Financial Modelling with Jump Processes
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A01=Peter Tankov
A01=Rama Cont
advanced jump process modeling
Author_Peter Tankov
Author_Rama Cont
Barrier Options
Brownian Motion
Category=KFF
Category=PBWH
Complete Market Model
compound
Compound Poisson Process
empirical modeling
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
financial risk analysis
Forward Start
Forward Start Option
implied
Implied Volatility Surface
incomplete markets
Jump Diffusion Model
Laplace Exponent
Local Volatility Models
martingale
Martingale Measures
measure
Merton Jump Diffusion Model
Normal Inverse Gaussian
Normal Inverse Gaussian Process
option
Option Prices
Partial Integro Differential Equations
poisson
Poisson Process
Poisson Random Measure
prices
pricing algorithms
quantitative finance
Relative Entropy
Risk Neutral Dynamics
stable
stochastic calculus
Stochastic Integral
Stochastic Volatility Models
Subordinated Brownian Motion
tempered
Tempered Stable Process
Variance Gamma Process
volatility
Product details
- ISBN 9781584884132
- Weight: 940g
- Dimensions: 152 x 229mm
- Publication Date: 30 Dec 2003
- Publisher: Taylor & Francis Inc
- Publication City/Country: US
- Product Form: Hardback
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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.
