Lévy processes in finance : pricing financial derivatives
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| Autore: |
Schoutens Wim
|
| Titolo: |
Lévy processes in finance : pricing financial derivatives
|
| Pubblicazione: | [Place of publication not identified], : J Wiley, 2003 |
| Edizione: | 1st ed. |
| Descrizione fisica: | 1 online resource (189 pages) |
| Disciplina: | 332.63/2 |
| Soggetto topico: | Derivative securities - Mathematical models - Prices |
| Lévy processes | |
| Investment & Speculation | |
| Finance | |
| Business & Economics | |
| Note generali: | Bibliographic Level Mode of Issuance: Monograph |
| Sommario/riassunto: | Financial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry. In parallel, the theory of L?vy 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. L?vy Processes in Finance: Pricing Financial Derivatives takes a practical approach to describing the theory of L?vy-based models, and features many examples of how they may be used to solve problems in finance.* Provides an introduction to the use of L?vy processes in finance.* Features many examples using real market data, with emphasis on the pricing of financial derivatives.* Covers a number of key topics, including option pricing, Monte Carlo simulations, stochastic volatility, exotic options and interest rate modelling.* Includes many figures to illustrate the theory and examples discussed.* Avoids unnecessary mathematical formalities.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. |
| Titolo autorizzato: | Levy processes in finance |
| ISBN: | 1-280-55615-3 |
| 9786610556151 | |
| 0-470-87023-0 | |
| 0-470-86450-8 | |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910144723603321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
Wiley Series in Probability and Statistics