Stochastic Volatility

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

Professor Jean-Pierre Fouque, George Papanicolaou, "Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives"
2011 | ISBN-10: 0521843588 | 456 pages | PDF | 3,5 MB
Option Valuation Under Stochastic Volatility: With Mathematica Code by Alan L. Lewis

Option Valuation Under Stochastic Volatility: With Mathematica Code by Alan L. Lewis
Finance Pr | February 1, 2000 | English | ISBN: 0967637201 | 350 pages | PDF | 26 MB

This book provides an advanced treatment of option pricing for traders, money managers, and researchers. Providing largely original research not available elsewhere, it covers the latest generation of option models where both the stock price and its volatility follow diffusion processes. These new models help explain important features of real-world option pricing, including the "volatility smile" pattern. The book includes Mathematica code and 37 illustrations
Derivatives in Financial Markets with Stochastic Volatility

Jean-Pierre Fouque, George Papanicolaou, and K. Ronnie Sircar, "Derivatives in Financial Markets with Stochastic Volatility"
Ca mbridge Univer sity Pr ess | 2000 | ISBN: 0521791634 | 216 pages | Djvu | 5,2 MB
 Stochastic Volatility: Selected Readings (Advanced Texts in Econometrics)

By Neil Shephard, "Stochastic Volatility: Selected Readings (Advanced Texts in Econometrics)"
Oxford University Press | ISBN:0199257191 | 2005 | 534 pages | PDF | 2.5 MB

Neil Shephard has brought together a set of classic and central papers that have contributed to our understanding of financial volatility. They cover stocks, bonds and currencies and range from 1973 up to 2001. Shephard, a leading researcher in the field, provides a substantial introduction in which he discusses all major issues involved.
Stochastic Volatility: Selected Readings (Advanced Texts in Econometrics)

Neil Shephard , "Stochastic Volatility: Selected Readings (Advanced Texts in Econometrics)"
Oxford University Press, USA (May 13, 2005) | ISBN:0199257205 | 534 pages | PDF | 2,4 Mb
Analytically Tractable Stochastic Stock Price Models (repost)

Analytically Tractable Stochastic Stock Price Models by Archil Gulisashvili
English | 2012 | ISBN-10: 3642312136 | 376 pages | PDF | 2,2 MB

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.
Analytically Tractable Stochastic Stock Price Models (repost)

Analytically Tractable Stochastic Stock Price Models by Archil Gulisashvili
English | 2012 | ISBN-10: 3642312136 | 376 pages | PDF | 2,2 MB

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.
Stochastic Simulation and Monte Carlo Methods: Mathematical Foundations of Stochastic Simulation (repost)

Stochastic Simulation and Monte Carlo Methods: Mathematical Foundations of Stochastic Simulation
by Carl Graham and Denis Talay
English | 2013 | ISBN: 3642393624 | 264 pages | PDF | 2.07 MB
Stochastic Implied Volatility: A Factor-Based Model by Reinhold Hafner

Stochastic Implied Volatility: A Factor-Based Model (Lecture Notes in Economics and Mathematical Systems) by Reinhold Hafner
English | Sep. 20, 2004 | ISBN: 3540221832 | 248 Pages | PDF | 5 MB

This monograph is based on my Ph.D. thesis, which was accepted in JanĀ­ uary 2004 by the faculty of economics at the University of Augsburg. It is a great pleasure to thank my supervisor, Prof. Dr. Manfred Steiner, for his scientific guidance and support throughout my Ph.D. studies.
Market Risk Analysis: Pricing, Hedging and Trading Financial Instruments, Volume 3 (repost)

Carol Alexander, "Market Risk Analysis: Pricing, Hedging and Trading Financial Instruments, Volume 3"
English | 2008 | ISBN: 0470997893 | 416 pages | PDF | 11,3 MB

Written by leading market risk academic, Professor Carol Alexander, Pricing, Hedging and Trading Financial Instruments forms part three of the Market Risk Analysis four volume set. This book is an in-depth, practical and accessible guide to the models that are used for pricing and the strategies that are used for hedging financial instruments, and to the markets in which they trade. It provides a comprehensive, rigorous and accessible introduction to bonds, swaps, futures and forwards and options, including variance swaps, volatility indices and their futures and options, to stochastic volatility models and to modelling the implied and local volatility surfaces.