Analytically Tractable Stochastic Stock Price Models is popular PDF and ePub book, written by Archil Gulisashvili in 2012-09-04, it is a fantastic choice for those who relish reading online the Mathematics genre. Let's immerse ourselves in this engaging Mathematics book by exploring the summary and details provided below. Remember, Analytically Tractable Stochastic Stock Price Models can be Read Online from any device for your convenience.
Analytically Tractable Stochastic Stock Price Models Book PDF Summary
Asymptotic analysis of stochastic stock price models is the central topic of the present volume. Special examples of such models are stochastic volatility models, that have been developed as an answer to certain imperfections in a celebrated Black-Scholes model of option pricing. In a stock price model with stochastic volatility, the random behavior of the volatility is described by a stochastic process. For instance, in the Hull-White model the volatility process is a geometric Brownian motion, the Stein-Stein model uses an Ornstein-Uhlenbeck process as the stochastic volatility, and in the Heston model a Cox-Ingersoll-Ross process governs the behavior of the volatility. One of the author's main goals is to provide sharp asymptotic formulas with error estimates for distribution densities of stock prices, option pricing functions, and implied volatilities in various stochastic volatility models. The author also establishes sharp asymptotic formulas for the implied volatility at extreme strikes in general stochastic stock price models. The present volume is addressed to researchers and graduate students working in the area of financial mathematics, analysis, or probability theory. The reader is expected to be familiar with elements of classical analysis, stochastic analysis and probability theory.
Detail Book of Analytically Tractable Stochastic Stock Price Models PDF
- Author : Archil Gulisashvili
- Release : 04 September 2012
- Publisher : Springer Science & Business Media
- ISBN : 9783642312144
- Genre : Mathematics
- Total Page : 371 pages
- Language : English
- PDF File Size : 20,8 Mb
If you're still pondering over how to secure a PDF or EPUB version of the book Analytically Tractable Stochastic Stock Price Models by Archil Gulisashvili, don't worry! All you have to do is click the 'Get Book' buttons below to kick off your Download or Read Online journey. Just a friendly reminder: we don't upload or host the files ourselves.