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Home / Books / Published Books / Research Seminars in Mathematical Finance: Stochastic Volatility Models, Option Pricing, Calibration
Research Seminars in Mathematical Finance: Stochastic Volatility Models, Option Pricing, Calibration
Authors:
Lorella Fatone, Francesca Mariani, Maria Cristina Recchioni, Francesco Zirilli
ISBN:
978-1-940366-02-9
Published Date:
July, 2014
Pages:
223
Paperback:
$89
Publisher:
Science Publishing Group
OPEN ACCESS
To purchase hard copies of this book, please email:
book@sciencepublishinggroup.com
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Table of Contents
The Whole Book
Since May 20, 2015
Front Matter
Since July 5, 2014
1 Stochastic Volatility Models
Since July 5, 2014
1.1 Heston Model: Option Pricing Formulae, Filtering and Calibration Problems
1.2 Multiscale Heston Model: Option Pricing Formulae and Calibration Problems
1.3 SABR and Multiscale SABR Models: Option Pricing and Calibration
2 The Study of Real Data Using ad hoc Stochastic Models
Since July 5, 2014
2.1 Maximum Likelihood Estimation of the Parameters of a Stochastic Differential System Modeling the Returns of the Index of Some Classes of Hedge Funds
2.2 Calibration of a Stochastic Model of Spiky Prices: An Application to Electric Power Prices
2.3 The Analysis of Electric Power Price Data and of the S&P 500 Index Using a Multiscale Stochastic Volatility Model
3 Calibration of Stochastic Volatility Models Using Statistical Tests
Since July 5, 2014
3.1 The Use of Statistical Tests to Calibrate the Black-Scholes Model
3.2 The Use of Statistical Tests to Calibrate the Normal SABR Model I
3.3 The Use of Statistical Tests to Calibrate the Normal SABR Model II
Back Matter
Since July 5, 2014
Author(s)
Lorella Fatone, Dipartimento di Matematica e Fisica, Università di Camerino, Camerino, Italy.
Francesca Mariani, Dipartimento di Scienze Economiche, Università di Verona, Verona, Italy.
Maria Cristina Recchioni, Dipartimento di Management, Università Politecnica delle Marche, Ancona, Italy.
Francesco Zirilli, Dipartimento di Matematica "G. Castelnuovo", Università di Roma "La Sapienza", Roma, Italy.
Description
This ebook contains a set of slides that can be used to present lectures in a graduate course or in a research seminar in mathematical finance.

The ebook is divided in three chapter, each chapter is divided in three sections, each section contains a set of slides that can be used to present a lecture. The lectures are independent one from the others.

The lectures discuss the results of the research in mathematical finance of the authors during the years 2007-2012. The results presented are concerned with the study of stochastic volatility models (Heston, SABR models and their generalizations), and in particular with the option pricing and calibration problems relative to these models.These results have been published in papers appeared in academic journals. The papers are complemented with multimedia material and mathematical software available on the web.
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