Result: Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes: by Cornelis W. Oosterlee and Lech A. Grzelak, World Scientific Pub Co Inc (2019). Hardback. ISBN 978-1786348050.
Further Information
The material from Chapter 7 immediately comes to action in Chapter 8, where stochastic volatility models (Heston, Heston with piecewise-constant parameters, Bates) are also discussed by means of the COS method from Chapter 6. Mathematical Modeling and Computation in Finance: With Exercises and Python and Matlab Computer Codes: by Cornelis W. Oosterlee and Lech A. Grzelak, World Scientific Pub Co Inc (2019). Another peculiarity of the book is found in Chapter 13 which discusses hybrid equity-interest rate models with stochastic volatility also in the context of CVA computations. [Extracted from the article]
Copyright of Quantitative Finance is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)