Author: Peter Tankov
Edition: 1
Publisher: Chapman and Hall/CRC
Binding: Hardcover
ISBN: 1584884134
Price:
You Save: 24%
Financial Modelling with Jump Processes (Chapman & Hall/CRC Financial Mathematics Series)
- Hardcover.
WINNER of a Riskbook.Financial Modelling with Jump Processes review. om 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 soRead full reviews of financial modelling with jump processes book | peter tankov hb 1584884134.
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Categories: Finance->Mathematical models, Jump processes, Finance->Mathematical model. Contributors: Peter Tankov - Author. Format: Hardcover
general all our items our feedback faqs about us contact us item description financial modelling with jump processes chapman hall crc financial mathematics series ean 978 1584884132 isbn 10 1 584884134 ref gdn 1584884134 title financial modelling with jump processes chapman hall crc financial mathematics series author peter tankov publisher
Financial Modelling with Jump Processes
For graduate students and professionals in applied mathematics and quantitative finance, this text provides an overview of the theoretical, numerical, and empirical aspects involved in using jump processes in financial modeling.
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 L
Financial Modelling with Jump Processes Reviews
om 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.
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