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 ... Read More
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. Read Less
Add this copy of Rough Volatility to cart. $86.92, new condition, Sold by Books2anywhere rated 5.0 out of 5 stars, ships from Fairford, GLOUCESTERSHIRE, UNITED KINGDOM, published 2024 by MP-SIA SIAM-Society for Industrial and Applied M.
Edition:
2024, Society for Industrial & Applied Mathematics,U.S.
Publisher:
Society for Industrial & Applied Mathematics,U.S.
Published:
1/31/2024 12: 00: 00 AM
Language:
English
Alibris ID:
18894002744
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Add this copy of Rough Volatility to cart. $109.20, new condition, Sold by Booksplease rated 4.0 out of 5 stars, ships from Southport, MERSEYSIDE, UNITED KINGDOM, published 2024 by Society for Industrial & Applied Mathematics,U.S..
Edition:
2024, Society for Industrial & Applied Mathematics,U.S.
Add this copy of Rough Volatility: 2 (Financial Mathematics) to cart. $130.57, new condition, Sold by Kennys.ie rated 5.0 out of 5 stars, ships from Galway, IRELAND, published 2024 by Society for Industrial & Applied Mathematics,U.S..
Edition:
2024, Society for Industrial & Applied Mathematics,U.S.
