Financial Modelling with Jump Processes
Financial Modelling with Jump Processes
复制标题
DOI：
10.1201/9780203485217
复制
发表时间：
2003-12
期刊：
影响因子：
--
通讯作者：
R. Cont;P. Tankov
中科院分区：
文献类型：
--
作者：
R. Cont;P. Tankov
Riskbook.com 2004年最佳图书奖获得者！在过去的十年里，基于跳跃过程的金融模型在风险管理和期权定价方面越来越受欢迎。关于这个主题已经发表了很多文章，但大多数论文的技术性使得非专业人士很难理解它们，而且应用程序所需的数学工具可能会令人生畏。潜在用户经常会觉得Jump和Levy流程超出了他们的能力范围，但Jump Process的财务建模显示情况并非如此。它提供了在金融建模中使用跳跃过程所涉及的理论、数值和经验方面的完整概述，并且在非专家掌握的范围内做到了这一点。引入新的数学工具是因为它们在建模过程中的使用，结果的精确数学陈述伴随着直观的解释。本书涵盖的主题包括：跳跃-扩散模型，Levy过程，跳跃过程的随机演算，不完全市场中的定价和对冲，隐含波动率微笑，时间不均匀的跳跃过程和带有跳跃的随机波动模型。作者用大量的数值和经验例子说明了数学概念，并提供了定价和校准算法的数值实现的细节。本书演示了理解和实现带有跳跃的模型所必需的概念和工具可以比布莱克·斯科尔斯和扩散模型中涉及的概念和工具更直观。如果你对金融中的定量方法有基本的了解，使用跳跃过程的金融建模将为你提供一套有价值的新工具来模拟市场波动。
WINNER of a Riskbook.com Best of 2004 Book Award!During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematical tools required for applications can be intimidating. Potential users often get the impression that jump and Levy processes are beyond their reach.Financial Modelling with Jump Processes shows that this is not so. It provides a self-contained overview of the theoretical, numerical, and empirical aspects involved in using jump processes in financial modelling, and it does so in terms within the grasp of nonspecialists. The introduction of new mathematical tools is motivated by their use in the modelling process, and precise mathematical statements of results are accompanied by intuitive explanations.Topics covered in this book include: jump-diffusion models, Levy processes, stochastic calculus for jump processes, pricing and hedging in incomplete markets, implied volatility smiles, time-inhomogeneous jump processes and stochastic volatility models with jumps. The authors illustrate the mathematical concepts with many numerical and empirical examples and provide the details of numerical implementation of pricing and calibration algorithms.This book demonstrates that the concepts and tools necessary for understanding and implementing models with jumps can be more intuitive that those involved in the Black Scholes and diffusion models. If you have even a basic familiarity with quantitative methods in finance, Financial Modelling with Jump Processes will give you a valuable new set of tools for modelling market fluctuations.