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Bücher Englische Bücher Volterra Volatility Models
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Volterra Volatility Models
Giulia Di Nunno, Yuliya Mishura, Anton Yurchenko-Tytarenko (Gebundene Ausgabe, Englisch)
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Beschreibung
Financial markets have extremely complex behavior that cannot be fully modeled using classical approaches. In particular, numerous empirical studies show that market volatility exhibits some form of long-range dependence and has time-varying Hölder regularity with prominent periods of “roughness” (i.e., of Hölder order ≈ 0.1). These two properties are far beyond the capabilities of classical… Brownian diffusions and it is challenging to reproduce them simultaneously in one model. In the existing literature, the phenomenons of long-range dependence and roughness mentioned above are often addressed by using fractional Brownian motion. However, in this case, these two features turn out to be mutually exclusive and cannot be grasped simultaneously. Furthermore, existing stochastic models based on fractional Brownian motion pose additional challenges of the technical kind: they tend to produce prices with moment explosions (and hence are not applicable to pricing some widespread derivatives); they may have volatilities that hit zero (or even become negative) which results in problems with transitioning between physical and pricing measures; they often lack efficient numerical algorithms for derivative pricing, hedging, etc. In this book, we introduce a novel class of stochastic processes driven by general Hölder noises that allows for a very broad flexibility in the noises (to account for both roughness and long-range dependence simultaneously) and grasps the unconventional behavior of market volatility. We also present a variety of associated numerical methods and propose practically feasible algorithms for various applications, such as pricing of derivatives (including options with discontinuous payoffs) and quadratic hedging. Dieses Produkt haben wir gerade leider nicht auf Lager.
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Bis zu 50 % günstiger als neu
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Technische Daten
Erscheinungsdatum
30.06.2026
Sprache
Englisch
EAN
9783032265753
Herausgeber
Springer International Publishing
Serien- oder Bandtitel
Springer Finance
Sonderedition
Nein
Autor
Giulia Di Nunno, Yuliya Mishura, Anton Yurchenko-Tytarenko
Einbandart
Gebundene Ausgabe
Buch Untertitel
Option Pricing and Hedging
Schlagwörter
Stochastic volatility, Rough volatility, Long memory, Asset pricing, Hedging, Stochastic integrodifferential equations, Singular equations, Malliavin calculus, Gaussian Volterra processes, Euler scheme, Monte Carlo, Hölder continuity, Fractional Brownian motion
Thema-Inhalt
PBW - Angewandte Mathematik
PBT - Wahrscheinlichkeitsrechnung und Statistik
PBWL - Stochastik
K - Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management
Höhe
235 mm
Breite
15.5 cm
Hersteller: Springer Nature Customer Service Center GmbH, Europaplatz 3, Heidelberg, Deutschland, 69115, ProductSafety@springernature.com
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