Financial Modelling with Jump Processes / Edition 1

Hardcover (Print)
Rent
Rent from BN.com
$45.62
(Save 59%)
Est. Return Date: 06/15/2014
Used and New from Other Sellers
Used and New from Other Sellers
from $96.14
Usually ships in 1-2 business days
(Save 12%)
Other sellers (Hardcover)
  • All (4) from $96.14   
  • New (3) from $96.14   
  • Used (1) from $138.11   

Overview

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.

Read More Show Less

Product Details

  • ISBN-13: 9781584884132
  • Publisher: Taylor & Francis
  • Publication date: 11/28/2003
  • Series: Chapman & Hall/CRC Financial Mathematics Series , #2
  • Edition description: New Edition
  • Edition number: 1
  • 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

Read More Show Less

Customer Reviews

Average Rating 4
( 1 )
Rating Distribution

5 Star

(0)

4 Star

(1)

3 Star

(0)

2 Star

(0)

1 Star

(0)

Your Rating:

Your Name: Create a Pen Name or

Barnes & Noble.com Review Rules

Our reader reviews allow you to share your comments on titles you liked, or didn't, with others. By submitting an online review, you are representing to Barnes & Noble.com that all information contained in your review is original and accurate in all respects, and that the submission of such content by you and the posting of such content by Barnes & Noble.com does not and will not violate the rights of any third party. Please follow the rules below to help ensure that your review can be posted.

Reviews by Our Customers Under the Age of 13

We highly value and respect everyone's opinion concerning the titles we offer. However, we cannot allow persons under the age of 13 to have accounts at BN.com or to post customer reviews. Please see our Terms of Use for more details.

What to exclude from your review:

Please do not write about reviews, commentary, or information posted on the product page. If you see any errors in the information on the product page, please send us an email.

Reviews should not contain any of the following:

  • - HTML tags, profanity, obscenities, vulgarities, or comments that defame anyone
  • - Time-sensitive information such as tour dates, signings, lectures, etc.
  • - Single-word reviews. Other people will read your review to discover why you liked or didn't like the title. Be descriptive.
  • - Comments focusing on the author or that may ruin the ending for others
  • - Phone numbers, addresses, URLs
  • - Pricing and availability information or alternative ordering information
  • - Advertisements or commercial solicitation

Reminder:

  • - By submitting a review, you grant to Barnes & Noble.com and its sublicensees the royalty-free, perpetual, irrevocable right and license to use the review in accordance with the Barnes & Noble.com Terms of Use.
  • - Barnes & Noble.com reserves the right not to post any review -- particularly those that do not follow the terms and conditions of these Rules. Barnes & Noble.com also reserves the right to remove any review at any time without notice.
  • - See Terms of Use for other conditions and disclaimers.
Search for Products You'd Like to Recommend

Recommend other products that relate to your review. Just search for them below and share!

Create a Pen Name

Your Pen Name is your unique identity on BN.com. It will appear on the reviews you write and other website activities. Your Pen Name cannot be edited, changed or deleted once submitted.

 
Your Pen Name can be any combination of alphanumeric characters (plus - and _), and must be at least two characters long.

Continue Anonymously
Sort by: Showing 1 Customer Reviews
  • Anonymous

    Posted February 14, 2004

    At last, a readable introduction to jump processes!

    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!

    Was this review helpful? Yes  No   Report this review
Sort by: Showing 1 Customer Reviews

If you find inappropriate content, please report it to Barnes & Noble
Why is this product inappropriate?
Comments (optional)