maximum expected utility, pricing function, constant volatility, exercise boundary, derivative prices, equivalent martingale measure, call option price Key Phrases - Capitalized Phrases (CAPs): (learn more)
Black-Scholes American, Pricing European Derivatives, Interest-Rate Models, Black-Scholes Delta, American Pitt, Maturity Figure New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Front Flap | Table of Contents | First Pages | Index | Back Flap | Back Cover | Surprise Me!
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. Read the first page Key Phrases - Statistically Improbable Phrases (SIPs): (learn more)
stochastic volatility correction, volatility driving process, zero terminal condition, fast mean reversion, implied volatility surface, implied volatility curve, effective volatility, normalized fluctuations, stochastic volatility model, centering condition, martingale term, variogram analysis, volatility process, volatility models, invariant distribution, smile curve, lognormal model, martingale approach, maximum expected utility, pricing function, constant volatility, exercise boundary, derivative prices, equivalent martingale measure, call option price Key Phrases - Capitalized Phrases (CAPs): (learn more)
Black-Scholes American, Pricing European Derivatives, Interest-Rate Models, Black-Scholes Delta, American Pitt, Maturity Figure New!
Books on Related Topics | Concordance | Text Stats Browse Sample Pages:
Front Cover | Front Flap | Table of Contents | First Pages | Index | Back Flap | Back Cover | Surprise Me!
Citations (learn more)
This book cites 11
books:
See all 11 books this book cites
25
books
cite this book:
See all 25 books citing this book
- Controlled Markov Processes and Viscosity Solutions (Stochastic Modelling and Applied Probability) by Wendell H. Fleming in Back Matter
- Differential Equations: Dynamical Systems, and Control Science: Lecture Notes in Pure and Applied Mathematics Series/152 by K.D. Elworthy in Back Matter
- Differential Equations Problem Solver (Problem Solvers) by David R. Arterburn in Back Matter
- Methods of Mathematical Finance by Ioannis Karatzas in Back Matter
- Options, Futures and Other Derivatives (6th Edition) by John C. Hull in Back Matter
See all 11 books this book cites
- Exotic Options: The Cutting-edge Collection - Technical Papers published in Risk 1999-2003 by Alexander Lipton on 4 pages
- The Best of Wilmott 1: Incorporating the Quantitative Finance Review by Paul Wilmott on page 375, and page 419
- Theory of Financial Risk and Derivative Pricing: From Statistical Physics to Risk Management by Jean-Philippe Bouchaud on page 250, and page 298
- The Best of Wilmott 2 by Paul Wilmott on page 41, and page 316
- Statistical Analysis of Financial Data in S-PLUS by Rene A. Carmona in Back Matter
See all 25 books citing this book
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