Financial Modelling with Jump Processes
Editorial Reviews
Review
"Pardon the pun, but I jumped at the opportunity to endorse this book. This book is the first complete treatment of markets rendered incomplete by the reality of jumps in prices and volatilities. If I were you, I would pounce." -Dr. Peter Carr, Head of Quantitative Research, Bloomberg LP and Director of Masters Program in Mathematical Finance, NYU "This book is an extremely rich source of information for recent developments in the use of jump processes in financial modelling, in particular the use of lËvy processes. The authors work at a comfortable mathematical pace choosing carefully which proofs to include and exclude and never losing sight of financial interpretation and application. "The authors conclude the main body of their text by saying: "We hope that the present volume will encourage more researchers and practitioners to contribute to this topic and improve on our understanding of theoretical, numerical and practical issues related to financial modelling with jump processes". I am quite convinced that this goal will be achieved." - Dr. Andreas E. Kyprianou in the 'International Statistics Institute' book reviews "What makes this book attractive is its comprehensiveness....this is an excellent book. Read it. You will learn much." - Glyn A.Holton of 'Contingency Analysis' "One of the first texts which is entirely devoted to option pricing with non-continuous jump-type stochastic processes… an easygoing presentation where the basic problems of jump models are not additionally obscured by technicalities." - Journal of the Royal Statistics
Book Description
Financial models based on jump processes are increasingly used in risk management and option pricing, resolving some of the shortcomings of the Black Scholes model and pointing to new theoretical, empirical, and computational issues. Providing an accessible overview of this strand of research, this book includes a self-contained presentation of the necessary mathematical background and gives a unified presentation of theoretical, numerical, and empirical issues related to the use of jump processes in applications to statistical modelling of financial time series and option pricing. The book demystifies technical difficulties so that readers can better understand the applications of financial modelling.
Financial Modelling with Jump Processes
Financial Modelling with Jump Processes,Rama Cont,Chapman & Hall/CRC,1584884134,Accounting - General,Business & Economics,Business / Economics / Finance,Business/Economics,Finance,General,Jump processes,Mathematical models,Mathematics / General
Financial Modelling with Jump Processes
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