| Record ID | marc_columbia/Columbia-extract-20221130-031.mrc:30224248:5050 |
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050 4 $aHG106$b.C66 2004eb
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072 7 $aBUS$x027000$2bisacsh
082 04 $a332/.01/519233$222
049 $aZCUA
100 1 $aCont, Rama.
245 10 $aFinancial modelling with jump processes /$cRama Cont, Peter Tankov.
260 $aBoca Raton, Fla. :$bChapman & Hall/CRC,$c©2004.
300 $a1 online resource (xvi, 535 pages) :$billustrations
336 $atext$btxt$2rdacontent
337 $acomputer$bc$2rdamedia
338 $aonline resource$bcr$2rdacarrier
490 1 $aChapman & Hall/CRC financial mathematics series
504 $aIncludes bibliographical references (pages 501-527) and index.
588 0 $aPrint version record.
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.
650 6 $aFinances$xModèles mathématiques.
650 6 $aProcessus de sauts.
650 7 $aBUSINESS & ECONOMICS$xFinance.$2bisacsh
650 7 $aFinance$xMathematical models.$2fast$0(OCoLC)fst00924398
650 7 $aJump processes.$2fast$0(OCoLC)fst00984814
655 0 $aElectronic books.
655 4 $aElectronic books.
700 1 $aTankov, Peter.
776 08 $iPrint version:$aCont, Rama.$tFinancial modelling with jump processes.$dBoca Raton, Fla. : Chapman & Hall/CRC, ©2004$z1584884134$w(DLC) 2003063470$w(OCoLC)53285147
830 0 $aChapman & Hall/CRC financial mathematics series.
856 40 $uhttp://www.columbia.edu/cgi-bin/cul/resolve?clio15067574$zTaylor & Francis eBooks
852 8 $blweb$hEBOOKS