Financial Modelling with Jump Processes (Chapman & Hall/CRC Financial Mathematics Series 2 2nd Revised edition)

Financial Modelling with Jump Processes (Chapman & Hall/CRC Financial Mathematics Series 2 2nd Revised edition)

By: Peter Tankov (author), Rama Cont (author), Dilip B. Madan (series_editor), Rama Cont (series_editor), M. A. H. Dempster (series_editor)Hardback

1 - 2 weeks availability

Description

Including a new chapter on credit risk modelling and new developments in econometrics, the new edition of this bestselling resource provides an accessible overview of financials models based on jump processes used in risk management and option pricing. After presenting the necessary mathematics, the text presents theoretical, numerical, and empirical issues. While the emphasis is on demystifying technical difficulties so as to better understand applications, mathematical results are presented in a rigorous, though self-contained, manner, accessible to any reader having basic knowledge of the Black Scholes model. Concepts are illustrated through many numerical and empirical examples.

Create a review

About Author

Columbia University, New York, USA Universite Paris VII, France University of Maryland, College Park, USA University of Cambridge and Cambridge Systems Associates Limited, UK

Contents

Overview. Mathematical tools. Simulation and estimation. Option pricing in models with jumps. Beyond Levy processes. Appendices. Bibliography. Index.

Product Details

  • publication date: 31/08/2008
  • ISBN13: 9781420082197
  • Format: Hardback
  • Number Of Pages: 606
  • ID: 9781420082197
  • ISBN10: 1420082191
  • edition: 2nd Revised edition

Delivery Information

  • Saver Delivery: Yes
  • 1st Class Delivery: Yes
  • Courier Delivery: Yes
  • Store Delivery: Yes

Prices are for internet purchases only. Prices and availability in WHSmith Stores may vary significantly

Close