Rough volatility (20 résultats)
Langue : anglais
Edité par SIAM - Society for Industrial and Applied Mathematics 2023
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Vendeur : Brook Bookstore On Demand, Napoli, ItalieBrook Bookstore On Demand
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Langue : anglais
Edité par SIAM - Society for Industrial and Applied Mathematics 2023
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Langue : anglais
Edité par Society for Industrial & Applied Mathematics,U.S., New York 2024
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Paperback. Etat : new. Paperback. Volatility underpins financial markets by encapsulating uncertainty about prices, individual behaviors, and decisions and has traditionally been modeled as a semimartingale, with consequent scaling properties. This mathematical description has been an active topic of research for decades, howeve…r, driven by empirical estimates of the scaling behavior of volatility, a new paradigm has emerged, whereby paths of volatility are rougher than those of semimartingales. According to this perspective, volatility is path-dependent and exhibits jump-like short-term behavior.The first book to offer a comprehensive exploration of the subject, Rough Volatility contributes to the understanding and application of rough volatility models by equipping readers with the tools and insights needed to delve into the topic, exploring the motivation for rough volatility modeling and providing a toolbox for computation and practical implementation, and organizing the material to reflect the subject's development and progression. The first comprehensive exploration of rough volatility, this book contributes to the understanding and application of rough volatility models, equipping readers with the tools and insights needed to delve into the topic, exploring the motivation for rough volatility modeling and providing a toolbox for computation and practical implementation. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.
Langue : anglais
Edité par SIAM - Society for Industrial and Applied Mathematics 2023
- Couverture souple
Vendeur : GreatBookPrices, Columbia, Etats-UnisGreatBookPrices
Contacter le vendeurVendeur avec une évaluation de 5 étoilesEtat: Occasion - Comme neuf
EUR 90,92
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Rough Volatility: 2 (Financial Mathematics)
Peter K. Friz; Christian Bayer; Masaaki Fukasawa; Jim Gatheral; Mathieu Rosenbaum; Antoine Jacquier
Langue : anglais
Edité par SIAM - Society for Industrial and Applied Mathematics 2024
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Vendeur : Kennys Bookshop and Art Galleries Ltd., Galway, IrlandeKennys Bookshop and Art Galleries Ltd.
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Etat : New. 2024. paperback. . . . . .
Langue : anglais
Edité par Society for Industrial and Applied Mathematics,U.S., US 2024
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Vendeur : Rarewaves.com USA, London, Royaume-UniRarewaves.com USA
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Paperback. Etat : New. Volatility underpins financial markets by encapsulating uncertainty about prices, individual behaviors, and decisions and has traditionally been modeled as a semimartingale, with consequent scaling properties. This mathematical description has been an active topic of research for decades, however, driven b…y empirical estimates of the scaling behavior of volatility, a new paradigm has emerged, whereby paths of volatility are rougher than those of semimartingales. According to this perspective, volatility is path-dependent and exhibits jump-like short-term behavior.The first book to offer a comprehensive exploration of the subject, Rough Volatility contributes to the understanding and application of rough volatility models by equipping readers with the tools and insights needed to delve into the topic, exploring the motivation for rough volatility modeling and providing a toolbox for computation and practical implementation, and organizing the material to reflect the subject's development and progression.
Langue : anglais
Edité par Society for Industrial & Applied Mathematics,U.S. 2024
- Couverture souple
Vendeur : Revaluation Books, Exeter, Royaume-UniRevaluation Books
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EUR 87,16
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Paperback. Etat : Brand New. 261 pages. 9.96x7.09x0.83 inches. In Stock.
Rough Volatility
Peter K. Friz; Christian Bayer; Masaaki Fukasawa; Jim Gatheral; Mathieu Rosenbaum; Antoine Jacquier
Langue : anglais
Edité par MP-SIA SIAM - Society for Industrial and Applied M 2024
- Couverture souple
Vendeur : PBShop.store UK, Fairford, Royaume-UniPBShop.store UK
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PAP. Etat : New. New Book. Shipped from UK. Established seller since 2000.
Langue : anglais
Edité par SIAM - Society for Industrial and Applied Mathematics 2023
- Couverture souple
Vendeur : GreatBookPricesUK, Woodford Green, Royaume-UniGreatBookPricesUK
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Etat : New.
