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Expressions et termes fréquentsadditive process algorithm approximation arbitrage asset barrier options behavior Brownian motion cadlag calibration call option Chapter characteristic function characteristic triplet component compound Poisson process compute condition continuous convergence corresponding defined definition denoted diffusion models discussed drift equation estimation European option example exponent exponential exponential-Lévy models finite variation Fourier transform gamma process given implied volatility infinitely divisible intensity Itô formula jump processes jump sizes jump-diffusion model Lévy density Lévy measure Lévy process Markov maturity methods minimal models with jumps Monte Carlo nonanticipating obtain option prices parameters payoff PIDE Poisson random measure portfolio predictable processes pricing rule probability measure problem proof properties Proposition random variable relative entropy result returns risk risk-neutral sample paths Section self-similarity semimartingale series representation simulate skew small jumps stochastic integral stochastic process stochastic volatility stochastic volatility models subordinator tail integrals tempered stable process theorem trajectory variance gamma verifies Wiener process zero Références à ce livreIssues d'autres livres
Issues de Google ScholarThe Relative Contribution of Jumps to Total Price VarianceXin Huang, George Tauchen - 2005 - Journal of Financial Econometrics A finite difference scheme for option pricing in jump diffusion ...Rama Cont, Ekaterina Voltchkova Fast deterministic pricing of options on Lévy driven assets.Ana-Maria Matache, Tobias Von Petersdorff, Christoph Schwab Non-parametric calibration of jump–diffusion option pricing modelsRama Cont, Peter Tankov Références issues de pages Webmathnetbase: Mathematics Online Cont, Rama & Peter Tankov, Financial Modelling With Jump Processes . phd-course: "Financial Modelling with Jump Processes" Financial Modelling with Jump Processes ingentaconnect Financial Modelling With Jump Processes. Rama Cont ... econpapers: Financial Modelling With Jump Processes. Rama Cont and ... Financial Mathematics Seminar Erratum for: Financial Modelling with Jump Processes by Rama Cont ... Processus stochastiques discontinus et applications en finance. Wilmott Forums - barrier options with stochastic volatility Informations bibliographiques
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