| Record ID | marc_columbia/Columbia-extract-20221130-009.mrc:362496679:2682 |
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LEADER: 02682pam a22003614a 4500
001 4333070
005 20221102195504.0
008 031010t20042004flua b 001 0 eng
010 $a 2003063470
020 $a1584884134 (alk. paper)
035 $a(OCoLC)ocm53285147
035 $a(NNC)4333070
035 $a4333070
040 $aDLC$cDLC$dOrLoB-B
042 $apcc
050 00 $aHG106$b.C66 2004
082 00 $a332/.01/519233$222
100 1 $aCont, Rama.$0http://id.loc.gov/authorities/names/n2003104517
245 10 $aFinancial modelling with jump processes /$cRama Cont, Peter Tankov.
260 $aBoca Raton, Fla. :$bChapman & Hall/CRC,$c[2004], ©2004.
300 $axvi, 535 pages :$billustrations ;$c24 cm.
336 $atext$btxt$2rdacontent
337 $aunmediated$bn$2rdamedia
490 1 $aChapman & Hall/CRC financial mathematics series
504 $aIncludes bibliographical references (p. 501-527) and index.
505 00 $g1.$tFinancial modelling beyond Brownian motion --$gI.$tMathematical tools --$g2.$tBasic tools --$g3.$tLevy processes: definitions and properties --$g4.$tBuilding Levy processes --$g5.$tMultidimensional models with jumps --$gII.$tSimulation and estimation --$g6.$tSimulating Levy processes --$g7.$tModelling financial time series with Levy processes --$gIII.$tOption pricing in models with jumps --$g8.$tStochastic calculus for jump processes --$g9.$tMeasure transformations for Levy processes --$g10.$tPricing and hedging in incomplete markets --$g11.$tRisk-neutral modelling with exponential Levy processes --$g12.$tIntegro-differential equations and numerical methods --$g13.$tInverse problems and model calibration --$gIV.$tBeyond Levy processes --$g14.$tTime inhomogeneous jump processes --$g15.$tStochastic volatility models with jumps --$gA.$tModified 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."--BOOK JACKET.
650 0 $aFinance$xMathematical models.$0http://id.loc.gov/authorities/subjects/sh85048260
650 0 $aJump processes.$0http://id.loc.gov/authorities/subjects/sh85070997
700 1 $aTankov, Peter.$0http://id.loc.gov/authorities/names/n2003104518
830 0 $aChapman & Hall/CRC financial mathematics series.$0http://id.loc.gov/authorities/names/n2002062736
852 00 $bmat$hHG106$i.C66 2004
852 00 $bmat$hHG106$i.C66 2004