Name: Rough Volatility (en Inglés)
Price: 135920.00 CLP
Availability: InStock
Author: Christian Bayer;Peter K. Friz;Masaaki Fukasawa;Jim Gatheral;Antoine Jacquier;Mathieu Rosenbaum
ISBN: 9781611977776

Formato

Libro Físico

Editorial

SIAM - Society for Industrial and Applied Mathematics

Autor

Christian Bayer;Peter K. Friz;Masaaki Fukasawa;Jim Gatheral;Antoine Jacquier;Mathieu Rosenbaum

Colección

Financial Mathematics

Año

2024

Idioma

Inglés

N° páginas

261

Encuadernación

Tapa Blanda

ISBN13

9781611977776

Rough Volatility (en Inglés)

Christian Bayer;Peter K. Friz;Masaaki Fukasawa;Jim Gatheral;Antoine Jacquier;Mathieu Rosenbaum (Autor) · SIAM - Society for Industrial and Applied Mathematics · Tapa Blanda

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Reseña del libro "Rough Volatility (en Inglés)"

The first comprehensive exploration of rough volatility, this book contributes to the understanding and application of rough volatility models, equipping readers with the tools and insights needed to delve into the topic, exploring the motivation for rough volatility modeling and providing a toolbox for computation and practical implementation.

Volatility underpins financial markets by encapsulating uncertainty about prices, individual behaviors, and decisions and has traditionally been modeled as a semimartingale, with consequent scaling properties. This mathematical description has been an active topic of research for decades, however, driven by empirical estimates of the scaling behavior of volatility, a new paradigm has emerged, whereby paths of volatility are rougher than those of semimartingales. According to this perspective, volatility is path-dependent and exhibits jump-like short-term behavior.

The first book to offer a comprehensive exploration of the subject, Rough Volatility contributes to the understanding and application of rough volatility models by equipping readers with the tools and insights needed to delve into the topic, exploring the motivation for rough volatility modeling and providing a toolbox for computation and practical implementation, and organizing the material to reflect the subject's development and progression.