Financial modelling with jump processes:
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Boca Raton, Fla. [u.a.]
Chapman & Hall/CRC
2004
|
| Schriftenreihe: | Chapman & Hall/CRC financial mathematics series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Klappentext |
| Beschreibung: | XVI, 535 S. Ill., graph. Darst. |
| ISBN: | 1584884134 |
Internformat
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| 650 | 7 | |a Wiskundige modellen |2 gtt | |
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
1 Financial
1.1 Models in
1.2
1.2.1
1.2.2
1.3
1.4
1 Mathematical tools
2
2.1
2.1.1
2.1.2
2.1.3
2.2
2.2.1
2.2.2
2.2.3
2.2.4
2.2.5
2.3
2.3.1
2.3.2
2.3.3
2.4
2.4.1
2.4.2
2.4.3
2.4.4
2.4.5
2.5
2.5.1
2.5.2
2.5.3
2.5.4
2.5.5
xi
xii
2.6
2.6.1
2.6.2
2.6.3
2.6.4
3
3.1
3.2
3.3
3.4
3.5
3.6
3.7
3.8
3.9
4
4.1
4.1.1
4.2
4.2.1
4.2.2
4.2.3
4.3
4.4
4.4.1
4.4.2
4.4.3
4.5
4.6
5
5.1
5.2
5.3
5.4
5.5
5.6
5.7
5.8
II Simulation and estimation
Contents xiii
6
6.1
6.2
6.3
pound
6.4
6.5
6.6
7
7.1
7.2
7.2.1
7.2.2
7.2.3
7.3
7.3.1
7.4
7.4.1
7.4.2
7.5
7.6
7.6.1
7.6.2
7.7
III Option pricing in models with jumps
8
8.1
8.1.1
8.1.2
8.1.3
8.1.4
sures
8.2
8.2.1
8.2.2
8.3
8.3.1
8.3.2
8.3.3
8.3.4
8.4
8.4.1
xiv Contents
8.4.2
8.4.3
9
9.1
9.1.1
9.2
9.3
9.4
9.5
9.6
9.7
10
10.1
10.2
10.3
10.3.1
10.3.2
10.3.3
10.3.4
10.4
10.4.1
10.4.2
10.4.3
10.5
10.5.1
10.5.2
10.6
10.7
11
11.1
11.1.1
11.1.2
11.1.3
11.2
11.3
11.4
11.5
Contents xv
12 Integro-differential
12.1
382
12.1.1
12.1.2
12.1.3
12.2
12.2.1
12.2.2
12.2.3
12.2.4
12.3
12.3.1
12.3.2
12.4
12.4.1
12.4.2
12.4.3
12.4.4
12.5
12.6
12.6.1
12.6.2
12.7
13
13.1
13.2
13.3
13.4
13.5
13.5.1
13.5.2
13.5.3
IV Beyond Levy processes
14
14.1
14.2
14.2.1
14.2.2
14.3
xvi Contents
15
15.1
15.1.1
15.1.2
15.2
15.3
15.3.1
15.3.2
15.3.3
15.4
15.5
15.6
A Modified Bessel functions
References
Subject index
During the last decade, financial models based on jump processes have acquired
increasing popularity in risk management and option pricing. Much has been
published on the subject, but th© technical
■difficult for monspecialists to understand, and the mathematical tools required
for applications can be intimidating. Potential users often get the impression that
jomp and Levy processes are beyond their reach.
Financial itedelling with Jump Processes shows that this is not so. It provides
a self-contained overview of the theoretical» numerical, and empirical aspects Involved
in using jump processes in financial modeling, and doss so in terms within the grasp
of nonspeciafets.The introduction of new mathematical tools is motivated by their
use in the modelling process, and precise mathematical statements of results are
accompanied by
Topics covered in this book include: jump-diffusion models, Levy processes,
stochastic calculus for jump processes, pricing and hedging in incomplete markets,
implied volatility similes, time-inhomogeneous jump processes, and stochastic
volatility models with jumps. The- authors illustrate the mathematical concepts with
many numerical and empirical examples and provide the
implementation of pricing and calibration algorithms.
This book -demonstrates that the concepts and tools necessary for understanding
and implementing models with Jumps can be more intuitive that those involved
In the
will give you a valuable new set of tools for modelling market fluctuations.
