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Derivatives in Financial Markets with Stochastic Volatility

Jean‐Pierre Fouque · George Papanicolaou

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

Abstract

1. The Black-Scholes theory of derivative pricing 2. Introduction to stochastic volatility models 3. Scales in mean-reverting stochastic volatility 4. Tools for estimating the rate of mean-reversion 5. Symptotics for pricing European derivatives 6. Implementation and stability 7. Hedging strategies 8. Application to exotic derivatives 9. Application to American derivatives 10. Generalizations 11. Applications to interest rates models.

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