Financial Modelling with Jump Processes (Livre numérique Google)
CRC Press, 2 juin 2004 - 552 pages
WINNER of a Riskbook.com Best of 2004 Book Award!
During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. 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 users often get the impression that jump and Lévy processes are beyond their reach.
Financial Modelling with Jump Processes shows that this is not so. It provides a self-contained overview of the theoretical, numerical, and empirical aspects involved in using jump processes in financial modelling, and it does so in terms within the grasp of nonspecialists. The introduction of new mathematical tools is motivated by their use in the modelling process, and precise mathematical statements of results are accompanied by intuitive explanations.
Topics covered in this book include: jump-diffusion models, Lévy processes, stochastic calculus for jump processes, pricing and hedging in incomplete markets, implied volatility smiles, time-inhomogeneous jump processes and stochastic volatility models with jumps. The authors illustrate the mathematical concepts with many numerical and empirical examples and provide the details of numerical implementation of pricing and calibration algorithms.
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 will give you a valuable new set of tools for modelling market fluctuations.
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mathnetbase: Mathematics Online
Financial Modelling with Jump Processes shows that this is not so. It provides a self-contained overview of the theoretical, numerical, and empirical ...
www.mathnetbase.com/ ejournals/ books/ book_summary/ summary.asp?id=1313
Cont, Rama & Peter Tankov, Financial Modelling With Jump Processes .
Cont, Rama & Peter Tankov, Financial Modelling With Jump Processes. Chapman & Hall/CRC Financial Mathematics Series, Boca Raton 2004, xvi, ...
www.cmap.polytechnique.fr/ ~rama/ Jumps/ schillingreview.pdf
phd-course: "Financial Modelling with Jump Processes"
phd-course: "Financial Modelling with Jump Processes". Lectures by Rama Cont (Columbia University), June 18-20 2007 at the Copenhagen. Business School. ...
www.phdfinance.dk/ COURSES/ JUMPS_JUNE07.PDF
Financial Modelling with Jump Processes
Financial Modelling with Jump Processes. Authors: Rama Cont; Peter Tankov. ISBN: 978-0-203-48521-7 (electronic). No. of pages: 535 ...
www.informaworld.com/ smpp/ 35862118-512851/ title~content=t736988237~db=all
ingentaconnect Financial Modelling With Jump Processes. Rama Cont ...
Financial Modelling With Jump Processes. Rama Cont and Peter Tankov. Author: Bingham, nh1. Source: Journal of the American Statistical Association, ...
www.ingentaconnect.com/ content/ asa/ jasa/ 2006/ 00000101/ 00000475/ art00057;jsessionid=39sq9e996n9j.alice?format=print
econpapers: Financial Modelling With Jump Processes. Rama Cont and ...
By NH Bingham; Financial Modelling With Jump Processes. Rama Cont and Peter Tankov.
econpapers.repec.org/ article/ besjnlasa/ v_3A101_3Ay_3A2006_3Ap_3A1315-1316.htm
Financial Mathematics Seminar
Financial Modelling with Jump Processes Chapter 10 (Nick Guo). Wednesday, 16 August 2006 at 6pm in Vincent 1, Ryan Williams (Cargill), Material from R. Cont ...
www.math.umn.edu/ ~adams/ Financial/
Erratum for: Financial Modelling with Jump Processes by Rama Cont ...
Financial Modelling with Jump Processes. by Rama Cont and Peter Tankov. Negative line numbers correspond to counting from the bottom of the page. ...
www.cmap.polytechnique.fr/ ~rama/ Jumps/ erratum.pdf
Processus stochastiques discontinus et applications en finance.
R Cont, P Tankov (2003) Financial modelling with jump processes, Chapman & Hall - CRC Press. Pour l'étude plus détaillée des processus de Lévy on pourra ...
www.cmap.polytechnique.fr/ ~rama/ teaching/ MMME/
Wilmott Forums - barrier options with stochastic volatility
For Lévy processes however there are lots of general solutions... If interested have a look at eg Financial Modelling with Jump Processes by Cont & Tankov ...