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20140310151458.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
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120904s2012 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9783642312144 |
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978-3-642-31214-4 |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
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| Classification number |
HB135-147 |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
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| Classification number |
519 |
| Edition number |
23 |
| 264 #1 - |
|---|
| -- |
Berlin, Heidelberg : |
| -- |
Springer Berlin Heidelberg : |
| -- |
Imprint: Springer, |
| -- |
2012. |
| 912 ## - |
|---|
| -- |
ZDB-2-SMA |
| 100 1# - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Gulisashvili, Archil. |
| Relator term |
author. |
| 245 10 - IMMEDIATE SOURCE OF ACQUISITION NOTE |
|---|
| Title |
Analytically Tractable Stochastic Stock Price Models |
| Medium |
[electronic resource] / |
| Statement of responsibility, etc |
by Archil Gulisashvili. |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
XVII, 359 p. |
| Other physical details |
online resource. |
| 440 1# - SERIES STATEMENT/ADDED ENTRY--TITLE |
|---|
| Title |
Springer Finance, |
| International Standard Serial Number |
1616-0533 |
| 505 0# - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
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 . |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
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. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Mathematics. |
|
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| Topical term or geographic name as entry element |
Global analysis (Mathematics). |
|
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| Topical term or geographic name as entry element |
Finance. |
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| Topical term or geographic name as entry element |
Distribution (Probability theory). |
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| Topical term or geographic name as entry element |
Mathematics. |
|
|---|
| Topical term or geographic name as entry element |
Quantitative Finance. |
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|---|
| Topical term or geographic name as entry element |
Analysis. |
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|---|
| Topical term or geographic name as entry element |
Probability Theory and Stochastic Processes. |
|
|---|
| Topical term or geographic name as entry element |
Approximations and Expansions. |
|
|---|
| Topical term or geographic name as entry element |
Applications of Mathematics. |
| 710 2# - ADDED ENTRY--CORPORATE NAME |
|---|
| Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY |
|---|
| Title |
Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
|---|
| Display text |
Printed edition: |
| International Standard Book Number |
9783642312137 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS |
|---|
| Uniform Resource Identifier |
http://dx.doi.org/10.1007/978-3-642-31214-4 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
|
| Item type |
E-Book |
