Description 
1 online resource 
Series 
Springer finance, 16160533 

Springer finance

Contents 
Volatility Processes  Stock Price Models with Stochastic Volatility  Realized Volatility and Mixing Distributions  Integral Transforms of Distribution Densities  Asymptotic Analysis of Mixing Distributions  Asymptotic Analysis of Stock Price Distributions  Regularly Varying Functions and ParetoType Distributions  Asymptotic Analysis of Option Pricing Functions  Asymptotic Analysis of Implied Volatility  More Formulas for Implied Volatility  Implied Volatility in Models Without Moment Explosions 
Summary 
Annotation 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 BlackScholes 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 HullWhite model the volatility process is a geometric Brownian motion, the SteinStein model uses an OrnsteinUhlenbeck process as the stochastic volatility, and in the Heston model a CoxIngersollRoss 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 
Analysis 
Mathematics 

Global analysis (Mathematics) 

Distribution (Probability theory) 

Quantitative Finance 

Analysis 

Probability Theory and Stochastic Processes 

wiskunde 

analyse 

approximaties 

approximations 

waarschijnlijkheidstheorie 

probability theory 

stochastische processen 

stochastic processes 

toegepaste wiskunde 

applied mathematics 

finance 

Mathematics (General) 

Wiskunde (algemeen) 
Bibliography 
Includes bibliographical references and index 
Notes 
English 
Subject 
Stocks  Prices  Mathematical models


BUSINESS & ECONOMICS  Investments & Securities  Stocks.


Stocks  Prices  Mathematical models.

Genre/Form 
Electronic books

Form 
Electronic book

ISBN 
9783642312144 

3642312144 

3642312136 

9783642312137 
