Mean Reversion in Commodity Prices -- Fundamentals of Derivative Pricing -- Stochastic Volatility Models -- Integration … stochastic volatility, jumps in the underlying and the price process and a stochastic target level as well as with deterministic …

This book presents a factor-based model of the stochastic evolution of the implied volatility surface. The model allows … volatility derivatives. In the first part, the book develops a unifying theory for the analysis of contingent claims under both … the real-world measure and the risk-neutral measure in an environment of stochastic implied volatility. On the basis of …