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Fouque Book
What do you think of the book:Derivatives in financial markets with stochastic volatilitybyFouque, Papanicolaou & Sircar ?Is it good?Jeny
Fouque Book
It's a good book as an approximation.....good intro to SV
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Fouque Book
The book is in stock at £35.63 in the bookshop. Visit:http://books.global-investor.com/books/ ... e=10202for more information.Suzanne
Fouque Book
QuoteOriginally posted by: jenyWhat do you think of the book:Derivatives in financial markets with stochastic volatilitybyFouque, Papanicolaou & Sircar ?Is it good?Jeny it's very good and I recommend it. but if your objective is a book that tells you how to implement mainstream stochastic vol model then this is not it.
Fouque Book
certainly a good book, interesting read. but let me add that it deals with a regime which to me seems to be quite irrelevant (fast mean reversion). even if they do try to justify it by looking for fast (and we talk 2,3 days!) meanreversion in some historical data, that kind of speed would be totally unusable to even remotely approximate current implied vosurfaces: the skew would disappear way too quickly.