Rama Cont
(ОМАР),
|
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| dewey-sort | 3332 11 6519233 222 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| institution | BVB |
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| language | English |
| lccn | 2003063470 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-010606979 |
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| record_format | marc |
| series2 | Chapman & Hall/CRC financial mathematics series |
| spelling | Cont, Rama Verfasser (DE-588)140923446 aut Financial modelling with jump processes Rama Cont ; Peter Tankov Boca Raton, Fla. [u.a.] Chapman & Hall/CRC 2004 XVI, 535 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Chapman & Hall/CRC financial mathematics series Discontinuïteit gtt Finances - Modèles mathématiques Finanças (aplicações) larpcal Portfolio-theorie gtt Processos estocasticos larpcal Processus de sauts Stochastische analyse gtt Stochastische processen gtt Wiskundige modellen gtt Mathematisches Modell Finance Mathematical models Jump processes Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Finanzwissenschaft (DE-588)4121273-3 gnd rswk-swf Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Stochastisches Modell (DE-588)4057633-4 gnd rswk-swf Sprungprozess (DE-588)4427906-1 gnd rswk-swf Lévy-Prozess (DE-588)4463623-4 gnd rswk-swf Finanzwissenschaft (DE-588)4121273-3 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Finanzmathematik (DE-588)4017195-4 s Stochastisches Modell (DE-588)4057633-4 s Lévy-Prozess (DE-588)4463623-4 s Sprungprozess (DE-588)4427906-1 s Tankov, Peter Verfasser aut Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010606979&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Regensburg application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010606979&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
| spellingShingle | Cont, Rama Tankov, Peter Financial modelling with jump processes Discontinuïteit gtt Finances - Modèles mathématiques Finanças (aplicações) larpcal Portfolio-theorie gtt Processos estocasticos larpcal Processus de sauts Stochastische analyse gtt Stochastische processen gtt Wiskundige modellen gtt Mathematisches Modell Finance Mathematical models Jump processes Mathematisches Modell (DE-588)4114528-8 gnd Finanzwissenschaft (DE-588)4121273-3 gnd Finanzmathematik (DE-588)4017195-4 gnd Stochastisches Modell (DE-588)4057633-4 gnd Sprungprozess (DE-588)4427906-1 gnd Lévy-Prozess (DE-588)4463623-4 gnd |
| subject_GND | (DE-588)4114528-8 (DE-588)4121273-3 (DE-588)4017195-4 (DE-588)4057633-4 (DE-588)4427906-1 (DE-588)4463623-4 |
| title | Financial modelling with jump processes |
| title_auth | Financial modelling with jump processes |
| title_exact_search | Financial modelling with jump processes |
| title_full | Financial modelling with jump processes Rama Cont ; Peter Tankov |
| title_fullStr | Financial modelling with jump processes Rama Cont ; Peter Tankov |
| title_full_unstemmed | Financial modelling with jump processes Rama Cont ; Peter Tankov |
| title_short | Financial modelling with jump processes |
| title_sort | financial modelling with jump processes |
| topic | Discontinuïteit gtt Finances - Modèles mathématiques Finanças (aplicações) larpcal Portfolio-theorie gtt Processos estocasticos larpcal Processus de sauts Stochastische analyse gtt Stochastische processen gtt Wiskundige modellen gtt Mathematisches Modell Finance Mathematical models Jump processes Mathematisches Modell (DE-588)4114528-8 gnd Finanzwissenschaft (DE-588)4121273-3 gnd Finanzmathematik (DE-588)4017195-4 gnd Stochastisches Modell (DE-588)4057633-4 gnd Sprungprozess (DE-588)4427906-1 gnd Lévy-Prozess (DE-588)4463623-4 gnd |
| topic_facet | Discontinuïteit Finances - Modèles mathématiques Finanças (aplicações) Portfolio-theorie Processos estocasticos Processus de sauts Stochastische analyse Stochastische processen Wiskundige modellen Mathematisches Modell Finance Mathematical models Jump processes Finanzwissenschaft Finanzmathematik Stochastisches Modell Sprungprozess Lévy-Prozess |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010606979&sequence=000003&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=010606979&sequence=000004&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT contrama financialmodellingwithjumpprocesses AT tankovpeter financialmodellingwithjumpprocesses |