Authors:
- Comprehensive in scope
- Results discussed appear for the first time in a mathematical monograph
- Unique source of information about analytically tractable stochastic volatility models?
- Includes supplementary material: sn.pub/extras
Part of the book series: Springer Finance (FINANCE)
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Table of contents (11 chapters)
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Front Matter
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Back Matter
About this book
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 author's 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.
Authors and Affiliations
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Department of Mathematics, Ohio University, Athens, USA
Archil Gulisashvili
About the author
Bibliographic Information
Book Title: Analytically Tractable Stochastic Stock Price Models
Authors: Archil Gulisashvili
Series Title: Springer Finance
DOI: https://doi.org/10.1007/978-3-642-31214-4
Publisher: Springer Berlin, Heidelberg
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2012
Hardcover ISBN: 978-3-642-31213-7Published: 05 September 2012
Softcover ISBN: 978-3-642-43386-3Published: 15 October 2014
eBook ISBN: 978-3-642-31214-4Published: 04 September 2012
Series ISSN: 1616-0533
Series E-ISSN: 2195-0687
Edition Number: 1
Number of Pages: XVIII, 362
Topics: Quantitative Finance, Analysis, Probability Theory and Stochastic Processes, Approximations and Expansions, Applications of Mathematics