Research Catalog
Financial modelling with jump processes
- Title
- Financial modelling with jump processes / Rama Cont, Peter Tankov.
- Author
- Cont, Rama.
- Publication
- Boca Raton, Fla. : Chapman & Hall/CRC, ©2004.
Items in the Library & Off-site
Filter by
1 Item
| Status | Format | Access | Call Number | Item Location |
|---|---|---|---|---|
Not available - Please for assistance. | Text | Use in library | HG106 .C66 2004 | Off-site |
Details
- Additional Authors
- Tankov, Peter.
- Description
- xvi, 535 pages : illustrations; 24 cm
- Summary
- "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 with give you a valuable new set of tools for modelling market fluctuations."--Jacket.
- Series Statement
- Chapman & Hall/CRC financial mathematics series
- Uniform Title
- Chapman & Hall/CRC financial mathematics series
- Subject
- Finance > Mathematical models
- Jump processes
- Finance > Mathematical models
- Jump processes
- Finanzmathematik
- Finanzwissenschaft
- Lévy-Prozess
- Mathematisches Modell
- Sprungprozess
- Stochastisches Modell
- Portfolio-theorie
- Wiskundige modellen
- Stochastische processen
- Discontinuïteit
- Stochastische analyse
- Processos estocasticos
- Finanças (aplicações)
- Bibliography (note)
- Includes bibliographical references (p. 501-527) and index.
- Contents
- Financial modelling beyond Brownian motion -- Mathematical tools -- Basic tools -- Levy processes: definitions and properties -- Building Levy processes -- Multidimensional models with jumps -- Simulation and estimation -- Simulating Levy processes -- Modelling financial time series with Levy processes -- Option pricing in models with jumps -- Stochastic calculus for jump processes -- Measure transformations for Levy processes -- Pricing and hedging in incomplete markets -- Risk-neutral modelling with exponential Levy processes -- Integro-differential equations and numerical methods -- Inverse problems and model calibration -- Beyond Levy processes -- Time inhomogeneous jump processes -- Stochastic volatility models with jumps -- Modified Bessel functions.
- ISBN
- 1584884134
- 9781584884132
- LCCN
- 2003063470
- 9781584884132
- OCLC
- ocm53285147
- 53285147
- SCSB-14213102
- Owning Institutions
- Princeton University Library