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Rough Volatility
heftet,
2024,
Engelsk,
ISBN 9781611977776
Volatility underpins financial markets by encapsulating uncertainty about prices, individual behaviors, and decisions and has traditionally been modeled as a semimartingale, with …
Lectures on Bsdes, Stochastic Control, and Stochastic Differential Games with Financial Applications
heftet,
2016,
Engelsk,
ISBN 9781611974232
A vital introduction to the stochastic analysis tools which play an increasing role in the probabilistic approach to optimization problems, including stochastic control and …