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Financial Modelling with Jump Processes

Financial Modelling with Jump Processes

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  • ISBN:9781584884132
  • Editorial: Chapman & Hall Co.
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  • Nº Pág.:522
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During the 1990s, Levy processes have become increasingly popular for modelling market fluctuations, both for risk management and option pricing, leading to various generalizations of the Black Scholes model. While there exists a considerable body of literature related to Levy processes, it is quite technical and difficult to access for non-specialist readers, especially those interested in applications. Many of the applications of Levy processes use sophisticated mathematical tools that are only explained in advanced mathematical texts. This book provides a self-contained overview of theoretical, numerical and empirical research on the use of Levy processes in financial modelling

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