Option Valuation Under Stochastic Volatility: With Mathematica Code
~ Alan L. Lewis
  
Review"...an impressive collection of methods and results. I found Chapter 7 on equilibrium models particularly helpful." -- Prof. Stephen Taylor, Accounting and Finance, Lancaster University

"...students of the fine art of option pricing are advised to pounce." -- Peter Carr, Head of Quantitative Research, Bloomberg

"I especially liked the treatment of the term structure of implied volatility in Chapter 6 ... a very nice contribution." -- Prof. Nizar Touzi, Dept. Mathematics, University of Paris I

Product DescriptionThis book provides an advanced treatment of option pricing for traders, money managers, and researchers. Providing largely original research not available elsewhere, it covers the latest generation of option models where both the stock price and its volatility follow diffusion processes. These new models help explain important features of real-world option pricing, including the "volatility smile" pattern. The book includes Mathematica code and 37 illustrations

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Product Details Paperback: 350 pages Publisher: Finance Press (February 1, 2000) Language: English ISBN-10: 0967637201 ISBN-13: 978-0967637204