MARC record from Internet Archive

LEADER: 02064cam a22003014a 4500
001 011443912-5
005 20060728205941.0
008 031010s2004 flua b 001 0 eng
010 $a 2003063470
020 $a1584884134 (alk. paper)
035 0 $aocm53285147
040 $aDLC$cDLC$dDLC
042 $apcc
050 00 $aHG106$b.C66 2004
082 00 $a332/.01/519233$222
100 1 $aCont, Rama.
245 10 $aFinancial modelling with jump processes /$cRama Cont, Peter Tankov.
260 $aBoca Raton, Fla. :$bChapman & Hall/CRC,$cc2004.
300 $axvi, 535 p. :$bill. ;$c24 cm.
440 0 $aChapman & Hall/CRC financial mathematics series
504 $aIncludes bibliographical references (p. 501-527) and index.
505 0 $aFinancial modelling beyond Brownian motion -- Mathematical tools -- Basic tools -- Levy processes: definitions and properties -- Building Levy processes -- Multidimensional models with jumps -- Simulation and estimation -- Simulating Levy processes -- Modelling financial time series with Levy processes -- Option pricing in models with jumps -- Stochastic calculus for jump processes -- Measure transformations for Levy processes -- Pricing and hedging in incomplete markets -- Risk-neutral modelling with exponential Levy processes -- Integro-differential equations and numerical methods -- Inverse problems and model calibration -- Beyond Levy processes -- Time inhomogeneous jump processes -- Stochastic volatility models with jumps -- Modified Bessel functions.
520 1 $a"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 Black-Scholes and diffusion models. If you have even a basic familiarity with quantitative methods in finance, Financial Modelling with Jump Processes with give you a valuable new set of tools for modelling market fluctuations."--Jacket.
650 0 $aFinance$xMathematical models.
650 0 $aJump processes.
700 1 $aTankov, Peter.
988 $a20080419
906 $0DLC