Langue : anglais
Edité par SIAM - Society for Industrial and Applied Mathematics 2023
- Couverture souple
Vendeur : GreatBookPricesUK, Woodford Green, Royaume-UniGreatBookPricesUK
Contacter le vendeurVendeur avec une évaluation de 5 étoilesEtat: Occasion - Comme neuf
EUR 91,80
EUR 17,39 expéditionExpédition depuis Royaume-Uni vers Etats-UnisQuantité disponible : 9 disponible(s)
Etat : As New. Unread book in perfect condition.
Rough Volatility: 2 (Financial Mathematics)
Peter K. Friz; Christian Bayer; Masaaki Fukasawa; Jim Gatheral; Mathieu Rosenbaum; Antoine Jacquier
Langue : anglais
Edité par SIAM - Society for Industrial and Applied Mathematics 2023
- Couverture souple
Vendeur : Majestic Books, Hounslow, Royaume-UniMajestic Books
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Etat : New.
Langue : anglais
Edité par Society for Industrial & Applied Mathematics,U.S. 2023
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Vendeur : THE SAINT BOOKSTORE, Southport, Royaume-UniTHE SAINT BOOKSTORE
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Paperback / softback. Etat : New. New copy - Usually dispatched within 4 working days.
Rough Volatility: 2 (Financial Mathematics)
Peter K. Friz; Christian Bayer; Masaaki Fukasawa; Jim Gatheral; Mathieu Rosenbaum; Antoine Jacquier
Langue : anglais
Edité par SIAM - Society for Industrial and Applied Mathematics 2023
- Couverture souple
Vendeur : Kennys Bookstore, Olney, Etats-UnisKennys Bookstore
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EUR 107,22
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Etat : New. 2024. paperback. . . . . . Books ship from the US and Ireland.
Langue : anglais
Edité par Society for Industrial and Applied Mathematics,U.S., US 2024
- Couverture souple
Vendeur : Rarewaves.com UK, London, Royaume-UniRarewaves.com UK
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Paperback. Etat : New. Volatility underpins financial markets by encapsulating uncertainty about prices, individual behaviors, and decisions and has traditionally been modeled as a semimartingale, with consequent scaling properties. This mathematical description has been an active topic of research for decades, however, driven b…y empirical estimates of the scaling behavior of volatility, a new paradigm has emerged, whereby paths of volatility are rougher than those of semimartingales. According to this perspective, volatility is path-dependent and exhibits jump-like short-term behavior.The first book to offer a comprehensive exploration of the subject, Rough Volatility contributes to the understanding and application of rough volatility models by equipping readers with the tools and insights needed to delve into the topic, exploring the motivation for rough volatility modeling and providing a toolbox for computation and practical implementation, and organizing the material to reflect the subject's development and progression.
Langue : anglais
Edité par Society for Industrial & Applied Mathematics,U.S., New York 2024
- Couverture souple
Vendeur : AussieBookSeller, Truganina, AustralieAussieBookSeller
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EUR 147,59
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Paperback. Etat : new. Paperback. Volatility underpins financial markets by encapsulating uncertainty about prices, individual behaviors, and decisions and has traditionally been modeled as a semimartingale, with consequent scaling properties. This mathematical description has been an active topic of research for decades, howeve…r, driven by empirical estimates of the scaling behavior of volatility, a new paradigm has emerged, whereby paths of volatility are rougher than those of semimartingales. According to this perspective, volatility is path-dependent and exhibits jump-like short-term behavior.The first book to offer a comprehensive exploration of the subject, Rough Volatility contributes to the understanding and application of rough volatility models by equipping readers with the tools and insights needed to delve into the topic, exploring the motivation for rough volatility modeling and providing a toolbox for computation and practical implementation, and organizing the material to reflect the subject's development and progression. The first comprehensive exploration of rough volatility, this book contributes to the understanding and application of rough volatility models, equipping readers with the tools and insights needed to delve into the topic, exploring the motivation for rough volatility modeling and providing a toolbox for computation and practical implementation. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability.
