Lévy Processes in Finance: Pricing Financial DerivativesISBN: 978-0-470-85156-2
Hardcover
200 pages
May 2003
This is a Print-on-Demand title. It will be printed specifically to fill your order. Please allow an additional 10-15 days delivery time. The book is not returnable.
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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.
* Provides an introduction to the use of Lévy 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.
* Provides an introduction to the use of Lévy 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.