Description: Analytically Tractable Stochastic Stock Price Models by Archil Gulisashvili Estimated delivery 3-12 business days Format Paperback Condition Brand New Description 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. Publisher Description 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 authors 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. Author Biography 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. Details ISBN 3642433863 ISBN-13 9783642433863 Title Analytically Tractable Stochastic Stock Price Models Author Archil Gulisashvili Format Paperback Year 2014 Pages 362 Edition 2012th Publisher Springer-Verlag Berlin and Heidelberg GmbH & Co. KG GE_Item_ID:151409371; About Us Grand Eagle Retail is the ideal place for all your shopping needs! With fast shipping, low prices, friendly service and over 1,000,000 in stock items - you're bound to find what you want, at a price you'll love! Shipping & Delivery Times Shipping is FREE to any address in USA. Please view eBay estimated delivery times at the top of the listing. Deliveries are made by either USPS or Courier. We are unable to deliver faster than stated. International deliveries will take 1-6 weeks. NOTE: We are unable to offer combined shipping for multiple items purchased. This is because our items are shipped from different locations. Returns If you wish to return an item, please consult our Returns Policy as below: Please contact Customer Services and request "Return Authorisation" before you send your item back to us. Unauthorised returns will not be accepted. Returns must be postmarked within 4 business days of authorisation and must be in resellable condition. Returns are shipped at the customer's risk. We cannot take responsibility for items which are lost or damaged in transit. For purchases where a shipping charge was paid, there will be no refund of the original shipping charge. Additional Questions If you have any questions please feel free to Contact Us. Categories Baby Books Electronics Fashion Games Health & Beauty Home, Garden & Pets Movies Music Sports & Outdoors Toys
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ISBN-13: 9783642433863
Book Title: Analytically Tractable Stochastic Stock Price Models
Number of Pages: Xviii, 362 Pages
Publication Name: Analytically Tractable Stochastic Stock Price Models
Language: English
Publisher: Springer Berlin / Heidelberg
Subject: Probability & Statistics / Stochastic Processes, Probability & Statistics / General, Finance / General, Investments & Securities / Analysis & Trading Strategies, Applied, Mathematical Analysis
Publication Year: 2014
Type: Textbook
Item Weight: 20.5 Oz
Author: Archil Gulisashvili
Subject Area: Mathematics, Business & Economics
Item Length: 9.3 in
Series: Springer Finance Ser.
Item Width: 6.1 in
Format: Trade Paperback
