随机波动金融市场衍生品

随机波动金融市场衍生品 pdf epub mobi txt 电子书 下载 2025

出版者:Cambridge University Press
作者:Jean-Pierre Fouque
出品人:
页数:201
译者:
出版时间:2000-7-3
价格:29.00元
装帧:
isbn号码:9787510005756
丛书系列:
图书标签:
  • 金融 
  • 金融数学 
  • 波动率 
  •  
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This book, first published in 2000, 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. It presents mathematical and statistical tools that exploit the bursty nature of market volatility. 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 who have had exposure to methods of stochastic modeling and arbitrage pricing theory in finance. It is easily accessible to derivatives practitioners in the financial engineering industry.

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