December 2015
Intermediate to advanced
522 pages
20h
English
Content preview from Stochastic Volatility Modeling
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Bibliography
[1] Andreasen, J., Huge B.: Random grids, Risk Magazine, July, pp. 66–71, 2011.
[2]
Andersen, L., Andreasen, J.:
Jump-Diusion Processes: Volatility
Smile Fitting and Numerical Methods for Pricing
, available at SSRN:
http://ssrn.com/abstract=171438.
[3]
Avellaneda, M., Levy, A., Paras, A.:
Pricing and hedging derivative securities
in markets with uncertain volatilities
, Applied Mathematical Finance 2(2), pp.
73–88, 1995.
[4]
Avellaneda, M., Paras, A.:
Pricing and hedging derivative securities in markets
with uncertain volatilities: the Lagrangian uncertain volatility model
, Applied
Mathematical Finance, 3, pp. 21–52, 1996.
[5]
Backus, D., Foresi, ...
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