We apply perturbation methods as well to Value-at-Risk (VaR), a measure of portfolio risk. Once a confidence level q is fixed, we first compute an approximation

Building upon the ideas introduced in their previous book, Derivatives in Financial Markets with Stochastic Volatility, the authors study the pricing and hedgin

This book on Interest Rate Derivatives has three parts. The first part is on financial products and extends the range of products considered in Interest Rate De