Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
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Published By Cambridge University Press

9781139020534
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First-Order Perturbation Theory

2011 ◽  
pp. 121-147
Author(s):  
Jean-Pierre Fouque ◽  
George Papanicolaou ◽  
Ronnie Sircar ◽  
Knut Solna
Keyword(s):  
Perturbation Theory ◽  
Order Perturbation ◽  
Order Perturbation Theory ◽  
First Order ◽  
First Order Perturbation

Interest Rate Models

2011 ◽  
pp. 307-341
Author(s):  
Jean-Pierre Fouque ◽  
George Papanicolaou ◽  
Ronnie Sircar ◽  
Knut Solna
Keyword(s):  
Interest Rate ◽  
Interest Rate Models

Introduction

2011 ◽  
pp. xi-xiv
Author(s):  
Jean-Pierre Fouque ◽  
George Papanicolaou ◽  
Ronnie Sircar ◽  
Knut Solna

The Black–Scholes Theory of Derivative Pricing

2011 ◽  
pp. 1-50
Author(s):  
Jean-Pierre Fouque ◽  
George Papanicolaou ◽  
Ronnie Sircar ◽  
Knut Solna
Keyword(s):  
Derivative Pricing ◽  
Black Scholes

Volatility Time Scales

2011 ◽  
pp. 86-120 ◽  
Author(s):  
Jean-Pierre Fouque ◽  
George Papanicolaou ◽  
Ronnie Sircar ◽  
Knut Solna
Keyword(s):  
Time Scales

Other Applications

2011 ◽  
pp. 283-306
Author(s):  
Jean-Pierre Fouque ◽  
George Papanicolaou ◽  
Ronnie Sircar ◽  
Knut Solna

Credit Risk II: Multiscale Intensity-Based Models

2011 ◽  
pp. 377-423
Author(s):  
Jean-Pierre Fouque ◽  
George Papanicolaou ◽  
Ronnie Sircar ◽  
Knut Solna
Keyword(s):  
Credit Risk

Hedging Strategies

2011 ◽  
pp. 199-231
Author(s):  
Jean-Pierre Fouque ◽  
George Papanicolaou ◽  
Ronnie Sircar ◽  
Knut Solna
Keyword(s):  
Hedging Strategies

Credit Risk I: Structural Models with Stochastic Volatility

2011 ◽  
pp. 342-376
Author(s):  
Jean-Pierre Fouque ◽  
George Papanicolaou ◽  
Ronnie Sircar ◽  
Knut Solna
Keyword(s):  
Credit Risk ◽  
Stochastic Volatility ◽  
Structural Models

Introduction to Stochastic Volatility Models

2011 ◽  
pp. 51-85 ◽  
Author(s):  
Jean-Pierre Fouque ◽  
George Papanicolaou ◽  
Ronnie Sircar ◽  
Knut Solna
Keyword(s):  
Stochastic Volatility ◽  
Stochastic Volatility Models ◽  
Volatility Models
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