Modelling and simulation of stochastic volatility in finance
by
Kahl, Christian.
Title
:
Modelling and simulation of stochastic volatility in finance
Author
:
Kahl, Christian.
ISBN
:
9781581123838
Personal Author
:
Kahl, Christian.
Publication Information
:
Boca Raton : Dissertation.com, c2007.
Physical Description
:
xii, 202 p. : ill. ; 25 cm.
General Note
:
Author's dissertation from Bergische Universität Wuppertal, 2007.
Contents
:
Stochastic volatility models -- Monte Carlo methods -- European option pricing for transformed Ornstein-Uhlenbeck models -- Optimal Fourier inversion for affine diffusion models -- Numerical integration schemes for stochastic volatility models.
Subject Term
:
Finance -- Mathematical models.
Stochastic models.
Options (Finance)
Added Corporate Author
:
Bergische Universitat Wuppertal.
| Library | Material Type | Item Barcode | Shelf Number | Copy |
|---|
| IIEMSA | General Books | 33168025559028 | 332.015195 K12M 2007 | 1 |