Description

Book Synopsis
Financial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry. In parallel, the theory of Levy 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.

Table of Contents
Preface.

Acknowledgements.

Introduction.

Financial Mathematics in Continuous Time.

The Black-Scholes Model.

Imperfections of the Black-Scholes Model.

Lévy Processes and OU Processes.

Stock Price Models Driven by Lévy Processes.

Lévy Models with Stochastic Volatility.

Simulation Techniques.

Exotic Option Pricing.

Interest-Rate Models.

Appendix A: Special Functions.

Appendix B: Lévy Processes.

Appendix C: S&P 500 Call Option Prices.

References.

Index.

Levy Processes in Finance Pricing Financial

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      Book details

      Publisher John Wiley & Sons Inc
      Published 25 March 2003
      ISBN-13 9780470851562
      978-0470851562
      ISBN-10 0470851562
      Also in:
      Mathematics Applied mathematics

      Description

      Book Synopsis
      Financial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry. In parallel, the theory of Levy 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.

      Table of Contents
      Preface.

      Acknowledgements.

      Introduction.

      Financial Mathematics in Continuous Time.

      The Black-Scholes Model.

      Imperfections of the Black-Scholes Model.

      Lévy Processes and OU Processes.

      Stock Price Models Driven by Lévy Processes.

      Lévy Models with Stochastic Volatility.

      Simulation Techniques.

      Exotic Option Pricing.

      Interest-Rate Models.

      Appendix A: Special Functions.

      Appendix B: Lévy Processes.

      Appendix C: S&P 500 Call Option Prices.

      References.

      Index.

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