ISBN-10:
0470851562
ISBN-13:
9780470851562
Pub. Date:
05/26/2003
Publisher:
Wiley
Levy Processes in Finance: Pricing Financial Derivatives / Edition 1

Levy Processes in Finance: Pricing Financial Derivatives / Edition 1

by Wim Schoutens

Hardcover

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Product Details

ISBN-13: 9780470851562
Publisher: Wiley
Publication date: 05/26/2003
Series: Wiley Series in Probability and Statistics Series , #534
Pages: 200
Product dimensions: 6.24(w) x 9.29(h) x 0.67(d)

About the Author

WIM SCHOUTENS has a degree in Computer Science and a PhD in Science, Mathematics. He is a research professor in the Department of Mathematics at the Catholic University of Leuven, Belgium. He has been a consultant to the banking industry and is author of the Wiley book Lévy Processes in Finance: Pricing Financial Derivatives. His research interests are focused on financial mathematics and stochastic processes. He currently teaches several courses related to financial engineering in different Masters programmes.

Table of Contents

Preface.

Acknowledgements.

Introduction.

Financial Mathematics in Continuous Time.

The Black-Scholes Model.

Imperfections of the Black-Scholes Model.

Lévy Processes and OU Processes.

Stock Price Models Driven by Lévy Processes.

Lévy Models with Stochastic Volatility.

Simulation Techniques.

Exotic Option Pricing.

Interest-Rate Models.

Appendix A: Special Functions.

Appendix B: Lévy Processes.

Appendix C: S&P 500 Call Option Prices.

References.

Index.

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