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ISBN: 0470851562Издательство: John Wiley & Sons
Год издания: 2003
Book DescriptionFinancial 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. Levy Processes in Finance: Pricing Financial Derivatives takes a practical approach to describing the theory of Levy-based models, and features many examples of how they may be used to solve problems in finance. 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 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...