Analytically Tractable Stochastic Stock Price Models

• Κύριος συγγραφέας: Gulisashvili, Archil (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2012.
• Σειρά: Springer Finance,
• Θέματα: Mathematics.; Mathematical analysis.; Analysis (Mathematics).; Approximation theory.; Applied mathematics.; Engineering mathematics.; Economics, Mathematical.; Probabilities.; Quantitative Finance.; Analysis.; Probability Theory and Stochastic Processes.; Approximations and Expansions.; Applications of Mathematics.

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 mo...

Πίνακας περιεχομένων:

• Preface
• Aknowledgements
• 1.Volatility Processes
• 2.Stock Price Models with Stochastic Volatility
• 3.Realized Volatility and Mixing Distributions
• 4.Integral Transforms of Distribution Densities
• 5.Asymptotic Analysis of Mixing Distributions
• 6.Asymptotic Analysis of Stock Price Distributions
• 7.Regularly Varying Functions and Pareto Type Distributions
• 8.Asymptotic Analysis of Option Pricing Functions
• 9.Asymptotic Analysis of Implied Volatility
• 10.More Formulas for Implied Volatility
• 11.Implied Volatility in Models Without Moment Explosions
• Bibliography
• Index .