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Methods for Finding Zeros in Polynomials
Lectures on Stochastic Flows and Applications
Educational Psychology by Edward L. Thorndike
The Last Days of Tolstoy by V. G. Chertkov
Globalization and Responsibility
Lectures on Siegel Modular Forms and Representation by Quadratic Forms
Lectures on Topics In One-Parameter Bifurcation Problems
History of the Incas by Pedro Sarmiento de Gamboa
Linear Algebra: Theorems and Applications
Lectures on Stochastic Differential Equations and Malliavin Calculus
A Short Biographical Dictionary of English Literature
Lectures on Sieve Methods and Prime Number Theory
Dollars and Sense by William Crosbie Hunter
The Theory of the Theatre by Clayton Hamilton
The Mathematics of Investment
Occupiers of Wall Street: Losers or Game Changers
The Solution of the Pyramid Problem
Lectures on Moduli of Curves
Walden by Henry David Thoreau
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Financial Modelling with Jump Processes (Chapman
Posted on 2010-04-13
|
Author: Peter Tankov, Rama Cont
Publisher: Chapman & Hall/CRC (2003) Binding: Hardcover, 552 pages pricer: $94.95 ISBN-10: 1584884134 editorialreviews 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¨¦vy 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 does so in terms within the grasp of nonspecialists. The introduction of new mathematical tools is motivated by its 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, L¨¦vy 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. checked checked checked checked checked checked
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