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Interest-Rate Models. Appendix A: Special Functions.

Pdf Lévy Processes In Finance: Pricing Financial Derivatives

Appendix B: Levy Processes. Du kanske gillar. Permanent Record Edward Snowden Inbunden. Lifespan David Sinclair Inbunden. Inbunden Engelska, Spara som favorit. Skickas inom vardagar. Financial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry.

Derivatives explained

Provides an introduction to the use of LA c vy processes in finance. Features many examples using real market data, with emphasis on the pricing of financial derivatives. Covers a number of key topics, including option pricing, Monte Carlo simulations, stochastic volatility, exotic options and interest rate modelling.

1st Edition

Includes many figures to illustrate the theory and examples discussed. Avoids unnecessary mathematical formalities.

The book is primarily aimed at researchers and postgraduate students of mathematical finance, economics and finance. The range of examples ensures the book will make a valuable reference source for practitioners from the finance industry including risk managers and financial product developers. Financial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry. In parallel, the theory of Levy processes has also seen many exciting developments.


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Levy Processes in Finance: Pricing Financial Derivatives takes a practical approach to describing the theory of Levy-based models, and features many examples of how they may be used to solve problems in finance. He has been a consultant to the banking industry and is author of the Wiley book L vy Processes in Finance: Pricing Financial Derivatives.

The Black-Scholes Model.

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Imperfections of the Black-Scholes Model. Levy Processes and OU Processes. Levy Models with Stochastic Volatility.

Simulation Techniques. Exotic Option Pricing.

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Interest-Rate Models. Appendix A: Special Functions. Appendix B: Levy Processes. More Books in Mathematics See All. Math Art Truth, Beauty, and Equations. In Stock.


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