Financial Modelling with Jump Processes (Hardcover, New)

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 Lévy 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.

General

Imprint:	Chapman & Hall/CRC
Country of origin:	United States
Series:	Chapman and Hall/CRC Financial Mathematics Series
Release date:	December 2003
First published:	2004
Authors:	Peter Tankov
Dimensions:	229 x 152 x 35mm (L x W x T)
Format:	Hardcover
Pages:	552
Edition:	New
ISBN-13:	978-1-58488-413-2
Categories:	Books > Business & Economics > Finance & accounting > Finance > General Books > Science & Mathematics > Mathematics > Applied mathematics > Mathematical modelling Books > Money & Finance > General Promotions
LSN:	1-58488-413-4
Barcode:	9781584884132

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