Search results for ‘Jean-Pierre Fouque (University of California, Santa Barbara),George Papanicolaou (Stanford University, California),Ronnie Sircar (Princeton University, New Jersey),Knut Solna (University of California, Irvine)’

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      Cover image for Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives
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      Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

      Jean-Pierre Fouque (University of California, Santa Barbara),George Papanicolaou (Stanford University, California),Ronnie Sircar (Princeton University, New Jersey),Knut Solna (University of California, Irvine)

      This research monograph in financial mathematics can also be used as a graduate-level textbook. It explains financial models in which volatility of assets changes randomly over time. These are analyzed…

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