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You searched IISERK - Title: Acoustical Imaging [electronic resource] / edited by Michael P. André, Iwaki Akiyama, Michael Andre, Walter Arnold, Jeff Bamber, Valentin Burov, Noriyoshi Chubachi, Kenneth Erikson, Helmut Ermert, Mathias Fink, Woon S. Gan, Bernd Granz, James Greenleaf, Jiankai Hu, Joie P. Jones, Pierre Khuri-Yakub, Pascal Laugier, Hua Lee, Sidney Lees, Vadim M. Levin, Roman Maev, Leonardo Masotti, Andrzej Nowicki, William O’Brien, Manika Prasad, Patrick Rafter, Daniel Rouseff, Johan Thijssen, Bernard Tittmann, Piero Tortoli, Anton Steen, Robert Waag, Peter Wells.
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Request |
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Call Number
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519
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Author
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Gulisashvili, Archil. author.
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Title
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Analytically Tractable Stochastic Stock Price Models [electronic resource] / by Archil Gulisashvili.
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Material Info.
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XVII, 359 p. online resource.
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Series
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Springer Finance, 1616-0533
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Series
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Springer Finance, 1616-0533
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Summary Note
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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.
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Notes
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Preface -- Aknowledgements -- 1.Volatility Processes -- 2.Stock Price Models with Stochastic Volatility -- 3.Realized Volatility and Mixing Distributions -- 4.Integral Transforms of Distribution Densities -- 5.Asymptotic Analysis of Mixing Distributions -- 6.Asymptotic Analysis of Stock Price Distributions -- 7.Regularly Varying Functions and Pareto Type Distributions -- 8.Asymptotic Analysis of Option Pricing Functions -- 9.Asymptotic Analysis of Implied Volatility -- 10.More Formulas for Implied Volatility -- 11.Implied Volatility in Models Without Moment Explosions -- Bibliography -- Index .
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ISBN
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9783642312144
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Subject
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Mathematics.
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Subject
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Global analysis (Mathematics).
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Subject
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Finance.
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Subject
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Distribution (Probability theory).
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Subject
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Mathematics.
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Subject
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Quantitative Finance.
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Subject
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Analysis.
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Subject
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Probability Theory and Stochastic Processes.
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Subject
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Approximations and Expansions.
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Subject
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Applications of Mathematics.
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Added Entry
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SpringerLink (Online service)
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Date
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Year, Month, Day:01405141
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Link
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Online book
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