Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives

Introduction
1. The Black–Scholes theory of derivative pricing
2. Introduction to stochastic volatility models
3. Volatility time scales
4. First order perturbation theory
5. Implied volatility formulas and calibration
6. Application to exotic derivatives
7. Application to American derivatives
8. Hedging strategies
9. Extensions
10. Around the Heston model
11. Other applications
12. Interest rate models
13. Credit risk I: structural models with stochastic volatility
14. Credit risk II: multiscale intensity-based models
15. Epilogue
Bibliography
Index.