Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives.

Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives.

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Bibliographic Details
Author / Creator:Fouque, Jean-Pierre.
Imprint:Cambridge : Cambridge University Press, 2011.
Description:1 online resource (458 pages)
Language:English
Subject:
Derivative securities -- Econometric models.
Derivative securities -- Econometric models.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/11827550
Hidden Bibliographic Details
Other authors / contributors:Papanicolaou, George.
Sircar, Ronnie.
Sølna, Knut.
ISBN:9781139158770
1139158775
9781139160827
1139160826
9781139020534
1139020536
9781139157018
1139157019
9781139157018
9780521843584
0521843588
Digital file characteristics:data file
Notes:12.3 The Quadratic Model.
Includes bibliographical references (pages 430-438) and index.
Print version record.
Summary:The authors consolidate and extend ideas from their previous book. Ideal for practitioners and as a graduate-level textbook.
Other form:Print version: Fouque, Jean-Pierre. Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives. Cambridge : Cambridge University Press, ©2011 9780521843584

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