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Introduction

  • Elie Ayache

Abstract

This is an ambitious book. Its ultimate purpose is to introduce a new matter, in the sense of a new chemical compound. Matter to be created and defined, not empirically discovered. Matter, not in the sense of physics, but of metaphysics.

Keywords

Stochastic Volatility Implied Volatility Data Generate Process Contingent Claim Underlying Asset 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Notes

  1. 2.
    Fisher Black and Myron Scholes, The pricing of options and corporate liabilities, Journal of Political Economy, 81(3), May–June 1973, 637–654.CrossRefGoogle Scholar
  2. 3.
    See Rama Cont, Jose da Fonseca and Valdo Durrleman, Stochastic models of implied volatility surfaces, Economic Notes, 31 (2), 2002, 361–377.CrossRefGoogle Scholar
  3. 5.
    See J. Michael Harrison and Stanley R. Pliska, Martingales and stochastic integrals in the theory of continuous trading, Stochastic Processes and their Applications, 11, 1981, 215–260 and our whole discussion around it in Chapter 13.CrossRefGoogle Scholar

Copyright information

© Elie Ayache 2015

Authors and Affiliations

  • Elie Ayache

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