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Vendeur : California Books, Miami, Etats-UnisCalifornia Books
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Paperback. Etat : new. Paperback. Reactive PublishingThe volatility surface is broken. Rough volatility explains why.This book delivers the most accessible, practical, and comprehensive guide to rough volatility, fractional Brownian motion (fBM), and Hurst-driven modeling ever written for quantitative traders and financial engin…eers.If you have struggled to understand why standard stochastic volatility models fail, or why modern markets behave with "memory" and microstructure-induced roughness, this book gives you the complete framework, intuition, and Python workflows to build the next generation of volatility models and trading systems.What This Book Teaches You- The core intuition behind rough volatilityWhy volatility is not smooth, why it cannot be modeled with classical Brownian motion, and how fractional processes capture long-memory behavior in real markets.- Fractional Brownian motion (fBM) from zero to masteryStep-by-step construction, parameterization, simulation, and calibration. Learn Hurst exponents the right way - intuitively first, then rigorously.- Full rough volatility model implementations in PythonIncluding: - The Rough Bergomi Model- Fractional Stochastic Volatility (fSV)- Multi-factor fractional models- Hybrid neural/fractional architecturesAll presented with clean, reusable code templates.- How rough volatility transforms tradingUse fractional features to detect volatility clustering, regime shifts, option mispricings, and structural breaks that traditional models miss.- Complete volatility trading systemsConcrete, plug-and-play strategies built from fractional features: - Hurst-driven volatility filters- fBM momentum/anti-momentum signals- Rough volatility mean-reversion engines- Volatility-of-volatility predictorsIncludes full Python implementations.Why Rough Volatility MattersClassical models assume volatility is smooth, Markovian, and memoryless. Modern markets are the opposite. They are rough, self-similar, and exhibit long-range dependence - and this book shows how to model that structure directly.Rough volatility is not an academic curiosity. It is the new foundation of volatility modeling at banks, hedge funds, and derivatives desks worldwide.Who This Book Is ForQuant traders, systematic volatility researchers, derivatives professionals, financial engineers, and advanced Python quants who want to push beyond Black-Scholes-era assumptions and into the future of stochastic modeling.If you want to understand how volatility really behaves, and build trading systems that exploit it, this is the most practical, complete, and modern guide available. This item is printed on demand. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.
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Vendeur : PBShop.store US, Wood Dale, Etats-UnisPBShop.store US
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EUR 40,94
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PAP. Etat : New. New Book. Shipped from UK. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000.
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Vendeur : PBShop.store UK, Fairford, Royaume-UniPBShop.store UK
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PAP. Etat : New. New Book. Delivered from our UK warehouse in 4 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000.
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Vendeur : CitiRetail, Stevenage, Royaume-UniCitiRetail
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Paperback. Etat : new. Paperback. Reactive PublishingThe volatility surface is broken. Rough volatility explains why.This book delivers the most accessible, practical, and comprehensive guide to rough volatility, fractional Brownian motion (fBM), and Hurst-driven modeling ever written for quantitative traders and financial engin…eers.If you have struggled to understand why standard stochastic volatility models fail, or why modern markets behave with "memory" and microstructure-induced roughness, this book gives you the complete framework, intuition, and Python workflows to build the next generation of volatility models and trading systems.What This Book Teaches You- The core intuition behind rough volatilityWhy volatility is not smooth, why it cannot be modeled with classical Brownian motion, and how fractional processes capture long-memory behavior in real markets.- Fractional Brownian motion (fBM) from zero to masteryStep-by-step construction, parameterization, simulation, and calibration. Learn Hurst exponents the right way - intuitively first, then rigorously.- Full rough volatility model implementations in PythonIncluding: - The Rough Bergomi Model- Fractional Stochastic Volatility (fSV)- Multi-factor fractional models- Hybrid neural/fractional architecturesAll presented with clean, reusable code templates.- How rough volatility transforms tradingUse fractional features to detect volatility clustering, regime shifts, option mispricings, and structural breaks that traditional models miss.- Complete volatility trading systemsConcrete, plug-and-play strategies built from fractional features: - Hurst-driven volatility filters- fBM momentum/anti-momentum signals- Rough volatility mean-reversion engines- Volatility-of-volatility predictorsIncludes full Python implementations.Why Rough Volatility MattersClassical models assume volatility is smooth, Markovian, and memoryless. Modern markets are the opposite. They are rough, self-similar, and exhibit long-range dependence - and this book shows how to model that structure directly.Rough volatility is not an academic curiosity. It is the new foundation of volatility modeling at banks, hedge funds, and derivatives desks worldwide.Who This Book Is ForQuant traders, systematic volatility researchers, derivatives professionals, financial engineers, and advanced Python quants who want to push beyond Black-Scholes-era assumptions and into the future of stochastic modeling.If you want to understand how volatility really behaves, and build trading systems that exploit it, this is the most practical, complete, and modern guide available. This item is printed on demand. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability.
