Financial Modelling with Jump ProcessesCRC Press, 30 déc. 2003 - 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 mathematic |
Table des matières
| 1 | |
Part I Mathematical tools | 16 |
Part II Simulation and estimation | 171 |
Part III Option pricing in models with jumps | 245 |
Part IV Beyond Lévy processes | 465 |
Modified Bessel functions | 514 |
| 516 | |
| 533 | |
Expressions et termes fréquents
additive algorithm allows applied approach approximation asset behavior Brownian motion calibration called Chapter characteristic function complete component compound Poisson compute condition Consider construct continuous convergence corresponding defined definition denoted density dependence derivatives described diffusion discussed distribution drift equal equation equivalent estimation example exists exponential expression fact Figure finite formula function Gaussian give given hedging implied volatility increasing increments independent infinite integral intensity jumps leads Lévy copula Lévy measure Lévy process martingale maturity means methods minimal models Note observed obtain option prices parameters particular paths payoff Poisson process positive probability problem proof properties Proposition random variable representation represented requires respect result returns risk sample simple simulate solution space stable stochastic stochastic volatility strategy structure studied subordinator tail theorem trajectory transform triplet variance variation verifies zero