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This resource provides an accessible overview of financial models based on jump processes used in risk management and option pricing. After presenting the necessary mathematics, the text discusses theoretical, numerical, and empirical issues. While the emphasis is on demystifying technical difficulties to better understand applications, mathematical results are presented in a rigorous, though self-contained, manner, accessible to any reader with basic knowledge of the Black-Scholes model. Concepts are illustrated through numerous numerical and empirical examples.
Nákup knihy
Financial Modelling with Jump Processes, Rama Cont
- Jazyk
- Rok vydania
- 2003
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- Titul
- Financial Modelling with Jump Processes
- Jazyk
- anglicky
- Autori
- Rama Cont
- Vydavateľ
- Chapman & Hall/CRC
- Rok vydania
- 2003
- Väzba
- pevná
- Počet strán
- 552
- ISBN10
- 1584884134
- ISBN13
- 9781584884132
- Série
- Hodnotenie
- 3,35 z 5
- Anotácia
- This resource provides an accessible overview of financial models based on jump processes used in risk management and option pricing. After presenting the necessary mathematics, the text discusses theoretical, numerical, and empirical issues. While the emphasis is on demystifying technical difficulties to better understand applications, mathematical results are presented in a rigorous, though self-contained, manner, accessible to any reader with basic knowledge of the Black-Scholes model. Concepts are illustrated through numerous numerical and empirical examples.