-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book … and continues to be engaged in research on many topics in finance. His primary areas of interest are volatility, ARCH …

-Scholes-Merton model is, then, presented in a uniquely accessible and understandable way. Implied volatility, local volatility surfaces … advanced models from current literature such as nonlinear PDE's for stochastic volatility models in a transaction fee market … and PDE's in a jump-diffusion with stochastic volatility models. There are over 300 examples and exercises that are …