000			03639nam a22005175i 4500
001			978-3-642-31214-4
003			DE-He213
005			20140220083321.0
007			cr nn 008mamaa
008			120904s2012 gw | s |||| 0|eng d
020			_a9783642312144 _9978-3-642-31214-4
024	7		_a10.1007/978-3-642-31214-4 _2doi
050		4	_aHB135-147
072		7	_aKF _2bicssc
072		7	_aMAT003000 _2bisacsh
072		7	_aBUS027000 _2bisacsh
082	0	4	_a519 _223
100	1		_aGulisashvili, Archil. _eauthor.
245	1	0	_aAnalytically Tractable Stochastic Stock Price Models _h[electronic resource] / _cby Archil Gulisashvili.
264		1	_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg : _bImprint: Springer, _c2012.
300			_aXVII, 359 p. _bonline resource.
336			_atext _btxt _2rdacontent
337			_acomputer _bc _2rdamedia
338			_aonline resource _bcr _2rdacarrier
347			_atext file _bPDF _2rda
490	1		_aSpringer Finance, _x1616-0533
505	0		_aPreface -- Aknowledgements -- 1.Volatility Processes -- 2.Stock Price Models with Stochastic Volatility -- 3.Realized Volatility and Mixing Distributions -- 4.Integral Transforms of Distribution Densities -- 5.Asymptotic Analysis of Mixing Distributions -- 6.Asymptotic Analysis of Stock Price Distributions -- 7.Regularly Varying Functions and Pareto Type Distributions -- 8.Asymptotic Analysis of Option Pricing Functions -- 9.Asymptotic Analysis of Implied Volatility -- 10.More Formulas for Implied Volatility -- 11.Implied Volatility in Models Without Moment Explosions -- Bibliography -- Index .
520			_aAsymptotic 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 Black-Scholes 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 Hull-White model the volatility process is a geometric Brownian motion, the Stein-Stein model uses an Ornstein-Uhlenbeck process as the stochastic volatility, and in the Heston model a Cox-Ingersoll-Ross 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.
650		0	_aMathematics.
650		0	_aGlobal analysis (Mathematics).
650		0	_aFinance.
650		0	_aDistribution (Probability theory).
650	1	4	_aMathematics.
650	2	4	_aQuantitative Finance.
650	2	4	_aAnalysis.
650	2	4	_aProbability Theory and Stochastic Processes.
650	2	4	_aApproximations and Expansions.
650	2	4	_aApplications of Mathematics.
710	2		_aSpringerLink (Online service)
773	0		_tSpringer eBooks
776	0	8	_iPrinted edition: _z9783642312137
830		0	_aSpringer Finance, _x1616-0533
856	4	0	_uhttp://dx.doi.org/10.1007/978-3-642-31214-4
912			_aZDB-2-SMA
999			_c103322 _d103322