Analytically Tractable Stochastic Stock Price Models

AvArchil Gulisashvili

Inbunden, Engelska, 2012

Del i serien Springer Finance

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Beskrivning

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.

Produktinformation

Utgivningsdatum:2012-09-05
Mått:155 x 235 x 25 mm
Vikt:702 g
Format:Inbunden
Språk:Engelska
Serie:Springer Finance
Antal sidor:362
Upplaga:2012
Förlag:Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN:9783642312137

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Mer om författaren

Archil Gulisashvili received his Ph.D. degree and Doctor of Science degree from the Tbilisi State University in Tbilisi, Georgia. Currently he is a Professor of Mathematics at Ohio University. Prior to joining Ohio University, he has held visiting positions at Boston University, Cornell University, and Howard University. His research interests include financial mathematics, Schrödinger semigroups, Feynman-Kac propagators, and Fourier analysis.

Innehållsförteckning

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.