Financial modelling with jump processes

By:

Cont, Rama

Series: Chapman and Hall/CRC financial mathematics seriesPublication details: Boca Raton Chapman and Hall/CRC 2004Description: xvi, 535 pISBN:

9781584884132

Subject(s):

DDC classification:

332.01519233

Summary: 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. (Source: LOC Publisher description)

Tags from this library: No tags from this library for this title. Log in to add tags.

Average rating: 0.0 (0 votes)

Holdings
Item type	Current library	Call number	Status	Date due	Barcode	Item holds
Book	Ahmedabad	332.01519233 C6F4 (Browse shelf(Opens below))	Available		169501

Total holds: 0

Includes bibliographical references (p. 501-527) and index.

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. (Source: LOC Publisher description)

There are no comments on this title.

to post a comment.