Multiscale stochastic volatility for equity, interest rate, and credit derivatives
Jean-Pierre Fouque; George Papanicolaou; Ronnie Sircar; Knut Sølna
| Year of publication: |
2011 ; 1. publ.
|
|---|---|
| Authors: | Fouque, Jean-Pierre ; Papanicolaou, George ; Sircar, Kaushik Ronnie ; Sølna, Knut |
| Publisher: |
Cambridge [u.a.] : Cambridge Univ. Press |
| Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Derivat | Derivative | Zins | Interest rate | Optionspreistheorie | Option pricing theory | Mehrskalenmodell | Kreditderivat |
| Description of contents: | Table of Contents [gbv.de] ; Description [zbmath.org] |
| Extent: | XIII, 441 S. graph. Darst. |
|---|---|
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Literaturverz. S. [430] - 438 |
| ISBN: | 0-521-84358-8 ; 978-0-521-84358-4 |
| Classification: | Wahrscheinlichkeitsrechnung ; Mathematische Statistik |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009316567