Analytically Tractable Stochastic Stock Price Models

by Archil Gulisashvili

Preface.- Aknowledgements.- 1.Volatility Processes.- 2.Stock Price Models with Stochastic Volatility.- 3.Realized Volatility and Mixing Distributions.- 4.Integral Transforms of Distribution Densities.- 5.Asymptotic Analysis of Mixing Distributions.- 6.Asymptotic Analysis of Stock Price Distributions.- 7.Regularly Varying Functions and Pareto Type Distributions.- 8.Asymptotic Analysis of Option Pricing Functions.- 9.Asymptotic Analysis of Implied Volatility.- 10.More Formulas for Implied Volatility.- 11.Implied Volatility in Models Without Moment Explosions.- Bibliography.- Index​.

380 pages, Paperback

First published September 5, 2012