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FINANCIAL MODELLING WITH JUMP PROCESSES
R.CONT,P.TANKOV wydawnictwo: CHAPMAN , rok wydania 2004, wydanie I cena netto: 326.00 Twoja cena 309,70 zł + 5% vat - dodaj do koszyka
- Presents the concepts and tools for using jump processes in modeling market fluctuations
- Uses clear exposition and intuitive explanations to demystify the technicalities and
make the tools accessible to nonspecialists
- Clarifies mathematical concepts with empirical and numerical examples and almost 200
figures and tables
- Details the numerical implementation of pricing and calibration algorithms
- Provides additional materials and new development on a supporting Web site
WINNER of a Riskbook.com Best of 2004 Book Award!
During the last decade, financial models based on jump processes have acquired increasing
popularity in risk management and option pricing. Much has been published on the subject,
but the technical nature of most papers makes them difficult for nonspecialists to
understand, and the mathematical tools required for applications can be intimidating.
Potential users often get the impression that jump and Lévy processes are beyond their
reach.
Financial Modelling with Jump Processes shows that this is not so. It provides a
self-contained overview of the theoretical, numerical, and empirical aspects involved in
using jump processes in financial modelling, and it does so in terms within the grasp of
nonspecialists. The introduction of new mathematical tools is motivated by their use in
the modelling process, and precise mathematical statements of results are accompanied by
intuitive explanations.
Topics covered in this book include: jump-diffusion models, Lévy processes, stochastic
calculus for jump processes, pricing and hedging in incomplete markets, implied volatility
smiles, time-inhomogeneous jump processes and stochastic volatility models with jumps. The
authors illustrate the mathematical concepts with many numerical and empirical examples
and provide the details of numerical implementation of pricing and calibration algorithms.
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 will give you a valuable new
set of tools for modelling market fluctuations.
532 pages
Po otrzymaniu zamówienia poinformujemy,
czy wybrany tytuł polskojęzyczny lub
anglojęzyczny jest aktualnie na półce księgarni.
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