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Option Valuation under Stochastic Volatility II: With Mathematica Code

Alan L. Lewis
Book information

Publisher: Finance Press
Copyright year: 2016
ISBN: 9780967637211
Medium: Paperback
Includes: website
Pages: 737
Out of print?: N
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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.

*Business and Economics > Finance