Since around the turn of the millennium there has been a general
acceptance that one of the more practical improvements one may make
in the light of the shortfalls of the classical Black-Scholes model
is to replace the underlying source of randomness, a Brownian
motion, by a Levy process. Working with Levy processes allows one
to capture desirable distributional characteristics in the stock
returns. In addition, recent work on Levy processes has led to the
understanding of many probabilistic and analytical properties,
which make the processes attractive as mathematical tools. At the
same time, exotic derivatives are gaining increasing importance as
financial instruments and are traded nowadays in large quantities
in OTC markets. The current volume is a compendium of chapters,
each of which consists of discursive review and recent research on
the topic of exotic option pricing and advanced Levy markets,
written by leading scientists in this field.
"In recent years, Levy processes have leapt to the fore as a
tractable mechanism for modeling asset returns. Exotic option
values are especially sensitive to an accurate portrayal of these
dynamics. This comprehensive volume provides a valuable service for
financial researchers everywhere by assembling key contributions
from the world's leading researchers in the field."
-- Peter Carr, Head of Quantitative Finance, Bloomberg LP
"This book provides a front-row seat to the hottest new field in
modern finance: options pricing in turbulent markets. The old
models have failed, as many a professional investor can sadly
attest. So many of the brightest minds in mathematical finance
across the globe are now in search of new, more accuratemodels.
Here, in one volume, is a comprehensive selection of this
cutting-edge research."
--Richard L. Hudson, former Managing Editor of "The Wall Street
Journal Europe," and co-author with Benoit B. Mandelbrot of "The
(Mis)Behaviour of Markets: A Fractal View of Risk, Ruin and
Reward"
General
Is the information for this product incomplete, wrong or inappropriate?
Let us know about it.
Does this product have an incorrect or missing image?
Send us a new image.
Is this product missing categories?
Add more categories.
Review This Product
No reviews yet - be the first to create one!
Welcome to Loot.co.za!
Sign in / Register |Wishlists & Gift Vouchers |Help | Advanced search
(1)
