Book2000

Introduction and Summary of Results (Excerpt)

516 citations0/0 files storedRePEc: Research Papers in Economics

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

Abstract

This book provides an advanced treatment of option valuation. The general setting is that of 2D continuous-time models with stochastic volatility. Explicit equilibrium risk adjustments and many other new results are provided. Mathematica code for the more important formulas is included. For a summary of results, see the Chapter 1 excerpt.

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2006Maximum likelihood estimation of stochastic volatility models 2003The dynamics of stochastic volatility: evidence from underlying and options markets 2006Moment explosions in stochastic volatility models 2006A Benchmark Approach to Quantitative Finance 2011Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives 2004Option pricing by transform methods: extensions, unification and error control 2010Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options 2001A Simple Option Formula for General Jump-Diffusion and Other Exponential Levy Processes

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