Financial Modelling with Jump Processes, Second Edition

Informationen zum Autor Columbia University! New York! USA Universite Paris VII! France University of Maryland! College Park! USA University of Cambridge and Cambridge Systems Associates Limited! UK Klappentext Presents an overview of financials models based on jump processes used in risk management and option pricing. After presenting the necessary mathematics! this text presents theoretical! numerical and empirical issues. Zusammenfassung Presents an overview of financials models based on jump processes used in risk management and option pricing. After presenting the necessary mathematics, this text presents theoretical, numerical and empirical issues. Inhaltsverzeichnis Overview. Mathematical tools. Simulation and estimation. Option pricing in models with jumps. Beyond Lévy processes. Appendices. Bibliography. Index.

Auteur
Universite Paris VII, France Columbia University, New York, USA University of Maryland, College Park, USA University of Cambridge and Cambridge Systems Associates Limited, UK

Texte du rabat
Presents an overview of financials models based on jump processes used in risk management and option pricing. After presenting the necessary mathematics, this text presents theoretical, numerical and empirical issues.

Contenu
Overview. Mathematical tools. Simulation and estimation. Option pricing in models with jumps. Beyond Lévy processes. Appendices. Bibliography. Index.