Financial Modelling with Jump Processes, Second Edition

2. New Auflage 2021
ISBN: 978-1-4200-8219-7
Verlag: Taylor & Francis Ltd

Buch, Englisch, 606 Seiten, Format (B × H): 156 mm x 234 mm

Reihe: Chapman & Hall/CRC Financial Mathematics Series

Including a new chapter on credit risk modelling and new developments in econometrics, the new edition of this bestselling resource provides an accessible overview of financials models based on jump processes used in risk management and option pricing. After presenting the necessary mathematics, the text presents theoretical, numerical, and empirical issues. While the emphasis is on demystifying technical difficulties so as to better understand applications, mathematical results are presented in a rigorous, though self-contained, manner, accessible to any reader having basic knowledge of the Black Scholes model. Concepts are illustrated through many numerical and empirical examples.

Zielgruppe

Professional and Professional Practice & Development

Autoren/Hrsg.

Tankov, Peter (Universite Paris VII, France)

Tankov, Peter

Cont, Rama (University of Oxford, UK)

Cont, Rama

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzsektor & Finanzdienstleistungen: Allgemeines

Inhaltsverzeichnis

Overview. Mathematical tools. Simulation and estimation. Option pricing in models with jumps. Beyond Lévy processes. Appendices. Bibliography. Index.