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.
Klappentext
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 mathematic
Inhalt
Financial Modelling Beyond Brownian Motion. Mathematical Tools. Simulation and Estimation. Option Pricing in Models with Jumps. Beyond Levy Processes. Appendices. Bibliography. Index.