UID:
edocfu_9959327316802883
Format:
1 online resource (xiii, 180 pages) :
,
illustrations
ISBN:
0470851562
,
9780470851562
,
0470870230
,
9780470870235
,
1280556153
,
9781280556159
,
9786610556151
,
6610556156
,
0470864508
,
9780470864500
Content:
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. These powerful modelling tools allow the user to model more complex phenomena, and are commonly applied to problems in finance. 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.*Provides an introduction to the use of Levy 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.*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.
Note:
Financial mathematics in continuous time -- The Black-Scholes model --Imperfections of the Black-Scholes model -- Lévy processes and OU processes -- Stock price models driven by Lévy Processes -- Lévy models with stochastic volatility -- Simulation techniques -- Exotic option pricing -- Interest-rate models -- Appendix A : Special functions -- Appendix B : Lévy processes -- Appendix C : S & P 500 call option prices.
,
English.
Additional Edition:
Print version: Schoutens, Wim. Lévy processes in finance. Chichester, West Sussex ; New York : J. Wiley, ©2003 ISBN 0470851562
Language:
English
Subjects:
Economics
,
Mathematics
Keywords:
Electronic books.
URL:
https://onlinelibrary.wiley.com/doi/book/10.1002/0470870230
