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Option Valuation under Stochastic Volatility II: With Mathematica Code
Option Valuation under Stochastic Volatility II: With Mathematica Code
by Alan L. Lewis
  • Publisher: Finance Press
  • Year: 2016
  • ISBN: 9780967637211 (Paperback)
  • 737 pp
  • Book Includes: website
  • Based on: Version 9
Description
This book is a sequel to the author's well-received "Option Valuation under Stochastic Volatility". It extends that work to jump-diffusions and many related topics in quantitative finance. Topics include spectral theory for jump-diffusions, boundary behavior for short-term interest rate models, modelling VIX options, inference theory, discrete dividends, and more. It provides approximately 750 pages of original research in 26 chapters, with 165 illustrations, Mathematica, and some C/C++ codes. The first 12 chapters (550 pages) are completely new. Also included are reprints of selected previous publications of the author for convenient reference. The book should interest both researchers and quantitatively-oriented investors and traders. Additional Resources
Author website Related Topics
Economics and Finance
Mathematica Journal
The Mathematica Journal
Articles on all aspects of Mathematica usage
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