Derivatives Markets with Stochastic Volatility
Interest-Rate Derivatives and Value-at-Risk
(Sprache: Englisch)
Although the assumption of constant volatility is a reasonable approximation for some markets, in the last two decades the need for more general non-constant volatility models has been the driving force behind numerous works in Financial Mathematics. In...
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Although the assumption of constant volatility is a reasonable approximation for some markets, in the last two decades the need for more general non-constant volatility models has been the driving force behind numerous works in Financial Mathematics. In this book we study systems that arise in interest-rate markets when the volatility of the short rate is modeled as a function of two mean-reverting diffusions that vary on different scales. This allows us to capture a rich variety of volatility patterns. In the last part of the book the analysis is extended to other areas, like Value-at-Risk, in which similar systems arise when the volatility is modeled as a stochastic process. The book is oriented to researchers who work in the field of Mathematical Finance, as well as to practitioners who would like to gain a better understanding of how to include stochastic volatility in their models.
Autoren-Porträt von De Santiago Rafael, Rafael DeSantiago
Rafael De Santiago is a professor of Decision Analysisat IESE Business School, in Barcelona. He holds a Ph.D. inMathematics from the University of California, Irvine, and aPh.D. in Economics from the University of Valladolid, Spain. Hisresearch interests include derivatives pricing and decisionanalysis.
Bibliographische Angaben
- Autoren: De Santiago Rafael , Rafael DeSantiago
- 180 Seiten, Maße: 22 cm, Kartoniert (TB), Englisch
- Verlag: VDM Verlag Dr. Müller e.K.
- ISBN-10: 3639070291
- ISBN-13: 9783639070293
Sprache:
Englisch
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