Levy processes in finance
pricing financial derivatives
- ISBN: 9780470851562
- Editorial: John Wiley & Sons Limited
- Fecha de la edición: 2004
- Lugar de la edición: Chichester. Reino Unido
- Edición número: Wiley Series
- Colección: Wiley Series in Probability and Statistics
- Encuadernación: Cartoné
- Medidas: 24 cm
- Nº Pág.: 170
- Idiomas: Inglés
Financial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry. In parallel, the theory of Lévy 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. Lévy Processes in Finance: Pricing Financial Derivatives takes a practical approach to describing the theory of Lévy-based models, and features many examples of how they may be used to solve problems in finance. ÍNDICE: 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.
