Editorial Reviews
Book Description
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.
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.
Book Info
Text provides an introduction to the use of Levy processes in finance. Features many examples using real market data, with emphasis on the pricing of financial derivatives. Covers topics such as option pricing, Monte Carlo simulations, and stochastic volatility. For researchers and postgraduate students.
Levy Processes in Finance : Pricing Financial Derivatives (Wiley Series in Probability and Statistics)
Levy Processes in Finance : Pricing Financial Derivatives (Wiley Series in Probability and Statistics),Wim Schoutens,John Wiley & Sons,0470851562,Accounting - General,Business & Economics,Derivative securities,Economics - General,Investments & Securities - General,Levy processes,Lâevy processes,Markov Processes,Mathematical models,Mathematics,Prices,Probability & Statistics - General,Science/Mathematics,Securities,Applied mathematics,Investment & securities,Mathematics / Statistics
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