| Description |
xvi, 535 pages ; 25 cm |
| Series |
Chapman & Hall/CRC financial mathematics series |
|
Chapman & Hall/CRC financial mathematics series.
|
| Contents |
1. Financial modelling beyond Brownian motion -- I. Mathematical tools -- 2. Basic tools -- 3. Levy processes: definitions and properties -- 4. Building Levy processes -- 5. Multidimensional models with jumps -- II. Simulation and estimation -- 6. Simulating Levy processes -- 7. Modelling financial time series with Levy processes -- III. Option pricing in models with jumps -- 8. Stochastic calculus for jump processes -- 9. Measure transformations for Levy processes -- 10. Pricing and hedging in incomplete markets -- 11. Risk-neutral modelling with exponential Levy processes -- 12. Integro-differential equations and numerical methods -- 13. Inverse problems and model calibration -- IV. Beyond Levy processes -- 14. Time inhomogeneous jump processes -- 15. Stochastic volatility models with jumps -- A. Modified Bessel functions |
| Summary |
"This book demonstrates that the concepts and tools necessary for understanding and implementing models with jumps can be more intuitive that those involved in the Black-Scholes and diffusion models. If you have even a basic familiarity with quantitative methods in finance, Financial Modelling with Jump Processes with give you a valuable new set of tools for modelling market fluctuations."--BOOK JACKET |
| Notes |
Formerly CIP. Uk |
| Bibliography |
Includes bibliographical references and index |
| Notes |
Also available online |
|
Print version record |
| Subject |
Finance -- Statistical methods.
|
|
Finance -- Mathematical models.
|
|
Jump processes.
|
| Author |
Tankov, Peter.
|
| LC no. |
2003063470 |
| ISBN |
1584884134 alkaline paper |
|
