Financial Modelling with Jump Processes / Edition 1

Financial Modelling with Jump Processes / Edition 1

4.0 1
by Peter Tankov, Rama Cont
     
 

ISBN-10: 1584884134

ISBN-13: 9781584884132

Pub. Date: 11/28/2003

Publisher: Taylor & Francis

During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing applications. 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.

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Overview

During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing applications. 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 end users often get the impression that jump and L vy processes are beyond their reach. Financial Modelling with Jump Processes demonstrates that this is not so. It provides a self-contained overview of the theoretical, numerical, and empirical aspects of using jump processes in financial modeling, and does so in terms well within the grasp of nonspecialists. With clear-sighted explanations, the authors motivate the use of the various mathematical tools used in the modelling process, and while giving an intuitive understanding of proofs, provide precise mathematical statements of the results. They illustrate the mathematical concepts with many numerical and empirical examples and provide the details of numerical implementation of pricing and calibration algorithms. This book clearly shows that the concepts and tools necessary for understanding and implementing these models can be much more accessible and 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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Product Details

ISBN-13:
9781584884132
Publisher:
Taylor & Francis
Publication date:
11/28/2003
Series:
Chapman and Hall/CRC Financial Mathematics Series, #2
Edition description:
New Edition
Pages:
552
Product dimensions:
6.10(w) x 9.30(h) x 1.30(d)

Table of Contents

FINANCIAL MODELLING BEYOND BROWNIAN MOTION 1
Models in the light of empirical facts
Evidence from option markets
Implied volatility smiles and skews
Short term options
Hedging and risk management
Objectives

MATHEMATICAL TOOLS
Basic Tools
Lévy Processes: Definitions and Properties
Building Lévy processes
Multidimensional Models with Jumps

SIMULATION AND ESTIMATION
Simulating Lévy Processes
Modelling Financial Time Series with Lévy Processes

OPTION PRICING IN MODELS WITH JUMPS
Stochastic Calculus for Jump Processes
Measure Transformations for Lévy Processes
Pricing and Hedging in Incomplete Markets
Risk-Neutral Modelling with Exponential Lévy Processes
Integro-Differential Equations and Numerical Methods
Inverse Problems and Model Calibration

BEYOND LÉVY PROCESSES
Time-Inhomogeneous Models
Stochastic Volatility Models with Jumps

APPENDIX: Modfied Bessel Functions
REFERENCES
SUBJECT INDEX

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Financial Modelling with Jump Processes 4 out of 5 based on 0 ratings. 1 reviews.
Guest More than 1 year ago
Jump-diffusions and Levy processes seemed so difficult to me..until I ran across this book! It is an interesting mix of theory, numerics and financial insight on incomplete markets, hedging etc. Moreover it is nice to read with some historical comments and (pseudo)humor peppered here and there. Good work!