Financial Modelling with Jump Processes
Published on 30. December 2003
552 pages
978-1-135-43794-7 (ISBN)
Description
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
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
Reviews / Votes
"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...the content speaks for itself..."
-ISI Short Book Reviews
"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 Levy 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, 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, 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
"I love this book. It will be required reading for students entering Levy finance. My judgment is that it will be useful both within academia, particularly to people in stochastics, econometrics, and other fields wanting to develop an interest in finance, and to practitioners."
-N.H. Bingham, Journal of the American Statistical Association
More details
Series
Language
English
Place of publication
London
United Kingdom
Publishing group
Taylor & Francis Ltd
Target group
Professional and scholarly
Graduate students and researchers interested in quantitative finance, applied probability, and computational methods;
Professionals involved in risk management, derivatives and quantitative research in financial institutions.
Illustrations
53 s/w Abbildungen, 20 s/w Tabellen
53 b/w images, 20 tables and 1000 equations
File size
21,93 MB
ISBN-13
978-1-135-43794-7 (9781135437947)
Copyright in bibliographic data and cover images is held by Nielsen Book Services Limited or by the publishers or by their respective licensors: all rights reserved.
Schweitzer Classification
Other editions
Additional editions
Rama Cont | Peter Tankov
Financial Modelling with Jump Processes
Book
12/2003
1st Edition
Chapman & Hall/CRC
€173.10
Shipment within 15-20 days
Person
Peter Tankov
Content
Financial Modelling Beyond Brownian Motion. Mathematical Tools. Simulation and Estimation. Option Pricing in Models with Jumps. Beyond Levy Processes. Appendices. Bibliography. Index.
